题名

新臺幣美元外匯市場價格發現之研究

并列篇名

An Investigation on the Price Discovery of the Nt-dollar Foreign Exchange Market

DOI

10.29629/TEFP.201203.0003

作者

高崇瑋(Chung-Wei Kao)；萬哲鈺(Jer-Yuh Wan)

关键词

價格發現 ； 訊息比例 ； 衝擊反應分析 ； 變異數分解 ； Price discovery ； Information share ； Impulse response analysis ； Variance decomposition

期刊名称

臺灣經濟預測與政策

卷期/出版年月

42卷2期（2012 / 03 / 01）

页次

81 - 117

内容语文

繁體中文
中文摘要

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Kingetal.（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。
英文摘要

This paper investigates the price discovery role of two markets in the NTDollar foreign exchange market, the Taipei Forex Inc. (TFI) and the Cosmos Foreign Exchange International Co. (CFE). By applying the information sharemodel 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.
主题分类 社會科學 > 經濟學
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被引用次数
  1. Lee, Ying-Hsin,Chen, Dar-Hsin(2016).The intraday price discovery of Taiwan's dual-tradingforeign exchange market.交大管理學報,36(2),1-29.
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