政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30981
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 110944/141864 (78%)
造访人次 : 47998508      在线人数 : 803
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30981


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/30981


    题名: 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
    贡献者: 張元晨
    Chang,Yuanchen
    蕭旨芳
    Hsiao,Chih-Fang
    关键词: 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
    上传时间: 2009-09-14 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
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2143检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈