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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/74186

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/74186

Title:	Testing Efficiency of the Taiwan-US Forward Exchange Market - A Markov Switching Model
Authors:	Shen, Chung-Hua 沈中華
Contributors:	金融系
Date:	1994
Issue Date:	2015-03-30 12:02:11 (UTC+8)
Abstract:	The 30-day Taiwan-US forward exchange market was tested in this study. The hypothesis that the sample was drawn from a finite mixture distributions could not be rejected, which justified the use of a two-state, first-order Markov switching model. The first state rejected the null hypothesis of SEMH, whereas the second state was consistent with the hypothesis. During most of the time, the smoothed probability of state 2 was around 90%, which indicates that the efficient state has the dominant effect. This smoothed probability was observed to change over time.
Relation:	Asian Economic Journal, Volume 8, Issue 2, pages 205–216,
Data Type:	article
DOI link:	http://dx.doi.org/10.1111/j.1467-8381.1994.tb00013.x
DOI:	10.1111/j.1467-8381.1994.tb00013.x
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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