| Summary: | 碩士 === 東吳大學 === 國際經營與貿易學系 === 97 === This paper examines the dynamics of informational transmission and price discovery roles between two markets on Taiwan’s foreign exchange, TFI (Taipei Forex Inc) and CFE (Cosmos Foreign Exchange International Co), using Gonzalo and Granger model、Hasbrouck information share model、KPSW model and EGARCH model. The exchange rates from the two markets are integrated with a single common stochastic trend. Gonzalo and Granger model indicates that CFE’s role of price discovery is characterized by its weakly exogenous. The common factor is driven by CFE. CFE contains the most information, followed by TFI. CFE is the main driving force in the price discovery process. The KPSW model of VDC shows that CFE can be described as the dominant source of information flow or common stochastic trend. CFE responds to the shock generated from the common factor rapidly. The results of EGARCH model suggest a bi-directional volatility spillover between TFI and CFE with a stronger effect from CFE to TFI. These results are consistent with those of the Gonzalo and Granger model. Moreover, asymmetric effects are not significant in Taiwan foreign exchange markets. In conclusion, the overall results show that CFE contributes the most to the price discovery process, followed by the TFI. CFE facilitates price discovery more efficiently than TFI.
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