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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/74186


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    題名: Testing Efficiency of the Taiwan-US Forward Exchange Market - A Markov Switching Model
    作者: Shen, Chung-Hua
    沈中華
    貢獻者: 金融系
    日期: 1994
    上傳時間: 2015-03-30 12:02:11 (UTC+8)
    摘要: 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.
    關聯: Asian Economic Journal, Volume 8, Issue 2, pages 205–216,
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1111/j.1467-8381.1994.tb00013.x
    DOI: 10.1111/j.1467-8381.1994.tb00013.x
    顯示於類別:[金融學系] 期刊論文

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