| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 92 === The difference between financial markets is an widely studied issue in past years. However, the prior study and econometric models focus on the “degree” of the dependence. For example, the correlation between U.S.-Europe is higher than U.S.—Japan. Comparing to the “degree” of the dependence, the “structure” of dependence is an important issue but usually being ignored in variety of study and research. We can observe that different dependence structure have the same degree of dependence.
The data set contains eight currencies: Taiwan, Japan, Korea, Hong Kong, Indonesia, China, Malaysia, Thailand and Singapore. By proper econometric approach, we discuss if the existence of NDF market can affect the dependence structure of exchange market between Taiwan and the other countries. The major findings of the essay are as follows:
1. It founds that the J structure disappear after the NDF opened.
2. After the NDF is opened, the dependence structure of exchange market is obviously changed ,except Malaysia.
3. After the NDF is closed, the dependence structure of exchange market is obviously changed ,except Malaysia.
4. After 1997/05, the major dependence structure of exchange market is “Gumbel”, except Malaysia. In other words, the markets depreciate together. It means that the information spillover effect exists.
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