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The Studies of Risk Premium of Taiwanfs U. S. Dollar Forward Exchange Market

Journal of Financial Studies

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Title The Studies of Risk Premium of Taiwanfs U. S. Dollar Forward Exchange Market
 
Creator Szu -Lang Liao
David Shyu
Ming-chieh Wang
 
Subject —
 
Description This paper attempts to test the risk premium of Taiwanfs U.S. dollar forward exchange market. This study doesnft come to conclusive results about the efficiency of Taiwanfs U.S. dollar forward exchange market. While this research finds that the market after reopening becomes more efficient than the market before reopening, and the degree of central bank intervention has been decreasing. The risk premium cannot be explained by their conditional variances. In addition, the empirical results show that the riskless rate is not a good predictor of the risk premium for the forward exchange market. But after taking the stock market into consideration, this paper finds that there exists a relation between the excess returns of the forward exchange market and the stock market. It also finds that the forward exchange market and the stock market doesnft exist a long-term cointegration by using single latent variable model. Key words: Efficiency Market Hypothesis(EMH), Risk Premium, Single Latent Variable Model, Long-term cointegration
 
Publisher Journal of Financial Studies
財務金èžå­¸åˆŠ
 
Contributor —
 
Date 2011-09-12
 
Type —
 
Format application/pdf
 
Identifier http://www.jfs.org.tw/index.php/jfs/article/view/2011269
 
Source Journal of Financial Studies; Vol 5, No 2 (1997); 27
財務金èžå­¸åˆŠ; Vol 5, No 2 (1997); 27
 
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