| dc.contributor | 金融系 | - |
| dc.creator (作者) | Shen, Chung-Hua | - |
| dc.creator (作者) | 沈中華 | - |
| dc.date (日期) | 1997-12 | - |
| dc.date.accessioned | 2-Sep-2015 17:05:43 (UTC+8) | - |
| dc.date.available | 2-Sep-2015 17:05:43 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Sep-2015 17:05:43 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=87272 | - |
| dc.description.abstract (摘要) | The speculative efficiency of the forward exchange market for the British pound, Canadian dollar, German mark, Japanese yen and Swiss franc is evaluated in this study. The conventional approach of selecting spot and one-forward exchange rates is extended towards spot and two-forward exchange rates to consider the interactions among exchange rates of different contracts of different maturities. The possible cointegration of three series forms an error correction mechanism. Thus Campbell and Shiller`s (1987) bivariate vector autoregressive model is extended to a trivariate VAR (TVAR) based on the error correction mechanism. \r\n\r\nA Wald test (with and without considering heteroscedasticity) is finally performed to examine the validity of the cross-equation restrictions. The speculative efficient market is rejected for the forward exchange market for the five currencies under study. | - |
| dc.format.extent | 3529344 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Applied Financial Economics, 7(6), 711-719 | - |
| dc.title (題名) | Testing for foreign exchange market efficiency--a trivariate vector autoregressive approach | - |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1080/758533864 | - |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1080/758533864 | - |
