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https://ah.lib.nccu.edu.tw/handle/140.119/58870| 題名: | 台灣外匯市場報酬風險抵換關係 The Risk-Return Trade-Off in the Foreign Exchange Market in Taiwan. |
作者: | 許紹偉 | 貢獻者: | 饒秀華<br>徐士勛 許紹偉 |
關鍵詞: | 外匯市場 風險報酬抵換關係 實際波動度 實際偏態系數 風險價值 |
日期: | 2012 | 上傳時間: | 11-七月-2013 | 摘要: | 風險與報酬的抵換關係一直是廣為討論的議題，以往的文獻中大多以股票市場為探討對象，但實證研究上股票市場的風險報酬抵換關係並無一致的結果。有別於以往文獻，本研究以外匯市場為主，並以美元、英鎊及日幣三種外匯做為探討對象，採用的樣本期間從1990年7月至2012年12月的外匯日資料，經過計算後求得超額報酬、實際波動度、實際偏態係數絕對值及風險價值。本研究採用GARCH(1,1)模型探討三種風險衡量指標與外匯超額報酬的抵換關係。研究結果顯示，同時使用三種風險衡量指標的模型，其配適度優於只使用一種風險衡量指標的模型，並發現在多變數風險抵換報酬模型中，三種外匯的實際波動度及風險價值呈現顯著，其中實際波動度為負向抵換關係，風險價值為正向抵換關係，實際偏態係數絕對值只有美元些微顯著，英鎊及日幣則是不顯著。除此之外，本研究更利用加入金融風暴虛擬變數及將時間分段兩種方式，探討金融風暴對台灣外匯市場的風險報酬抵換關係影響，推論出金融風暴後美元的風險報酬抵換程度上升，而英鎊及日幣的風險報酬抵換程度則是下降。 | 參考文獻: | 一、國外文獻\nAkgiray, V. (1989). Conditional heteroscedasticity in time series of stock returns: evidence and forecasts. Journal of business, 55-80. \nAndersen, T. G., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of empirical finance, 4(2), 115-158.\nAndersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001). The distribution of realized exchange rate volatility. 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Journal of International Money and Finance, 26(2), 167-192.\n\n\n\n二、國內文獻\n李春旺、劉維琪、高孔廉.，1989。「股價行為與規模效應：台灣股票市場實證研\n 究」，管理評論,8, 99-121.\n林建甫、張焯然，1996。「ARCH族模型估計與檢定的問題」，經濟論文叢刊，\n 24卷3期，339-355。\n陳佩鈴，2002。「匯率條件風險值之估計與比較」，中原大學國際貿易學系碩士\n 學位論文。\n廖偉真、雷立芬，2009。「不同樣本頻率之股市波動性估計─GARCH、TGARCH\n 與 EGARCH 之比較」，台灣銀行季刊，第六十一卷，第四期，294-307。\n林建甫，2009。「GARCH模型對匯率風險值之估計」，台灣大學經濟學系在職\n 專班碩士學位論文。\n卓泰佑，2009。「報酬與風險抵換關係之分量迴歸分析」，交通大學經營管理研\n 究所碩士學位論文。\n沈大白、周大慶、柯瓊鳳、張大成、敬永康，2007。「風險管理新標竿—風險值\n 理論與應用─The Benchmark for Risk Management」\n呂湘君，2010。「亞洲單一貨幣化與風險值之相關研究」，中原大學企業管理學\n 系碩士學位論文。 | 描述: | 碩士 國立政治大學 經濟學系 100258011 101 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G1002580112 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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