摘要
通过分析韩国和巴西的市场数据得出:新兴市场国家外汇期货推出后,其现货市场传递信息的效率得到了提高,波动性干扰所造成的影响持续性降低,风险控制能力得到了提高。
This paper tests the volatility effected by the foreign exchange futures in Korea and Brazil market. The empirical studies reveal that the efficiency of information transferring is enhanced, the shock effect by volatility disturbing weakened, and what＇ s more the ability of risk control is enhanced after introducing the foreign exchange futures in the emerging market countries.
出处
《亚太经济》
CSSCI
北大核心
2009年第2期34-38,共5页
Asia-Pacific Economic Review
基金
天津财经大学科研发展基金项目(Q0807)
国家自然科学基金项目(70373061)
天津市科技计划项目(07ZLZLZT03000)支持
关键词
外汇期货信
息传递效率
波动持续性
GARCH
VAR
Foreign Exchange Futures, Information Transferring Efficiency, Volatility Durative, GARCH, VaR
