Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison

被引：8

作者：

Wang, Kai-Li ^{[1
]}

Fawson, Christopher ^{[2
]}

Chen, Mei-Ling ^{[3
]}

Wu, An-Chi ^{[4
]}

机构：

[1] Tunghai Univ, Dept Finance, Taichung, Taiwan

[2] Utah State Univ, Dept Econ & Finance, Logan, UT 84322 USA

[3] Da Yeh Univ, Dept Int Business Management, Dacun Township, Taiwan

[4] Natl Chengchi Univ, Dept Money & Banking, Taipei, Taiwan

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2014年 / 27卷

关键词：

Multivariate GMGARCH; Forward-directed currency markets; STOCK INDEX VOLATILITY; CONDITIONAL HETEROSCEDASTICITY; FUTURES; COINTEGRATION; DEVIATIONS; RETURNS; IMPACT;

D O I：

10.1016/j.pacfin.2014.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using an innovative GMGARCH-MSKST model that allows for asymmetric generalized dynamic conditional correlation, this paper analyzes return and volatility interactions among spot, non-deliverable forward (NDF) and deliverable forward (DF) exchange rate markets for Korea and Taiwan. With the backdrop of these two very different regulatory and institutional regimes we examine how the inter-temporal dynamics of forward-directed currency market instruments are both influenced by, and influence, spot market exchange rates. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：115 / 137

页数：23

共 58 条

[1] Foreign exchange market efficiency under recent crises: Asia-Pacific focus [J].