Investigating the forward premium anomaly of emerging markets

• Main Authors: Shih-I Chen, 陳詩怡
• Other Authors: Tsung-Wu Ho
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/478cu2

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === The foreign exchange market of emerging country faced with the various countries' monetary policy regime changes, compares the mature national market to have many uncertainty factors. According to the modern scholar in view of the mature country collects the forward premium changes, it has by uncertainty phenomenon. Explanations for forward premium bias attributes to presence of forecast errors and existence of time-varying risk premia. In this paper, we will observe the diverse properties of risk premia in emerging markets whether also have the irrationality expectations and time-varying risk premia. Subject to the time series of data available, this paper adopts the panel data of 6 markets in MSCI announcement emerging markets. Furthermore, this thesis is to use ARMA (1,1) model and tries to probe into the common factors of different forward premium terms whether there are diverse relationships to government policy operations and emerging market environment. In this study we employ daily spot and forward exchange rates that cover the period March 29, 2004 through September 10, 2007. The empirical findings that emerging country market environment, easy to affect premium structures deviation, even appears the large scale undulation. The results indicate that the dynamics of the forward prediction error as well as in the different period structure, received the national circumstance environment influence which can be attributed time-varying risk premia. Furthermore, collection emerging markets environment circumstance reported that to prove forward premium bias influence of different changes in emerging markets.