本研究旨在探討台灣、韓國與中國大陸不同期限無本金交割遠期外匯市場變動對於現貨市場價格之影響力，研究方法以ADF單根檢定、Johansen共整合檢定和多元線性迴歸分析，採用這三個國家即期匯率(SPOT)、一個月期遠匯(NDF)、三個月期遠匯(NDF)、六個月期遠匯(NDF)、九個月期遠匯(NDF)及十二個月期遠匯(NDF)等每日收盤價為變數。研究期間為2003年1月1日起至2013年12月31日止，並以2008年9月15日美國雷曼兄弟破產作為金融海嘯前、後遠匯市場(NDF)解釋能力之差異比較。本論文實證發現:不同期限無本金交割遠期外匯市場價格對於現貨市場價格存在差異，金融海嘯前以一個月短天期遠匯(NDF)影響力較佳，海嘯後則以九個月長天期遠匯(NDF)影響力為顯著。 The purpose of this research is to investigate the influence of the change of non-delivery forward market for the spot market price on different time schedule among Taiwan, Korea and China. The research methods are ADF unit root test, Johansen cointegration test and multiple linear regression analysis. The daily closing prices of spot exchange rate (SPOT), one month NDF, three months NDF, six months NDF, nine months NDF and twelve months NDF are the variables. The research period is from January 1, 2003 to December 31, 2013. The bankruptcy of Lehman Brothers dated September 15, 2008 is further taken as the difference comparison of ability of long-term foreign exchange market (NDF) before and after the economic crisis. The empirical study of this research finds: the difference is existing in the non-delivery forward market for the spot market price on different time schedule. Prior to the economic crisis, the influence of one month short-term NDF is better; however, after the economic crisis, the influence of nine months long-term NDF is far obvious.
