Currency Crisis and the Arbitrage of NDF:An Empirical Study of Five Countries in Asia

• Main Authors: YU-YA HUANG, 黃郁雅
• Other Authors: Mei-Se Chien
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/92184819085181664704

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === The main purpose of this paper is to investigate the efficiency of foreign exchange market over the period of currency crisis in five Asian Countries, applying the data of non-deliverable forwards market（NDF） to test it. The empirical results show: First , according to empirical results of the EMP index, over the Currency crisis period, the Indonesia is the first one to face the pressure of crisis on Jan.2008, and the second is Indian, while the latest is Korea and Taiwan. Second, the empirical results of cointegration test show that the efficiency is only existing between one-month NDF and spot exchange rate market, which is supported by the existence of cointegration relationship. Reversely, the efficiencies between three months, or six months, of NDF and spot exchange rate are not exisitng, which cause the investment can make profits using arbitrage of these markets.