| dc.contributor.advisor | 張元晨 | zh_TW |
| dc.contributor.advisor | Chang,Yuanchen | en_US |
| dc.contributor.author (作者) | 蕭旨芳 | zh_TW |
| dc.contributor.author (作者) | Hsiao,Chih-Fang | en_US |
| dc.creator (作者) | 蕭旨芳 | zh_TW |
| dc.creator (作者) | Hsiao,Chih-Fang | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 14-九月-2009 09:00:05 (UTC+8) | - |
| dc.date.available | 14-九月-2009 09:00:05 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 09:00:05 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0093357022 | en_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) | 93357022 | zh_TW |
| dc.description (描述) | 95 | zh_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/#G0093357022 | en_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) | NDF | en_US |
| dc.subject (關鍵詞) | Contagion Effect | en_US |
| dc.subject (關鍵詞) | Appreciation of Chinese yuan | en_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 Currencies | en_US |
| dc.type (資料類型) | thesis | en |
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