The study on information transmissions and their efficiency of daily transactions of foreign exchange market in Taiwan

• Main Authors: Chien-Lung Hsu, 許建隆
• Other Authors: Ruey-Shan Wu
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/88144145683201497198

碩士 === 國立臺北大學 === 企業管理學系碩士在職專班 === 96 === The study on daily transactions volatility plays an important role in the market microstructure theory. In this paper, we observed the pattern of variety and volatility of returns of foreign exchange market in Taiwan. We also analyzed the rule of information in the market. Furthermore, we tested and verified the efficiency of foreign exchange market in Taiwan by the method of Efficiency-Market hypothesis. The ARCH/GARCH family financial static models including GARCH, PARCH, and TARCH were introduced in our study to verify the behavior of price volatility of microstructure of foreign exchange market in Taiwan. The testament and verification results showed that new information transferring to the market impacted the investigators and produced the unbalanced effects on the formation of trading price in daily transactions. Most importantly, we found that by the verified result of information transmissions and the unbalanced effects, the foreign exchange market in Taiwan is close to being a half-intense and efficient one.