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| 研究生： |
陳愛修 |
|---|---|
| 論文名稱： |
外匯市場效率性之檢定-世界各主要貨幣之實證 |
| 指導教授： | 劉錦添 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 1990 |
| 畢業學年度： | 78 |
| 語文別： | 中文 |
| 論文頁數： | 101 |
| 相關次數： | 點閱：208 下載：0 |
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目錄
表次
第一章 緒論………1
第一節 研究動機與目的………1
第二節 本文架構………3
第二章 外匯市場效率性檢定之文獻評介………5
第一節 前言………5
第二節 外匯市場效率性不偏性假設之文獻評介………6
第三節 共整合模型之檢定………17
第四節 結論………22
第三章 外匯市場效率性模型設定分析之實證研究………25
第一節 前言………25
第二節 外匯市場效率性假設………26
第三節 設定分析之實證方法………30
第四節 實證結果分析………36
第四章 外匯市場效率性共整合模型之實證研究………58
第一節 前言………58
第二節 共整合模型與外匯市場效率性………59
第三節 共整合模型之估計與檢定方法………64
第四節 實證結果分析………69
第五章 結論與未來研究方向………87
第一節 結論………87
第二節 未來研究方向………90
附錄
資料來源………92
參考文獻………95
表次
表3-1即期匯率與一個月期遠期匯率之不偏性假設檢定………39
表3-2即期匯率與三個月期遠期匯率之不偏性假設檢定………40
表3-3即期匯率與六個月期遠期匯率之不偏性假設檢定………41
表3-4各國匯率不偏性假設檢定之比較………42
表3-5即期匯率與一個月期遠期匯率預測誤差之正交檢定………48
表3-6即期匯率與三個月期遠期匯率預測誤差之正交檢定………49
表3-7即期匯率與六個月期遠期匯率預測誤差之正交檢定………50
表3-8各國歷率預測誤差之正交檢定之比較………51
表4-1序列恆定分析(一) ………70
表4-2序列恆定分析(二) ………70
表4-3相同國家之內，即期匯率與一個月期遠期匯率之共整合………73
表4-4相同國家之內，即期匯率與三個月期遠期匯率之共整合………75
表4-5相同國家之內，即期匯率與六個月期遠期匯率之共整合………76
表4-6不同國家之間，即期匯率之共整合………80
表4-7不同國家之間，一個月期遠期匯率之共整合………81
表4-8不同國家之間，三個月期遠期匯率之共整合………82
表4-9不同國家之間，六個月期遠期匯率之共整合………83
表4-10外匯市場效率性共整合模型檢定之比較………84
附表l各國匯率之基本統計量………94
參考文獻
中文部分:
1.吳中書，「台灣美元遠期外匯市場效率性之檢定」，經濟論文，民國77年3月，第16卷第1期。
2.許怡隆，「外匯市場風險性溢價之探討－異質條件變異數分析法之研究」，政治大學國際貿易研究所碩士論文，民國78年6月。
3.蔡宏洲，「台灣遠期外匯市場效率性之研究」，東海大學企業管理研究所碩士論文，民國75年6月。
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