- 學位論文
亞洲國家遠期、NDF外匯市場效率性之檢定-共整合分析之應用
Foreign Exchange Market Efficiency :Evidence from Asian Countries DF and NDF Markets–The Appliance of Cointegration
摘要
自1973年布列敦森林制度(The Bretton Woods Systems)瓦解以來，各國紛紛改採浮動匯率，外匯市場效率性，便成為熱門的研究議題。本研究以2006/1/2至2007/12/31期間，新台幣、韓圜、人民幣及印度盧比之即期匯率（SPOT）與各天期(10天、一個月、二個月、三個月、六個月、九個月、一年期)遠期匯率(DF)及無本金交割遠匯(NDF)日資料，應用OLS、共整合檢定來檢定遠期匯率及無本金交割遠匯，究竟何者為未來即期匯率的不偏估計值，以探討亞洲四個國家外匯市場的效率性。另以因果關係檢定法檢定即期匯率與遠期匯率或無本金交割遠匯間之領先落後或同步的因果關係。實證結果如下： 1.新台幣、人民幣、印度盧比各變數皆為I(1)的時間序列。而韓圜則是於水準項時即呈現定態的現象，為I(0)的時間序列。 2.共整合檢定結果發現，新台幣、人民幣、印度盧比之10天期、一個月期遠匯及NDF分別與未來相對應即期匯率之間存在共整合關係。 3.就不偏性檢定結果而言，韓圜以OLS檢定驗證，而其他幣別以誤差修正向量係數，來檢驗不偏估計式，各幣別一個月DF、NDF皆接受遠匯不偏性假說。 4.然而在進行正交性檢定後，發現皆拒絕了正交性，即預測誤差仍有序列相關，因此嚴格來說，仍不符合效率市場假說。 5.因果關係檢定結果，發現人民幣及印度盧比不論遠匯或NDF市場大多與即期匯率存在著因果關係。且人民幣NDF匯率領先即期匯率，因此廠商在進行人民幣的避險操作時，NDF的走勢應為一項具參考性的指標。而新台幣與韓圜的遠匯與即期匯率彼此之間沒有因果關係。
並列摘要
In this study, daily observations are used for four Asian countries, Taiwan, South Korea, China, India, on samples ranging from 2006/1/2 to 2007/12/31, to re-examine the market efficiency among spot, forward or NDF exchange rate of each country by applying OLS, Cointegration test. First, we use the Unit Root Test to examine whether the time series are stationary or not. We find that the Korean Won (KRW) is a stationary time series while other three currencies are nonstationary. Therefore, we use OLS to examine the KRW, finding that both DF and NDF are respectively the unbiased estimators of the Korean Won future spot rate for tenor less than 3 month. And we use Cointegration test to examine other three currencies, finding that the cointegration exist in each currency for tenor less than one month. And further, we apply the VECM(Vector Error Correction Model), finding that the India Rupee(INR), Chinese Yuan(CNY) and New Taiwan Dollars(TWD) all accept the FRUH (Forward Rate Unbiasedness Hypothesis) for 1 month DF and 1 month NDF. Somehow, none of the four currencies accepts the orthogonality test, which means, strictly speaking, we still reject the market efficiency hypothesis. We use the Granger Causality to examine the causalities between the spot rate and DF or NDF for four currencies. We find that both the CNY and the INR spot rate have causalities in DF and NDF market, moreover, the CNY NDF significantly causes the spot rate, hence investors may take the CNY NDF trend for a reference. As to the TWD and the KRW, the causalities between the spot rate and DF are not significant, but the causalities exist in the spot and NDF for some tenors.