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題名 風險貼水與技術交易報酬-台幣/美元之實証分析
Risk premium and technical trading return-ntd/usd empirical study作者 邱怡璇
Chiu, Yi Hsuan貢獻者 郭炳伸
Kuo, Biing Shen
邱怡璇
Chiu, Yi Hsuan關鍵詞 技術交易
超額報酬
風險貼水
資本資產定價模型
technical trading
excess return
risk premium
capm日期 2012 上傳時間 22-Jul-2013 10:11:03 (UTC+8) 摘要 本文主要針對台幣兌換美元的匯價，採用移動平均法則給定的交易訊號模擬交易，透過模擬交易得到顯著異於零的超額報酬，試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示：在傳統資本資產定價模型下，超額報酬無法透過承擔風險所獲得風險貼水來解釋，但加入金融危機事件的影響後，發現在金融危機期間，市場風險係數下降，異常報酬增加，表示在此期間，即使市場大盤表現不佳，技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢，使金融危機期間的技術交易報酬平均高於金融危機前後。 參考文獻 中文文獻[1]蔡宗岸，「簡單技術分析交易法則」，國立政治大學國際經營與貿易研究所未出版碩士論文，2006年。[2]謝明霖、雷立芬，「台灣上市公司隨時間變動系統風險之結構性轉變研究」，台灣銀行季刊，第61卷第4期，第244-256頁2009年。[3]莊珮玲、林信助、郭炳伸，「技術交易策略在外匯市場無往不利？」，台灣經濟預測與政策，中央研究院經濟研究所，第41卷第2期，第95-126頁，2011年。國外文獻[1]Choudhry, T., “Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms ”, Pacific-Basin Finance Journal, Vol. 13, 2005, pp. 93–118.[2]Ghysels, E., “On stable factor structures in the pricing of risk: Do time varying betas help or hurt?”, Journal of Finance, Vol. 53, 1998, pp. 549–573.[3]Harris, R., S., Marston, F., C., Mishra, D., R., and O’Brien T., J., “Ex ante cost of equity estimates of S&P 500 firms: The choice between global and domestic CAPM ”, Handbook of the Economics of Finance, Vol. 1, 2003, pp. 975–1020.[4]Huang, P., and Hueng, C. J., “Conditional risk-return relationship in a time-varying beta model”, Quantitative Finance, Vol. 8, 2008, pp. 381–390.[5]Jensen, M., C., “Some anomalous evidence regarding market efficient”, Journal of Financial Economics, Vol. 6, 1978, pp. 95–101.[6]Krugman, P., “Target zones and exchange rate dynamics”, Quarterly Journal of Economics, Vol. 56, 1991, pp. 669–682.[7]Kho, Bong-Chan., “Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets ”, Journal of Financial Economics, Vol. 41, 1996, pp. 249–290. [8]Karolyi, S., N., and Ruback, R., S., “Are financial assets priced locally or globally?”, Handbook of the Economics of Finance, Vol. 1, 2003, pp. 975–1020.[9]LeBaron, B., “Technical trading rule profitability and foreign exchange intervention”, Journal of International Economics, Vol. 49, 1992, pp. 1731–1764.[10]Martin, A., D., “Technical trading rules in the spot foreign exchange markets of developing countries”, Journal of Multinational Financial Management, Vol. 11, 2001, pp. 59–68.[11]Pettengill, N., G., Sundaram, S., and Mathur, I., “The conditional return between beta and returns”, The Journal of Financial and Quantitative Analysis, Vol. 30, 1995, pp. 101–116.[12]Park, Cheol-Ho, and Irwin S. H., “What do we know about the profitability of technical analysis”, Journal of Economic Surveys, Vol. 21, 2007, pp. 786–826.[13]Stehle, R., M., “An empirical test of the alternative hypotheses of national and international pricing of risky assets ”, Journal of Finance, Vol. 32, 1977, pp. 493–502.[14]Saacke, P., “Technical analysis and effectiveness of central bank intervention”, Journal of Finance, Vol. 41, 2002, pp. 163–182.[15]Tofallis, C., “Investment volatility： A critique of standard beta estimation and a simple way forward”, European Journal of Operational Reserch, Vol. 187, 2008, pp. 1358–1367.[16]Volis, A., Diamandis, P., and Karathanassis G., “Time-varying beta risk for the stocks of the Athens Stock Exchange”, Investment Management and Financial Innovations, Vol. 8, 2011, pp. 191–198. 描述 碩士
國立政治大學
國際經營與貿易研究所
100351032
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100351032 資料類型 thesis dc.contributor.advisor 郭炳伸 zh_TW dc.contributor.advisor Kuo, Biing Shen en_US dc.contributor.author (Authors) 邱怡璇 zh_TW dc.contributor.author (Authors) Chiu, Yi Hsuan en_US dc.creator (作者) 邱怡璇 zh_TW dc.creator (作者) Chiu, Yi Hsuan en_US dc.date (日期) 2012 en_US dc.date.accessioned 22-Jul-2013 10:11:03 (UTC+8) - dc.date.available 22-Jul-2013 10:11:03 (UTC+8) - dc.date.issued (上傳時間) 22-Jul-2013 10:11:03 (UTC+8) - dc.identifier (Other Identifiers) G0100351032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58911 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 100351032 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本文主要針對台幣兌換美元的匯價，採用移動平均法則給定的交易訊號模擬交易，透過模擬交易得到顯著異於零的超額報酬，試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示：在傳統資本資產定價模型下，超額報酬無法透過承擔風險所獲得風險貼水來解釋，但加入金融危機事件的影響後，發現在金融危機期間，市場風險係數下降，異常報酬增加，表示在此期間，即使市場大盤表現不佳，技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢，使金融危機期間的技術交易報酬平均高於金融危機前後。 zh_TW dc.description.tableofcontents 第壹章 緒論.........................1第貳章 移動平均法則之超額報酬 ..........5 第一節 移動平均法則...................5 第二節 超額報酬計算...................8 第三節 技術交易策略之超額報酬檢定.......10第參章 實證模型......................19 第一節 實證模型設定...................21 第二節 市場大盤數據的選擇..............23第肆章 實證結果與分析.................25 第一節 模型一之實證結果...............30 第二節 模型二之實證結果...............33 第三節 結果解釋與討論.................37第伍章 結論.........................44參考文獻............................46附錄...............................48 zh_TW dc.format.extent 8443553 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100351032 en_US dc.subject (關鍵詞) 技術交易 zh_TW dc.subject (關鍵詞) 超額報酬 zh_TW dc.subject (關鍵詞) 風險貼水 zh_TW dc.subject (關鍵詞) 資本資產定價模型 zh_TW dc.subject (關鍵詞) technical trading en_US dc.subject (關鍵詞) excess return en_US dc.subject (關鍵詞) risk premium en_US dc.subject (關鍵詞) capm en_US dc.title (題名) 風險貼水與技術交易報酬-台幣/美元之實証分析 zh_TW dc.title (題名) Risk premium and technical trading return-ntd/usd empirical study en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 中文文獻[1]蔡宗岸，「簡單技術分析交易法則」，國立政治大學國際經營與貿易研究所未出版碩士論文，2006年。[2]謝明霖、雷立芬，「台灣上市公司隨時間變動系統風險之結構性轉變研究」，台灣銀行季刊，第61卷第4期，第244-256頁2009年。[3]莊珮玲、林信助、郭炳伸，「技術交易策略在外匯市場無往不利？」，台灣經濟預測與政策，中央研究院經濟研究所，第41卷第2期，第95-126頁，2011年。國外文獻[1]Choudhry, T., “Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms ”, Pacific-Basin Finance Journal, Vol. 13, 2005, pp. 93–118.[2]Ghysels, E., “On stable factor structures in the pricing of risk: Do time varying betas help or hurt?”, Journal of Finance, Vol. 53, 1998, pp. 549–573.[3]Harris, R., S., Marston, F., C., Mishra, D., R., and O’Brien T., J., “Ex ante cost of equity estimates of S&P 500 firms: The choice between global and domestic CAPM ”, Handbook of the Economics of Finance, Vol. 1, 2003, pp. 975–1020.[4]Huang, P., and Hueng, C. J., “Conditional risk-return relationship in a time-varying beta model”, Quantitative Finance, Vol. 8, 2008, pp. 381–390.[5]Jensen, M., C., “Some anomalous evidence regarding market efficient”, Journal of Financial Economics, Vol. 6, 1978, pp. 95–101.[6]Krugman, P., “Target zones and exchange rate dynamics”, Quarterly Journal of Economics, Vol. 56, 1991, pp. 669–682.[7]Kho, Bong-Chan., “Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets ”, Journal of Financial Economics, Vol. 41, 1996, pp. 249–290. [8]Karolyi, S., N., and Ruback, R., S., “Are financial assets priced locally or globally?”, Handbook of the Economics of Finance, Vol. 1, 2003, pp. 975–1020.[9]LeBaron, B., “Technical trading rule profitability and foreign exchange intervention”, Journal of International Economics, Vol. 49, 1992, pp. 1731–1764.[10]Martin, A., D., “Technical trading rules in the spot foreign exchange markets of developing countries”, Journal of Multinational Financial Management, Vol. 11, 2001, pp. 59–68.[11]Pettengill, N., G., Sundaram, S., and Mathur, I., “The conditional return between beta and returns”, The Journal of Financial and Quantitative Analysis, Vol. 30, 1995, pp. 101–116.[12]Park, Cheol-Ho, and Irwin S. H., “What do we know about the profitability of technical analysis”, Journal of Economic Surveys, Vol. 21, 2007, pp. 786–826.[13]Stehle, R., M., “An empirical test of the alternative hypotheses of national and international pricing of risky assets ”, Journal of Finance, Vol. 32, 1977, pp. 493–502.[14]Saacke, P., “Technical analysis and effectiveness of central bank intervention”, Journal of Finance, Vol. 41, 2002, pp. 163–182.[15]Tofallis, C., “Investment volatility： A critique of standard beta estimation and a simple way forward”, European Journal of Operational Reserch, Vol. 187, 2008, pp. 1358–1367.[16]Volis, A., Diamandis, P., and Karathanassis G., “Time-varying beta risk for the stocks of the Athens Stock Exchange”, Investment Management and Financial Innovations, Vol. 8, 2011, pp. 191–198. zh_TW
