本研究用日內資料探討新台幣兌美元的即期匯率與台幣、美元計價黃金期貨所產生的隱含匯率之間價格發現功能、資訊傳遞過程及波動性外溢效果。
    在研究期間中，向量誤差修正模型顯示即期匯率在價格發現中具有較強的主導地位；資訊比例模型顯示即期匯率對於價格發現之貢獻程度較大。由衝擊反應函數知即期匯率為系統內較具影響力的變數，但預測誤差變異數無法判斷哪一匯率為系統中資訊的主要來源。另外，雙變量 VECM-GARCH(1,1)模型得到兩匯率間存在顯著的雙向波動性外溢效果。以迴歸去分析影響價格發現之因素發現兩匯率相對的資訊比例，與美元計價黃金期貨累積買賣價差具負相關，與即期匯率波動率具正相關。
    上述結果大多顯示即期匯率具較佳價格發現，其原因可能與市場成熟度有關：匯率現貨市場是一個相對成熟的市場，故在價格發現中處於主導地位；黃金期貨發行時間不長，故隱含匯率的價格發現功能尚未充分發揮。預期未來黃金期貨市場成熟後，台幣、美元計價之黃金期貨產生的隱含匯率可以有增加價格發現能力的空間，進而提供市場參與者另一個對新台幣兌美元匯率之避險、投機及套利行為的管道。

This thesis aims to investigate the price discovery, information transmission and volatility spillovers in the U.S. dollar implied exchange rate from GDF and TGF and spot exchange rate based on adopting the bivariate VECM-GARCH(1,1), VECM, and information share (Hasbrouck, 1995) approach. Besides, variance decomposition and impulse response function is employed to explore short-run information transmission for two exchange rate systems. 
The empirical evidence indicates that implied exchange rate adjust more toward the equilibrium and is more likely the satellite market. Short-term information process shows that spot exchange rate innovation weight more than implied exchange rate innovation in impulse response. A significant bidirectional information flow is found by examining the volatility spillovers for two exchange rate systems on a bivariate VECM-GARCH(1,1) model.

目錄
第一章　緒　論1
第一節 研究背景與動機1
第二節 研究目的2
第三節 研究架構8
第二章 文獻回顧11
第一節 我國外匯市場、台北外匯經紀公司簡介與黃金期貨11
第二節 效率市場與價格發現16
第三節 價格發現之文獻20
第三章　研究方法39
第一節 單根檢定40
第二節 共整合檢定43
第三節 向量自我迴歸模型47
第四節 向量誤差修正模型48
第五節 Granger因果關係檢定49
第六節 衝擊反應函數	50
第七節 預測誤差變異數分解52
第八節 Hasbrouck資訊比例模型53
第九節 ARCH效果檢定58
第十節 VECM-GARCH模型60
第十一節 影響價格發現因素之估計64
第四章  實證結果與分析69
第一節 資料來源與處理69
第二節 基本統計量分析71
第三節 單根檢定74
第四節 共整合檢定77
第五節 向量誤差修正模型80
第六節 Granger因果關係83
第七節 衝擊反應函數	84
第八節 預測誤差變異數分解89
第九節 Hasbrouck資訊比例模型93
第十節 ARCH 檢定95
第十一節 條件變異數不對稱檢定97
第十二節 雙變量 VECM-GARCH 模型98
第十三節 影響價格發現的因素103
第五章  結論110
參　考　文　獻115
一、國外文獻115
二、國內文獻121

表目錄
【表2-1-1】新台幣計價黃金期貨與美元計價黃金期貨契約規格14
【表4-2-1】取自然對數的即期匯率、隱含匯率之基本敘述統計量	71
【表4-2-2】即期匯率、隱含匯率變動率之基本敘述統計量72
【表4-2-3】即期匯率、隱含匯率相關係數73
【表4-3-1】即期匯率、隱含匯率之單根檢定75
【表4-3-2】即期匯率、隱含匯率變動率之單根檢定76
【表4-4-1】即期匯率、隱含匯率之最適落後期選取77
【表4-4-2】Johansen共整合檢定79
【表4-5-1】向量誤差修正模型82
【表4-6-1】Granger因果關係檢定83
【表4-7-1】資料頻率五分鐘之衝擊反應函數86
【表4-7-2】資料頻率十五分鐘之衝擊反應函數86
【表4-8-1】資料頻率五分鐘之預測誤差變異數分解92
【表4-8-2】資料頻率十五分鐘之預測誤差變異數分解92
【表4-10-1】即期、隱含匯率變動率之ARCH效果檢定96
【表4-10-2】即期、隱含匯率變動率之ARCH效果檢定(續)96
【表4-11-1】即期、隱含匯率變動率條件變異數之不對稱檢定97
【表4-12-1】雙變量VECM-GARCH(1,1)模型之估計結果101
【表4-12-2】雙變量VECM-GARCH(1,1)模型殘差項檢定102
【表4-12-3】雙變量VECM-GARCH(1,1)模型殘差項檢定(續)102
【表4-13-1】各市場變數對應的資訊比例值比之雙尾t檢定結果105
【表4-13-1】各市場變數對應的資訊比例值比之雙尾t檢定結果105
            (續)
【表4-13-2】迴歸變數之基本敘述統計量106
【表4-13-2】迴歸變數之基本敘述統計量(續)107
【表4-13-3】市場變數對兩匯率相對價格發現能力之迴歸估計109

圖目錄
【圖1】2009/1/12的即時匯率6
【圖2】研究流程圖10
【圖3】2009年1月至7月之TGF 交易量16
【圖4】2009年1月至7月之GDF 交易量16
【圖5】變數順序為△ln(pE)、△ln(pIE)之衝擊反應圖(資料頻率
       ：五分鐘)87
【圖6】變數順序為△ln(pIE)、△ln(pE)之衝擊反應圖(資料頻率
       ：五分鐘)87
【圖7】變數順序為△ln(pE)、△ln(pIE)之衝擊反應圖(資料頻率
       ：十五分鐘)88
【圖6】變數順序為△ln(pIE)、△ln(pE)之衝擊反應圖(資料頻率
       ：十五分鐘)88

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