碩士 / 世新大學 / 財務金融學研究所(含碩專班) / 99 / Fama(1970) proposed the “efficient market theory”, which suggests that the market incorporates all available information into stock prices immediately. After the collapse of Bretton Woods Agreement in 1971, major industrial countries in the world gradually started to adopt the floating exchange rate system. In order to avoid the risk of the fluctuating exchange rate, the forward foreign exchange market was created. Levich was the first to (1979) apply the “efficient market theory” to the foreign exchange market. If the foreign exchange market is efficient, the forward exchange rate of any foreign currency must be an unbiased predictor of the future spot rate. Investors in the market cannot earn any excess return by using any publicly available information. Granger (1981) proposed the concept of cointegration, which states that the long-run relationship exists between the spot exchange rate and the forward exchange rate if foreign exchange markets are efficient.
The purpose of the study is to examine the relationship of between Euro spot exchange rate and one-month, two-month, three-month-, six-month, nine-month-, and one-year forward exchange rates using the cointegration theory around the subprime crisis. My sample period ranges between Jan 1 1999 and Nov 4 2010 and is divided into three sub-periods: (1) 1999/1/1- 2010/11/4, (2)1999/1/1-1999/1/1 2008/9/14, and (3)2008/9/15-2010/11/4.
Empirical results show that (1) the long-run relationship existed between the spot exchange rate and the one-month forward exchange rate during 2008/9/15~2010/11/5,(2) the long-run relationship did not exist between the spot exchange rate and the nine-month forward exchange rate only during 2008 /9/15~2010/11/5, and (3) the long-run relationship existed between the spot exchange rate and the one-year forward exchange rate only during1999/1/1 ~2008/9/14. According to the result of LR test, except for the relationship between the spot exchange rate and the six-month forward exchange rate, all other forward exchange rates are unbiased predictors of future spot rates.
| Identifer | oai:union.ndltd.org:TW/099SHU05304010 |
| Date | January 2011 |
| Creators | Chih-chung Wang, 王志忠 |
| Contributors | Shu-hwa Chang, 張淑華 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 57 |
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