日內交易的波動性研究在市場微結構理論中,一直扮演著相當重要的角色。 在本研究中我們觀察台灣外匯市場的報酬異質性與波動性之型態,以及訊息在市場中扮演的角色,並以效率市場假說驗證台灣外匯市場的效率性。 本研究使用ARCH/GARCH 家族的模型設定,包括GARCH、PARCH及TARCH三個金融計量模型,以檢視台灣外匯市場微結構下的價格行為。實證結果發現,當新訊息傳達到市場時,將帶給市場參與者衝擊,並對日內交易的價格的形成過程造成不對稱效果。更重要的是,我們發現,透過訊息傳遞及不對稱效果,實證上的結果顯示,台灣的外匯市場是一個相當近似於半強式的效率市場。
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.