台灣外匯市場報酬風險抵換關係

許紹偉

Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/58870

DC Field	Value	Language
dc.contributor.advisor	饒秀華<br>徐士勛	zh_TW
dc.contributor.author	許紹偉	zh_TW
dc.creator	許紹偉	zh_TW
dc.date	2012	en_US
dc.date.accessioned	2013-07-11T10:03:21Z	-
dc.date.available	2013-07-11T10:03:21Z	-
dc.date.issued	2013-07-11T10:03:21Z	-
dc.identifier	G1002580112	en_US
dc.identifier.uri	http://nccur.lib.nccu.edu.tw/handle/140.119/58870	-
dc.description	碩士	zh_TW
dc.description	國立政治大學	zh_TW
dc.description	經濟學系	zh_TW
dc.description	100258011	zh_TW
dc.description	101	zh_TW
dc.description.abstract	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。	zh_TW
dc.description.tableofcontents	謝誌 I\n摘要 II\nAbstract III\n目錄 IV\n圖表目錄 V\n第一章緒論 1\n第一節研究背景與動機 1\n第二節研究架構 3\n第二章文獻回顧 5\n第一節風險與報酬的文獻探討 5\n第二節 GARCH模型的文獻探討 7\n第三節變數的文獻探討 8\n第三章研究介紹與方法 13\n第一節研究介紹 13\n第二節研究方法 20\n第四章實證結果與分析 27\n第一節資料分析 27\n第二節單變數風險報酬抵換模型 35\n第三節多變數風險報酬抵換模型 37\n第四節加入金融風暴的多變數風險報酬抵換模型 39\n第五節時間分段之多變數風險報酬抵換模型 42\n第五章結論與建議 46\n參考文獻 47	zh_TW
dc.format.extent	1288295 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en_US	-
dc.source.uri	http://thesis.lib.nccu.edu.tw/record/#G1002580112	en_US
dc.subject	外匯市場	zh_TW
dc.subject	風險報酬抵換關係	zh_TW
dc.subject	實際波動度	zh_TW
dc.subject	實際偏態系數	zh_TW
dc.subject	風險價值	zh_TW
dc.title	台灣外匯市場報酬風險抵換關係	zh_TW
dc.title	The Risk-Return Trade-Off in the Foreign Exchange Market in Taiwan.	en_US
dc.type	thesis	en
dc.relation.reference	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. Journal of the American statistical association, 96(453), 42-55.\nAng, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299\nBaillie, R. T., & DeGennaro, R. P. (1990). Stock returns and volatility. Journal of financial and quantitative analysis, 25(2), 203-214.\nBali, T. G., & Cakici, N. (2008). Idiosyncratic volatility and the cross section of expected returns. Journal of Financial and Quantitative Analysis, 43(1), 29.\nBali, T. G. (2008). The intertemporal relation between expected returns and risk. Journal of Financial Economics, 87(1), 101-131.\nBali, T. G., & Wu, L. (2010). The role of exchange rates in intertemporal risk–return relations. Journal of International Money and Finance, 29(8), 1670-1686.\nBeder, T. S. (1995). VaR: Seductive but dangerous. Financial Analysts Journal, 12-24.\nBollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.\nBollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. The review of economics and statistics, 542-547.\nBollerslev, T., & Wooldridge, J. M. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric reviews, 11(2), 143-172.\nBrunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes (No. w14473). National Bureau of Economic Research.\nBurnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2011). Do peso problems explain the returns to the carry trade?. Review of Financial Studies, 24(3), 853-891.\nCampbell, J. Y. (1987). Stock returns and the term structure. Journal of financial economics, 18(2), 373-399.\nChristiansen, C. (2011). Intertemporal risk-return trade-off in foreign exchange rates. Journal of International Financial Markets, Institutions and Money, 21(4), 535-549.\nChristiansen, C., Ranaldo, A., & Söderlind, P. (2011). The time-varying systematic risk of carry trade strategies. Journal of Financial and Quantitative Analysis, 46(04), 1107-1125\nDickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.\nEngle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.\nFama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105.\nFrench, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics, 19(1), 3-29.\nGlosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801.\nGranger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics.Journal of econometrics, 2(2), 111-120.\nHiraki, T., Maberly, E. D., & Takezawa, N. (1995). The information content of end-of-the-day index futures returns: International evidence from the Osaka Nikkei 225 futures contract. Journal of Banking & Finance, 19(5), 921-936.\nHull, J., & White, A. (1998). Incorporating volatility updating into the historical simulation method for value-at-risk. Journal of Risk, 1(1), 5-19.\nLamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234.\nLundblad, C. (2007). The risk return tradeoff in the long run: 1836–2003. Journal of Financial Economics, 85(1), 123-150.\nMarkowitz, H. (1952). Portfolio selection*. The journal of finance, 7(1), 77-91.\nMandelbrot, B. (1963). The Variation of Certain Speculative Prices. The Journal of Business, 36(4), 394-419.\nMerton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 867-887.\nMerton, R. C. (1980). On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics, 8(4), 323-361.\nMelvin, M., & Taylor, M. P. (2009). The crisis in the foreign exchange market. Journal of International Money and Finance, 28(8), 1317-1330.\nMorgan, I. G. (1976). Stock prices and heteroscedasticity. The Journal of business, 49(4), 496-508.\nMorgan, J. P.(1994).RiskMetrics-Technical Document.New York:J. P. Morgan Bank.\nNajand, M., & Yung, K. (1994). Conditional heteroskedasticity and the weekend effect in S&P 500 index futures. Journal of Business Finance & Accounting, 21(4), 603-612.\nNam, K., & Krausz, J.(2008) Unexpected Volatility Shock, Volatility Feedback Effect, and Intertemporal Risk-Return Relation.\nNelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.\nNelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370.\nPark, C. H., & Irwin, S. (2004). The profitability of technical analysis: a review.\nPoterba, J. M., & Summers, L. H. (1988). Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22(1), 27-59.\nSaid, S. E., & Dickey, D. A. (1984). Testing for unit roots in Autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607.\nSweeney, R. J. (2007). Fed intervention, dollar appreciation, and systematic risk. 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。	zh_TW
item.openairetype	thesis	-
item.languageiso639-1	en_US	-
item.fulltext	With Fulltext	-
item.grantfulltext	open	-
item.openairecristype	http://purl.org/coar/resource_type/c_46ec	-
item.cerifentitytype	Publications	-
Appears in Collections:	學位論文

Files in This Item:

File	Size	Format
011201.pdf	1.26 MB	Adobe PDF2	View/Open

Show simple item record

Google Scholar^TM

Check

Files in This Item:

Google ScholarTM

Google Scholar^TM