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| Title: | 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 |
| Authors: | 蕭旨芳
Hsiao,Chih-Fang |
| Contributors: | 張元晨
Chang,Yuanchen
蕭旨芳
Hsiao,Chih-Fang |
| Keywords: | 無本金遠期匯率
蔓延效果
人民幣升值
NDF
Contagion Effect
Appreciation of Chinese yuan |
| Date: | 2006 |
| Issue Date: | 2009-09-14 09:00:05 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
財務管理研究所
93357022
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093357022 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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