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- W3085713524 abstract "This study is to examine the three theme of the eπiciency of Korea foreign exchange market including the unbiasedness testing, the relative efficiency estimates, and the information spillover efficiency. Data using the analysis 81’e won-dollar spot and futures in domestic and won-dollar forward in offshore. i.e.. New York and Singapore NDF (non-delivery forward). The empirical results are summarized as follows: First. the efficient market or unbiasedness expectations hypothesis is not rejected in the won-dollar currency futures market apart from offshore New York and Singapore NDF markets. This indicates that the won-dollar futures price is likely to be an accurate indicator of future won-dollar spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Second. the findings suggest the domestic won-dollar futures market is 13.58% efficient. the Singapore offshore won-dollar NDF market is 11.38% efficient. and the New York offshore won-dollar NDF market is 2.68% efficient. This indicates that the domestic won-dollar futures market is more efficient than the offshore won-dollar NDF market. It is therefore possible to conclude that the domestic currency futures price is a relatively successful predictor of the future spot price. Third. the findings suggest the information spillover exists between domestic won-dollar spot/futures market and offshore won-dollar New York NDF market in both direction. This indicates that the two markets are efficiently linked." @default.
- W3085713524 created "2020-09-21" @default.
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- W3085713524 date "2006-11-30" @default.
- W3085713524 modified "2023-09-26" @default.
- W3085713524 title "A Study on the Efficiency in Korea Foreign Exchange Market" @default.
- W3085713524 doi "https://doi.org/10.1108/jdqs-02-2006-b0004" @default.
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