本文使用台北外匯市場的台北外匯經紀公司的新台幣/美元的實際成交匯率與成交量作量價關係的研究,分析每日開盤、收盤、中午午餐時間前後的台北外匯市場的價量變化的型態與其間的關係。台北外匯市場的週一至週五的日內新台幣/美元匯率變動率及成交量時間圖形為L形曲線,週六的日內新台/美元匯率變動率及成交量時間圖形則具有一般金融市場的U形曲線。日內每15分鐘匯率變動率在開盤9:00-9:15時的平均數、變異數、最大與最小值的值域均最大,且日內15分鐘匯率變動率大多具有偏態與峰度。過六開盤9:00-9:15時的匯率變動率變異數比其他時間明顯的巨大,且日內匯率變動率具有顯著的非均齊變異。台北外匯市場的開盤量價關係可以用資訊理論解釋,但是收盤的量價關係不能用資訊攻理論解釋。
This paper uses the actual traded NT/$ exchange rate and volume of Taipei Foreign Exchange Brokrage Inc. in Taipei foreign exchange market to study the price-volume patterns of daily open, close, and before and after lunch break. The time profiles of intradaily NT/$ exchange rate change and volume from Monday through Friday exhibit L shape, but Saturday's time profiles are of the U shape which likes other financial markets. The mean, variance, and range of intraday 15 minutes exchange rate changes become the largest at open 9:00-9:15 is The intradaily 15 minutes exchange rate changes are leptokurtic and kurtosic. The variance of 15 minutes exchange rate change at Saturday open 9:00-9: 15 is significantly larger than all other time intervals. The open price-volume patterns of Taipei foreign exchange market can be explained by information theory, but not the close patterns.