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題名:新臺幣美元外匯市場價格發現之研究
書刊名:臺灣經濟預測與政策
作者:高崇瑋 引用關係萬哲鈺 引用關係
作者(外文):Kao, Chung-weiWan, Jer-yuh
出版日期:2012
卷期:42:2
頁次:頁81-117
主題關鍵詞:價格發現訊息比例衝擊反應分析變異數分解Price discoveryInformation shareImpulse response analysisVariance decomposition
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:25
  • 點閱點閱:25
本文主要討論新臺幣美元外匯市場之元太外匯與臺北外匯兩家外匯經紀公司, 所具有的價格發現能力與影響此能力的市場因素。透過 Hasbrouck (1995)的訊息比例模型以及 King et al. (1991) 之變異數分解與衝擊反應分析, 實證結果顯示元太外匯擁有的訊息比例明顯比其占有的市場交易量比例為高, 此外元太外匯價格變異為共同隨機趨勢變異解釋的比例與其價格反應恆常衝擊的速度等, 也比臺北外匯的水準與反應為快 , 這顯示元太外匯的價格發現能力高於臺北外匯。而迴歸分析的結果指出, 元太外匯擁有的訊息比例與價差、成交量以及價格波動等呈現反向變化關係, 此除進一步支持元太外匯價格發現能力高於臺北外匯的結果外, 也同時顯示出交易制度的差異與央行的干預行為, 為造成元太外匯價格發現能力高於臺北外匯的主要原因。再多加入日期效應與總體經濟資訊公布的虛擬變數後, 上述迴歸分析的結果依然可以成立, 這顯示出本文的實證結論具有穩健性。
This paper investigates the price discovery role of two markets in the NT-Dollar foreign exchange market, the Taipei Forex Inc. (TFI) and the Cosmos Foreign Exchange International Co. (CFE). By applying the information share model of Hasbrouck (1995) and variance decomposition and impulse response analysis of King et al. (1991), the empirical results show the price discovery role of CFE is greater than that of TFI. From the regression analysis of CFE’s information share on spread, volume and volatility, the results of regression further support that CFE plays a major price discovery role in the NT-Dollar foreign exchange market. When considering the calendar effect and the macro-announcements effect, the empirical results above can still hold.
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圖書
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