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A Re-Examination of the Relationship between Spot Exchange Rate and Forward Exchange Rate ¢wApplication by Panel Cointegration

by Lee, Zhen-Yi

Abstract (Summary)
There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency therefore is worthy of investigate in international finance. According to simple market efficiency hypothesis, the long-run relationship wound exist between spot exchange rate and forward exchange rate as foreign exchange markets are efficient. In the purpose of this study is to examine the long-run relationship between spot exchange rate and forward exchange rate by cointegration theory. We consider a new method¡Ðpanel cointegration that data sets contain not only time series also corss sections, to re-examine the relationship between spot and forward exchange rates. Conclusively, the results of cointegration relationships exist between spot and forward exchange rates in Taiwan, Singapore, Japanese, and Canada by applying panel cointegration model.
Bibliographical Information:

Advisor:Lee, chingnun; Ming-Jang WENG; none

School:National Sun Yat-Sen University

School Location:China - Taiwan

Source Type:Master's Thesis

Keywords:exchange rate spot market efficiency forward panel cointegration

ISBN:

Date of Publication:07/21/2005

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