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• Main Authors: Yi-Hsuan Huang, 黃奕瑄
• Other Authors: Chingnun Lee
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/38pk4h

碩士 === 國立中山大學 === 經濟學研究所 === 95 === With the liberalization of financial market, the prevalence of international trade and the prosperity of foreign exchange markets ,investors could hedge,speculate or interest arbitrage in markets. Therefore, market efficiency is worthy of investigation and analysis on the international finance extensively. According to simple market efficiency hypothesis, there would be a long-run relationship between spot exchange rate and forward exchange rate if the foreign exchange market is efficient. Under the circumstance, this study firstly tries to examine whether there is a long-run relationship or not between spot exchange rate and forward exchange rate by Linear Cointegration Theory. At the same time, the study tests Simple Market Efficiency Hypothesis is correct or not in practice. Next,in a non-linear threshold cointegrational way, it looks into whether there is an apparent threshold effect or not among variables, and the adjusting behavior in the long-run equilibrium process. The result of the study proves that there are an apparent threshold effect and inconsistent behaviors in the long-run equilibrium process.