One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures

摘要

本研究探討了即期匯率與期貨隱含之美元（USD)/新台幣（NTD)匯率關係。由 於台灣期貨交易所（TAIFEX)同時有新台幣計價黃金期貨（TGF)及美元計價黃金期 貨（GDF)交易，使得本研究得以探討此關係。本研究不僅有助於了解金融市場的價格 發現功能，更可透過此獨特的期貨契約進一步理解市場效率和市場機制。首先，單根測試 發現即期匯率與隱含匯率爲Ⅰ(1)共整。此外，Johansen共積測試、Granger causality 測試以及向量誤差修正模型（VECM)皆顯示，即期匯率影響隱含匯率。資訊比率（Hasbrouck [16])結果則顯示，即期匯率之資訊比率高於隱含匯率之資訊比率。最後，多元回 歸分析亦顯示類似的結果。我們的實證研究結果顯示，在發展中的金融市場，造市商的角 色是很重要的。%In this study, we investigate the relationship between spot and implied futures exchange rate between U.S. Dollar (USD) and New Taiwan Dollar (NTD). We are the first to discuss such relationship because only the characteristics of NTD Gold Futures (TGF) and USD Gold Futures (GDF) traded on the Taiwan Futures Exchange (TAIFEX) allow us to do so. Thus, we not only contribute on understanding of price discovery in financial markets, but also on market efficiency and market mechanism through the unique futures contracts on the TAIFEX. The unit root tests confirm that spot exchange rate and implied exchange rate are integrated of order 1,i.e., I(1). Furthermore, Johansen cointegration test, Granger causality test, and Vector Error Correction Model (VECM) show that spot exchange rate more influences implied exchange rate. We calculate the information shares (Hasbrouck [16]) for spot exchange rate and implied exchange rate, and the results show the information shares for spot exchange rate are higher than those for implied exchange rate. Moreover, the multivariate regression analysis demonstrates similar results. The implications of our empirical results indicate the importance of market makers in less mature markets.