Taiwan's Foreign Exchange Market - Volatile but Still Efficient?

Taiwan's Foreign Exchange Market - Volatile but Still Efficient?

This paper investigates the importance of return heterogeneity and volatility for the foreign exchange rate on the New Taiwan (NT) dollar in terms of the U.S. dollar. We describe the price behavior of the foreign exchange market through the Power GARCH (1,1) and EGARCH (1,1) models. The time knots o...

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Veröffentlicht in:Emerging markets finance & trade 2010-01, Vol.46 (1), p.34
Hauptverfasser: Lin, Chuang-Yuang, Wu, Ruey-Shan, Chen, Tsai
Format: Artikel
Sprache:eng
Schlagworte:
Efficiency
Foreign exchange markets
Foreign exchange rates
Securities prices
Stochastic models
Studies
Volatility
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Zusammenfassung:This paper investigates the importance of return heterogeneity and volatility for the foreign exchange rate on the New Taiwan (NT) dollar in terms of the U.S. dollar. We describe the price behavior of the foreign exchange market through the Power GARCH (1,1) and EGARCH (1,1) models. The time knots of market events are found to have deep impacts on the behavior of both market agents and the intraday characteristics of the price process. Evidence also reveals that Taiwan's foreign exchange market is semi-strong efficient. [PUBLICATION ABSTRACT]
ISSN:1540-496X
1558-0938