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Taiwan's Foreign Exchange Market—Volatile but Still Efficient?

Author

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  • Chuang-Yuang Lin
  • Ruey-Shan Wu
  • Tsai Chen

Abstract

This paper investigates the importance of return heterogeneity and volatility for the foreign exchange rate on the New Taiwan (NT) dollar in terms of the U. S. dollar. We describe the price behavior of the foreign exchange market through the Power GARCH (1,1) and EGARCH (1,1) models. The time knots of market events are found to have deep impacts on the behavior of both market agents and the intraday characteristics of the price process. Evidence also reveals that Taiwan's foreign exchange market is semi-strong efficient.

Suggested Citation

  • Chuang-Yuang Lin & Ruey-Shan Wu & Tsai Chen, 2010. "Taiwan's Foreign Exchange Market—Volatile but Still Efficient?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(1), pages 34-41, January.
    • Handle: RePEc:mes:emfitr:v:46:y:2010:i:1:p:34-41
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    Cited by:

    1. Lazăr, Dorina & Todea, Alexandru & Filip, Diana, 2012. "Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets," Economic Systems, Elsevier, vol. 36(3), pages 338-350.

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