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題名 外匯市場利差交易分析
Analysis of The Carry Trade in Monthly Currency Market作者 林比莉
Lin, Bi Li貢獻者 林建秀
Lin, Chien Hsiu
林比莉
Lin, Bi Li關鍵詞 利差交易
外匯市場
套利限制
經濟循環風險因子日期 2016 上傳時間 2-Aug-2016 17:13:07 (UTC+8) 摘要 本研究主要在探討外匯市場中從1983年11月至2015年10月期間的利差交易策略是否存在超額報酬,並進一步解釋造成利差交易超額報酬的原因,使用61個國家之貨幣建構投資組合,從交易成本、景氣循環波動以及套利限制三個方面來解釋利差交易超額報酬的存在。實證結果發現,以較短月期的遠期外匯建構投資組合,這樣的利差交易策略可以得到較高的報酬,相反地,若以較長月期之遠期外匯建構投資組合,利差交易報酬較低,同時也發現利差交易的超額報酬可以被交易成本部分解釋,景氣循環變數亦可解釋利差交易超額報酬,逐步迴歸結果篩出之總體經濟變數與利差交易超額報酬呈現顯著結果,最後將套利限制加入考慮後,發現投資人在從事利差交易策略時並不會被套利限制所阻擋,貨幣之國家風險與異質性波動度皆不會影響投資人從事套利行為。 參考文獻 [1] Anzuini, A., & Fornari, F. (2012). Macroeconomic determinants of carry trade activity. Review of International Economics, 20(3), 468-488.[2] Bansal, R., & Dahlquist, M. (2000). The forward premium puzzle: different tales from developed and emerging economies. Journal of international Economics, 51(1), 115-144.[3] Barberis, N., & Thaler, R. (2003). A survey of behavioral finance. Handbook of the Economics of Finance, 1, 1053-1128.[4] Brunnermeier, M. K., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. Review of Financial studies, 22(6), 2201-2238. [5] Burnside, C., Eichenbaum, M. S., & Rebelo, S. (2011). Carry trade and momentum in currency markets (No. w16942). National Bureau of Economic Research.[6] Chaboud, A. P., & Wright, J. H. (2005). Uncovered interest parity: it works, but not for long. Journal of International Economics, 66(2), 349-362.[7] D’avolio, G. (2002). The market for borrowing stock. Journal of financial economics, 66(2), 271-306.[8] De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive feedback investment strategies and destabilizing rational speculation. the Journal of Finance, 45(2), 379-395. [9] Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.[10] Fama, E. F. (1984). Forward and spot exchange rates. Journal of monetary economics, 14(3), 319-338.[11] Gyntelberg, J., & Remolona, E. M. (2007). Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review, December.[12] Hutchison, M., & Sushko, V. (2013). Impact of macro-economic surprises on carry trade activity. Journal of Banking & Finance, 37(4), 1133-1147.[13] Korajczyk, R. A., & Sadka, R. (2004). Are momentum profits robust to trading costs?. The Journal of Finance, 59(3), 1039-1082.[14] Lesmond, D. A., Schill, M. J., & Zhou, C. (2004). The illusory nature of momentum profits. Journal of financial economics, 71(2), 349-380.[15] Lustig, H., & Verdelhan, A. (2007). The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97(1), 89-117.[16] Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24(11), 3731-3777.[17] Lustig, H., Roussanov, N., & Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 111(3), 527-553.[18] Melvin, M., & Taylor, M. P. (2009). The crisis in the foreign exchange market. Journal of International Money and Finance, 28(8), 1317-1330. [19] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012a). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.[20] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A., (2012b)Carry trades and global foreign exchange volatility. The Journal of Finance, 67(2), 681-718.[21] 謝皓雯. (2014). 外匯市場動能效果分析, NCCU Master Thesis 描述 碩士
國立政治大學
金融學系
103352010資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103352010 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.advisor Lin, Chien Hsiu en_US dc.contributor.author (Authors) 林比莉 zh_TW dc.contributor.author (Authors) Lin, Bi Li en_US dc.creator (作者) 林比莉 zh_TW dc.creator (作者) Lin, Bi Li en_US dc.date (日期) 2016 en_US dc.date.accessioned 2-Aug-2016 17:13:07 (UTC+8) - dc.date.available 2-Aug-2016 17:13:07 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2016 17:13:07 (UTC+8) - dc.identifier (Other Identifiers) G0103352010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99557 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 103352010 zh_TW dc.description.abstract (摘要) 本研究主要在探討外匯市場中從1983年11月至2015年10月期間的利差交易策略是否存在超額報酬,並進一步解釋造成利差交易超額報酬的原因,使用61個國家之貨幣建構投資組合,從交易成本、景氣循環波動以及套利限制三個方面來解釋利差交易超額報酬的存在。實證結果發現,以較短月期的遠期外匯建構投資組合,這樣的利差交易策略可以得到較高的報酬,相反地,若以較長月期之遠期外匯建構投資組合,利差交易報酬較低,同時也發現利差交易的超額報酬可以被交易成本部分解釋,景氣循環變數亦可解釋利差交易超額報酬,逐步迴歸結果篩出之總體經濟變數與利差交易超額報酬呈現顯著結果,最後將套利限制加入考慮後,發現投資人在從事利差交易策略時並不會被套利限制所阻擋,貨幣之國家風險與異質性波動度皆不會影響投資人從事套利行為。 zh_TW dc.description.tableofcontents 誌謝 i摘要 iiCONTENTS iiiLIST OF FIGURES vLIST OF TABLES viChapter 1 緒論 11.1 研究動機與目的 11.2 章節介紹 3Chapter 2 文獻回顧 42.1 遠期貼水之謎 42.2 交易成本 52.3 景氣循環波動 52.4 套利限制 7Chapter 3 樣本選擇與研究方法 103.1 樣本選擇與資料來源 103.1.1 利差交易策略資料來源 103.1.2 總經變數資料來源 143.1.3 衡量國家風險的方法 213.2 研究方法 253.2.1 貨幣超額報酬 253.2.2 投資組合 263.3 逐步迴歸分析法 273.4 以國家風險與異質性波動為基準的雙重排序 283.4.1 國家風險 283.4.2 異質性波動度 28Chapter 4 實證結果 304.1 利差交易超額報酬 304.2 交易成本對利差交易的影響 344.3 利差交易與總體經濟變數的關係 364.4 國家風險與利差交易超額報酬的關係 414.5 異質性波動與利差交易報酬的關係 44Chapter 5 結論 47REFERENCE 48 zh_TW dc.format.extent 981030 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103352010 en_US dc.subject (關鍵詞) 利差交易 zh_TW dc.subject (關鍵詞) 外匯市場 zh_TW dc.subject (關鍵詞) 套利限制 zh_TW dc.subject (關鍵詞) 經濟循環風險因子 zh_TW dc.title (題名) 外匯市場利差交易分析 zh_TW dc.title (題名) Analysis of The Carry Trade in Monthly Currency Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] Anzuini, A., & Fornari, F. (2012). Macroeconomic determinants of carry trade activity. Review of International Economics, 20(3), 468-488.[2] Bansal, R., & Dahlquist, M. (2000). The forward premium puzzle: different tales from developed and emerging economies. Journal of international Economics, 51(1), 115-144.[3] Barberis, N., & Thaler, R. (2003). A survey of behavioral finance. Handbook of the Economics of Finance, 1, 1053-1128.[4] Brunnermeier, M. K., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. Review of Financial studies, 22(6), 2201-2238. [5] Burnside, C., Eichenbaum, M. S., & Rebelo, S. (2011). Carry trade and momentum in currency markets (No. w16942). National Bureau of Economic Research.[6] Chaboud, A. P., & Wright, J. H. (2005). Uncovered interest parity: it works, but not for long. Journal of International Economics, 66(2), 349-362.[7] D’avolio, G. (2002). The market for borrowing stock. Journal of financial economics, 66(2), 271-306.[8] De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive feedback investment strategies and destabilizing rational speculation. the Journal of Finance, 45(2), 379-395. [9] Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.[10] Fama, E. F. (1984). Forward and spot exchange rates. Journal of monetary economics, 14(3), 319-338.[11] Gyntelberg, J., & Remolona, E. M. (2007). Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review, December.[12] Hutchison, M., & Sushko, V. (2013). Impact of macro-economic surprises on carry trade activity. Journal of Banking & Finance, 37(4), 1133-1147.[13] Korajczyk, R. A., & Sadka, R. (2004). Are momentum profits robust to trading costs?. The Journal of Finance, 59(3), 1039-1082.[14] Lesmond, D. A., Schill, M. J., & Zhou, C. (2004). The illusory nature of momentum profits. Journal of financial economics, 71(2), 349-380.[15] Lustig, H., & Verdelhan, A. (2007). The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97(1), 89-117.[16] Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24(11), 3731-3777.[17] Lustig, H., Roussanov, N., & Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 111(3), 527-553.[18] Melvin, M., & Taylor, M. P. (2009). The crisis in the foreign exchange market. Journal of International Money and Finance, 28(8), 1317-1330. [19] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012a). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.[20] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A., (2012b)Carry trades and global foreign exchange volatility. The Journal of Finance, 67(2), 681-718.[21] 謝皓雯. (2014). 外匯市場動能效果分析, NCCU Master Thesis zh_TW