Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison

Kai-Li Wang, Chris Fawson (), Mei-Ling Chen and An-Chi Wu

Pacific-Basin Finance Journal, 2014, vol. 27, issue C, 115-137

Abstract: Using an innovative GMGARCH-MSKST model that allows for asymmetric generalized dynamic conditional correlation, this paper analyzes return and volatility interactions among spot, non-deliverable forward (NDF) and deliverable forward (DF) exchange rate markets for Korea and Taiwan. With the backdrop of these two very different regulatory and institutional regimes we examine how the inter-temporal dynamics of forward-directed currency market instruments are both influenced by, and influence, spot market exchange rates.

Keywords: Multivariate GMGARCH; Forward-directed currency markets (search for similar items in EconPapers)
JEL-codes: C32 C51 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X14000031
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:27:y:2014:i:c:p:115-137

DOI: 10.1016/j.pacfin.2014.01.002

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().