Taiwan exchange rate market

This paper investigates the market-risk-hedging effectiveness of the Taiwan Futures Exchange (TAIFEX) stock index futures using daily settlement prices for the period from July 21, 1998 to December 31, 2010. The minimum variance hedge ratios (MVHRs) are estimated from the ordinary least squares regression model (OLS), the vector error correction model (VECM), the generalized autoregressive conditional heteroskedasticity model (GARCH), the threshold GARCH model (TGARCH), and the bivariate GARCH model (BGARCH), respectively.

19p nguyenanhtuan_qb 09-07-2020 21 3   Download

The paper examines short-run exchange rate dynamics in a small open economy, Taiwan, based on the microstructure framework of foreign exchange markets. This study develops a contrarian imbalance-based trading strategy given the negative interaction between lagged order imbalances and current returns. We find that imbalance-based strategy with large order imbalance consistently outperforms the benchmark, and an asymmetry trading performance in the currency appreciations versus depreciations period. These results could interpret as reflecting the official intervention behavior.

28p chauchaungayxua2 19-01-2020 27 2   Download