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題名 亞洲無本金遠期匯率市場蔓延效果之研究
Contagion Effects of Non-Deliverable Forwards in Asian Currencies
作者 蕭旨芳
Hsiao,Chih-Fang
貢獻者 張元晨
Chang,Yuanchen
蕭旨芳
Hsiao,Chih-Fang
關鍵詞 無本金遠期匯率
蔓延效果
人民幣升值
NDF
Contagion Effect
Appreciation of Chinese yuan
日期 2006
上傳時間 14-Sep-2009 09:00:05 (UTC+8)
摘要 The impact of own-country and cross-border events on asset markets is an important subject. We examine the co-movement of conditional volatilities in Korean won, Chinese yuan and Taiwanese dollar NDF markets. Using a multivariate GARCH model, we test whether the announcement of Chinese yuan’s appreciation on 21st July, 2005 affects the co-movements of Asian NDF rates. Our findings show Japanese yen spot rate has influences on three Asian NDF markets. Furthermore the most liquid Korean NDF rate also affects Chinese yuan and Taiwanese NDF markets. Our results are consistent with the findings that Asian NDF markets also show strong co-movements, especially after the announcement date of Chinese yuan’s appreciation on 21st July, 2005.
參考文獻 [1] Bae, K. H., Karolyi, C. A. and Stulz, R. 2002. A new approach to measuring financial contagion. The Review of Financial Studies, 16:717-763.
[2] Baig, T. and Goldfajn, I. 1999. Financial market contagion in the Asian Crisis. IMP Staff Papers, 46:167-195.
[3] Black, A. J. and Mcmillan, D. G.. 2004. Long run trends and volatility spillovers in daily exchange rates. Applied Financial Economics, 14:895-907.
[4] Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31:307-327
[5] Bollerslev, T., Engle, R. and Wooldridge, J. 1988. A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96:116-131.
[6] Bollerslev, T. 1990. Modelling the coherence in short run nominal exchange rates: A multivariate generalized ARCH Model. Review of Economics an Statistics, 72:498-505.
[7] Bollerslev, T. and Wooldridge, J. M. 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Review, 11:143–172.
[8] Chang, Y. C. and Shen, C. H. 2002. Modeling the degree of currency misalignment around the Asian financial crisis:Evidence from Taiwan and Korea non-delivery forward exchange markets. 台灣管理學刊, 2:41-52.
[9] Darbar, S. M. and Deb, P. 1997. Co-movements in international equity markets. Journal of Financial Research, 20:305-322.
[10] Enders, Walter. Applied econometric time series. Second edition. Wiley, 2004.
[11] Engle, R. F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50:987-1007.
[12] Engle, R. F., Ng, V. and Rothschild, M. 1990. Asset pricing with a factor ARCH covariance structure:Empirical estimates for treasury bills. Journal of Econometrics, 45:213-237.
[13] Engle, R. F. and Kroner, K. 1995. Multivariate simultaneous GARCH. Econometric Theory, 11:122-150.
[14] Fornari, F. and Mele, A. 1995. Sign and volatility-switching ARCH model theory and volatility. Journal of Applied Econometrics, 2:49-56.
[15] Funke, M. and Rahn, J. 2005. Just how undervalued is the Chinese renminbi? Blackwell Publishing, 465-488.
[16] Galati, G. and Melvin, M. 2004. Why has FX trading surged? Explaining the 2004 triennial survey. BIS Quarterly Review, November:13–15.
[17] Glosten, L. R., Jagannathan, R. and Runkle, D. E. 1993. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48:1779-1801.
[18] Goldstein, M. 2004. Adjusting China’s exchange rate policy. Working Paper, Dennis Weatherstone.
[19] Hon, M. T., Strauss, J. and Yong, S. K. 2004. Contagion in financial markets after September 11:Myth or reality? Journal of Financial Research, 27:95-114.
[20] Ma, G., Ho, C. and McCauley, R. N. 2004. The markets for non-deliverable forwards in Asia. BIS Quarterly Review, June:81–94.
[21] Ma, G. Ho, C. and McCauley, R. N. 2005. Trading Asian currencies. BIS Quarterly Review, March:49–58.
[22] Malcolm, J. 2005. Anticipating the spill-over from CNY reval. Deutsche Bank, Asian FX Strategy Notes, 4 January.
[23] Nelson, D. B. 1991. Conditional heteroskedasticity in asset returns:A new approach. Econometrica, 59:347-370.
[24] Park, D. and Rhee, C. 2000. Measuring the degree of currency misalignment using offshore forward exchange rates:The case of the Korean financial crisis. Journal of Asset Management, 2:84-95.
[25] Rhee, G. J. and Lee, E. M. 2004. Foreign exchange intervention and foreign exchange market development in Korea. BIS Papers, 24:196-208.
[26] Suttle, P. and Fernandez, D. 2005. Emerging Asia’s monetary future. JPMorgan chase, Global issues, January.
[27] Tai, C. H. 2003. Looking for contagion in currency futures markets. Journal of Futures Markets, 23:957-988.
[28] Tse, Y. K. and Tsui, K. C. 1997. Conditional volatility in foreign exchange rates:Evidence from the Malaysian ringgit and Singapore dollar. Journal of Pacific-Basin Finance, 5:345-356.
[29] Tse, Y. K. 2000. A test for constant correlations in a multivariate GARCH model. Journal of Econometrics, 98:107-127.
[30] Watanabe, K., Akama, H. and Mifune, J. 2002. The effectiveness of capital controls and monitoring:The case of non-internationalisation of emerging market currencies. EMEAP Discussion Paper, January.
描述 碩士
國立政治大學
財務管理研究所
93357022
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093357022
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang,Yuanchenen_US
dc.contributor.author (Authors) 蕭旨芳zh_TW
dc.contributor.author (Authors) Hsiao,Chih-Fangen_US
dc.creator (作者) 蕭旨芳zh_TW
dc.creator (作者) Hsiao,Chih-Fangen_US
dc.date (日期) 2006en_US
dc.date.accessioned 14-Sep-2009 09:00:05 (UTC+8)-
dc.date.available 14-Sep-2009 09:00:05 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:00:05 (UTC+8)-
dc.identifier (Other Identifiers) G0093357022en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/30981-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 93357022zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) The impact of own-country and cross-border events on asset markets is an important subject. We examine the co-movement of conditional volatilities in Korean won, Chinese yuan and Taiwanese dollar NDF markets. Using a multivariate GARCH model, we test whether the announcement of Chinese yuan’s appreciation on 21st July, 2005 affects the co-movements of Asian NDF rates. Our findings show Japanese yen spot rate has influences on three Asian NDF markets. Furthermore the most liquid Korean NDF rate also affects Chinese yuan and Taiwanese NDF markets. Our results are consistent with the findings that Asian NDF markets also show strong co-movements, especially after the announcement date of Chinese yuan’s appreciation on 21st July, 2005.zh_TW
dc.description.tableofcontents ABSTRACT II
     LIST OF FIGURES IV
     LIST OF TABLES V
     I. INTRODUCTION 1
     A. DESCRIPTIONS OF ASIAN EXCHANGE RATE MARKETS 2
     B. NON-DELIVERABLE FORWARD (NDF) MARKETS IN ASIA 4
     C.THE EVENT THAT SHOCKS THE MARKET 9
     II. LITERATURE REVIEW 12
     III. METHODOLOGY AND HYPOTHESIS TESTING 16
     IV. DATA AND EMPIRICAL RESULTS 22
     V. ROBUSTNESS TESTS 42
     VI. CONCLUSIONS 48
     BIBLIOGRAPHY 50
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093357022en_US
dc.subject (關鍵詞) 無本金遠期匯率zh_TW
dc.subject (關鍵詞) 蔓延效果zh_TW
dc.subject (關鍵詞) 人民幣升值zh_TW
dc.subject (關鍵詞) NDFen_US
dc.subject (關鍵詞) Contagion Effecten_US
dc.subject (關鍵詞) Appreciation of Chinese yuanen_US
dc.title (題名) 亞洲無本金遠期匯率市場蔓延效果之研究zh_TW
dc.title (題名) Contagion Effects of Non-Deliverable Forwards in Asian Currenciesen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1] Bae, K. H., Karolyi, C. A. and Stulz, R. 2002. A new approach to measuring financial contagion. The Review of Financial Studies, 16:717-763.zh_TW
dc.relation.reference (參考文獻) [2] Baig, T. and Goldfajn, I. 1999. Financial market contagion in the Asian Crisis. IMP Staff Papers, 46:167-195.zh_TW
dc.relation.reference (參考文獻) [3] Black, A. J. and Mcmillan, D. G.. 2004. Long run trends and volatility spillovers in daily exchange rates. Applied Financial Economics, 14:895-907.zh_TW
dc.relation.reference (參考文獻) [4] Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31:307-327zh_TW
dc.relation.reference (參考文獻) [5] Bollerslev, T., Engle, R. and Wooldridge, J. 1988. A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96:116-131.zh_TW
dc.relation.reference (參考文獻) [6] Bollerslev, T. 1990. Modelling the coherence in short run nominal exchange rates: A multivariate generalized ARCH Model. Review of Economics an Statistics, 72:498-505.zh_TW
dc.relation.reference (參考文獻) [7] Bollerslev, T. and Wooldridge, J. M. 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Review, 11:143–172.zh_TW
dc.relation.reference (參考文獻) [8] Chang, Y. C. and Shen, C. H. 2002. Modeling the degree of currency misalignment around the Asian financial crisis:Evidence from Taiwan and Korea non-delivery forward exchange markets. 台灣管理學刊, 2:41-52.zh_TW
dc.relation.reference (參考文獻) [9] Darbar, S. M. and Deb, P. 1997. Co-movements in international equity markets. Journal of Financial Research, 20:305-322.zh_TW
dc.relation.reference (參考文獻) [10] Enders, Walter. Applied econometric time series. Second edition. Wiley, 2004.zh_TW
dc.relation.reference (參考文獻) [11] Engle, R. F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50:987-1007.zh_TW
dc.relation.reference (參考文獻) [12] Engle, R. F., Ng, V. and Rothschild, M. 1990. Asset pricing with a factor ARCH covariance structure:Empirical estimates for treasury bills. Journal of Econometrics, 45:213-237.zh_TW
dc.relation.reference (參考文獻) [13] Engle, R. F. and Kroner, K. 1995. Multivariate simultaneous GARCH. Econometric Theory, 11:122-150.zh_TW
dc.relation.reference (參考文獻) [14] Fornari, F. and Mele, A. 1995. Sign and volatility-switching ARCH model theory and volatility. Journal of Applied Econometrics, 2:49-56.zh_TW
dc.relation.reference (參考文獻) [15] Funke, M. and Rahn, J. 2005. Just how undervalued is the Chinese renminbi? Blackwell Publishing, 465-488.zh_TW
dc.relation.reference (參考文獻) [16] Galati, G. and Melvin, M. 2004. Why has FX trading surged? Explaining the 2004 triennial survey. BIS Quarterly Review, November:13–15.zh_TW
dc.relation.reference (參考文獻) [17] Glosten, L. R., Jagannathan, R. and Runkle, D. E. 1993. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48:1779-1801.zh_TW
dc.relation.reference (參考文獻) [18] Goldstein, M. 2004. Adjusting China’s exchange rate policy. Working Paper, Dennis Weatherstone.zh_TW
dc.relation.reference (參考文獻) [19] Hon, M. T., Strauss, J. and Yong, S. K. 2004. Contagion in financial markets after September 11:Myth or reality? Journal of Financial Research, 27:95-114.zh_TW
dc.relation.reference (參考文獻) [20] Ma, G., Ho, C. and McCauley, R. N. 2004. The markets for non-deliverable forwards in Asia. BIS Quarterly Review, June:81–94.zh_TW
dc.relation.reference (參考文獻) [21] Ma, G. Ho, C. and McCauley, R. N. 2005. Trading Asian currencies. BIS Quarterly Review, March:49–58.zh_TW
dc.relation.reference (參考文獻) [22] Malcolm, J. 2005. Anticipating the spill-over from CNY reval. Deutsche Bank, Asian FX Strategy Notes, 4 January.zh_TW
dc.relation.reference (參考文獻) [23] Nelson, D. B. 1991. Conditional heteroskedasticity in asset returns:A new approach. Econometrica, 59:347-370.zh_TW
dc.relation.reference (參考文獻) [24] Park, D. and Rhee, C. 2000. Measuring the degree of currency misalignment using offshore forward exchange rates:The case of the Korean financial crisis. Journal of Asset Management, 2:84-95.zh_TW
dc.relation.reference (參考文獻) [25] Rhee, G. J. and Lee, E. M. 2004. Foreign exchange intervention and foreign exchange market development in Korea. BIS Papers, 24:196-208.zh_TW
dc.relation.reference (參考文獻) [26] Suttle, P. and Fernandez, D. 2005. Emerging Asia’s monetary future. JPMorgan chase, Global issues, January.zh_TW
dc.relation.reference (參考文獻) [27] Tai, C. H. 2003. Looking for contagion in currency futures markets. Journal of Futures Markets, 23:957-988.zh_TW
dc.relation.reference (參考文獻) [28] Tse, Y. K. and Tsui, K. C. 1997. Conditional volatility in foreign exchange rates:Evidence from the Malaysian ringgit and Singapore dollar. Journal of Pacific-Basin Finance, 5:345-356.zh_TW
dc.relation.reference (參考文獻) [29] Tse, Y. K. 2000. A test for constant correlations in a multivariate GARCH model. Journal of Econometrics, 98:107-127.zh_TW
dc.relation.reference (參考文獻) [30] Watanabe, K., Akama, H. and Mifune, J. 2002. The effectiveness of capital controls and monitoring:The case of non-internationalisation of emerging market currencies. EMEAP Discussion Paper, January.zh_TW