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題名 外匯報酬三因子模型之利差、動能交易策略成因分析
The driving forces behind the carry trade and momentum strategy in three-factors foreign exchange returns model作者 黃品翔
Huang, Ping Hsiang貢獻者 林建秀
Lin, Chien Hsiu
黃品翔
Huang, Ping Hsiang關鍵詞 外匯交易
利差交易策略
動能交易策略
行為財務
FX trading
Carry trade strategy
Momentum trade strategy
Behavioral finance日期 2017 上傳時間 11-Jul-2017 11:35:11 (UTC+8) 摘要 本研究主要是以「外匯報酬三因子模型」為基礎，故先檢視在本樣本期間內(1985/2至2016/10) ，以雙分類法將37國主流貨幣分為9個投組後，外匯超額報酬解釋力，是否會因加入動能策略因子形成之三因子模型，而較原本兩因子模型(市場因子、利差策略因子)來的強？最終測得三因子模型在判斷係數及殘差等適切度表現較佳。接著利用逐步迴歸分析法(限制所有自變數均須於90%信心水準內顯著)嘗試尋找獲利成因，主要挑選出不同面向之11種經濟成因因子(股價指數波動、投機活動、流動性、貨幣波動、落後短期利率、落後股利率、落後期限利差、落後違約利差、)落後避險基金套利資本、工業生產量及通膨率因子)來檢測可否解釋三因子模型中獲取報酬之利差、動能策略因子，並利用Fama-MacBeth兩步驟橫斷面迴歸法評估模型市場定價能力。結果發現定價能力均顯著，而利差交易策略之成因為股價指數波動因子(△EVOL)，因其可能連動匯率波動而呈現負相關；動能交易策略成因則為股價指數波動因子(△EVOL)及落後期限利差因子(△LTS)，主要因動能交易主要來自於市場資訊反應不完全，前者成因因子提供更大的動量執行交易策略、後者則因投資人在不同景氣循環下而有不同的投資反應，如景氣擴張的過度自信與樂觀、景氣衰退下產生行為財務領域中的處置效果，使兩成因與動能策略因子呈現正相關。
This paper is based on the model of three-factors foreign exchange returns. So we test whether three-factors FX model which adds the factor of momentum can have stronger ability to explain currency excess return than two-factors FX model in the sampling period of February 1985 to October 2016. And the 37 kinds of currency are sorted by double sort method and become 9 portfolios. Finally, no matter coefficient of determination or residual error, three-factors FX model performs well.Further, we use stepwise LS regression (independent variable should have statistical significance in 90% confidence interval) to find which factor we choose can cause carry and momentum strategy profit in three-factors FX model. Next, using Fama-MacBeth two-step regression to estimate the asset pricing ability. The results represent that all contribution factors which get from stepwise LS method are significant. Carry trade strategy and △EVOL are negative correlation, because volatility of stock index will influence volatility of FX. And there have the positive correlation between momentum trade strategy and two factors(△EVOL and △LTS). Just because the profit from momentum strategy comes from the incomplete reaction of market information and △EVOL give more motive force. Besides, there have different investment reactions in diverse business cycle. Investors are over confident and optimistic during the period of recession and have disposition effect during the period of boom.參考文獻 Akbas, F., Armstrong, W. J., Sorescu, S., & Subrahmanyam, A. (2015). Smart money, dumb money, and capital market anomalies. Journal of Financial Economics, 118(2), 355-382. Ang, A., Hodrick, R., Xing, Y., & Zhang, X. (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61(1), 259-299. Asness, C. S., Moskowitz, T. J., & Pedersen, L. (2013). Value and Momentum Everywhere. Journal of Finance, 68(3), 929-985. Bakshi, G., Gao Bakshi, X., & Rossi, A. G. (2015). Understanding the sources of risk underlying the cross-section of commodity returns.Bansal, R., & Dahlquist, M. (1999). The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343. Bilson, J. (1981). The "Speculative Efficiency" Hypothesis. The Journal of Business, 54(3), 435-451. Brunnermeier, M., & Pedersen, L. (2007). Market Liquidity and Funding Liquidity. Burnside, C., Eichenbaum, M., & Rebelo, S. (2008). Carry Trade: The Gains of Diversification. Journal of the European Economic Association, 6(2-3), 581-588. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Chaboud, A. P., & Wright, J. (2005). Uncovered interest parity: it works, but not for long. Journal of International Economics, 66(2), 349-362. Charoenrook,A,(2005),Does Sentiment Matter?(Working Paper,No:3301937).Vanderbilt University.Chordia, T., & Shivakumar, L. (2002). Momentum, Business Cycle, and Time-varying Expected Returns. Journal of Finance, 57(2), 985-1019. Clarida, R., Davis, J., & Pedersen, N. (2009). Currency carry trade regimes: Beyond the Fama regression. Journal of International Money and Finance, 28(8), 1375-1389. Cochrane, J. H. (2009). Asset Pricing: (Revised Edition): Princeton University Press.Corcoran, A. (2009). The Determinants of Carry Trade Risk Premia. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreactions. Journal of Finance, 53(6), 1839-1885. Engel, C. (1996). The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance, 3(2), 123-192. Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25(2), 383-417. Fama, E. (1990). Stock Returns, Expected Returns, and Real Activity. Journal of Finance, 45(4), 1089-1108. Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636. Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3), 319-338. Fama, E. F., & French, K. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22(1), 3-25. Filippou, I., & Taylor, M. P. (2014). Common Macro Factors and Currency Premia. Flood, M. (1993). Market structure and inefficiency in the foreign exchange market. Galati, G., & Melvin, M. (2004). Why has FX trading surged? BIS Quarterly Review. Geske, R., & Roll, R. (1983). The Fiscal and Monetary Linkage between Stock Returns and Inflation. Journal of Finance, 38(1), 1-33. Green, C., Maggioni, P., & Murinde, V. (2000). Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange. Journal of Banking & Finance, 24(4), 577-601. Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339. Gyntelberg, J., & Remolona, E. (2007). Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review. Jegadeesh, N. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance, 56(2), 699-720. Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91. Jylhä, P., Rinne, K., & Suominen, M. (2014). Do Hedge Funds Supply or Demand Liquidity? Review of Finance, 18(4), 1259-1298. Jylhä, P., & Suominen, M. (2011). Speculative capital and currency carry trades. Journal of Financial Economics, 99(1), 60-75. K. Brunnermeier, M., & Nagel, S. (2004). Hedge Funds and the Technology Bubble. The Journal of Finance, 59(5), 2013-2040. doi:10.1111/j.1540-6261.2004.00690.xKaroui, A., e-finance, E. d. h. é. c. C. d. r. e., & e-finance, H. M. C. d. r. e. (2006). The Correlation Between FX Rate Volatility and Stock Exchange Returns Volatility: An Emerging Markets Overview: HEC Montréal, Centre de recherche en e-finance.Kaul, G. (1987). Stock returns and inflation: The role of the monetary sector. Journal of Financial Economics, 18(2), 253-276. Lamont, O., & Stein, J. (2004). Aggregate Short Interest and Market Valuations. American Economic Review, 94(2), 29-32. Leon, H., Sarno, L., & Valente, G. (2006). Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle. Lesmond, D. A. (2005). Liquidity of emerging markets. Journal of Financial Economics, 77(2), 411-452. Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. doi:10.2307/1924119Ludvigson, S., & Ng, S. (2009). Macro Factors in Bond Risk Premia. Review of Financial Studies, 22(12), 5027-5067. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common Risk Factors in Currency Markets. The Review of Financial Studies, 24(11), 3731-3777. doi:10.1093/rfs/hhr068Lustig, H., Roussanov, N., & Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 111(3), 527-553. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012a). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), 681-718. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012b). Currency Momentum Strategies. Moosa, I. A. (2010). The Profitability of Carry Trade - La redditività del carry trade. Economia Internazionale / International Economics, 63(3), 361-380. Okunev, J., & White, D. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets? Journal of Financial and Quantitative Analysis, 38(02), 425-447. Pastor, L., & Stambaugh, R. (2001). Liquidity Risk and Expected Stock Returns. Plantin, G., & Shin, H. S. (2011). Carry Trades, Monetary Policy and Speculative Dynamics.Rouwenhorst, K. (1998). International Momentum Strategies. Journal of Finance, 53(1), 267-284. Rouwenhorst, K. (1999). Local Return Factors and Turnover in Emerging Stock Markets. Journal of Finance, 54(4), 1439-1464. Schwert, G. (1989). Business Cycles, Financial Crises, and Stock Volatility. Schwert, G. (1989). Why Does Stock Market Volatility Change over Time? Journal of Finance, 44(5), 1115-1153. Sharpe, W. (1964). CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK. Journal of Finance, 19(3), 425-442. Shefrin, H., & Statman, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. Journal of Finance, 40(3), 777-790. The Behavior of Japanese Individual Investors During Bull and Bear Markets. (2007). Journal of Behavioral Finance, 8(3), 138-153. doi:10.1080/15427560701545598Tversky, A., & Kahneman, D. (1979). Prospect Theory: An Analysis of Decision under Risk. 周賓凰、池祥萱、周冠男、龔怡霖(2002)。行為財務學：文獻回顧與展望。證券市場發展季刊，14，1-46。黃祺真(2016)。匯率報酬的三因子。 國立政治大學金融研究所碩士論文,台北市. 描述 碩士
國立政治大學
金融學系
104352016資料來源 http://thesis.lib.nccu.edu.tw/record/#G1043520161 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) 黃品翔 zh_TW dc.contributor.author (Authors) Huang, Ping Hsiang en_US dc.creator (作者) 黃品翔 zh_TW dc.creator (作者) Huang, Ping Hsiang en_US dc.date (日期) 2017 en_US dc.date.accessioned 11-Jul-2017 11:35:11 (UTC+8) - dc.date.available 11-Jul-2017 11:35:11 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2017 11:35:11 (UTC+8) - dc.identifier (Other Identifiers) G1043520161 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110809 - 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) 104352016 zh_TW dc.description.abstract (摘要) 本研究主要是以「外匯報酬三因子模型」為基礎，故先檢視在本樣本期間內(1985/2至2016/10) ，以雙分類法將37國主流貨幣分為9個投組後，外匯超額報酬解釋力，是否會因加入動能策略因子形成之三因子模型，而較原本兩因子模型(市場因子、利差策略因子)來的強？最終測得三因子模型在判斷係數及殘差等適切度表現較佳。接著利用逐步迴歸分析法(限制所有自變數均須於90%信心水準內顯著)嘗試尋找獲利成因，主要挑選出不同面向之11種經濟成因因子(股價指數波動、投機活動、流動性、貨幣波動、落後短期利率、落後股利率、落後期限利差、落後違約利差、)落後避險基金套利資本、工業生產量及通膨率因子)來檢測可否解釋三因子模型中獲取報酬之利差、動能策略因子，並利用Fama-MacBeth兩步驟橫斷面迴歸法評估模型市場定價能力。結果發現定價能力均顯著，而利差交易策略之成因為股價指數波動因子(△EVOL)，因其可能連動匯率波動而呈現負相關；動能交易策略成因則為股價指數波動因子(△EVOL)及落後期限利差因子(△LTS)，主要因動能交易主要來自於市場資訊反應不完全，前者成因因子提供更大的動量執行交易策略、後者則因投資人在不同景氣循環下而有不同的投資反應，如景氣擴張的過度自信與樂觀、景氣衰退下產生行為財務領域中的處置效果，使兩成因與動能策略因子呈現正相關。 zh_TW dc.description.abstract (摘要) This paper is based on the model of three-factors foreign exchange returns. So we test whether three-factors FX model which adds the factor of momentum can have stronger ability to explain currency excess return than two-factors FX model in the sampling period of February 1985 to October 2016. And the 37 kinds of currency are sorted by double sort method and become 9 portfolios. Finally, no matter coefficient of determination or residual error, three-factors FX model performs well.Further, we use stepwise LS regression (independent variable should have statistical significance in 90% confidence interval) to find which factor we choose can cause carry and momentum strategy profit in three-factors FX model. Next, using Fama-MacBeth two-step regression to estimate the asset pricing ability. The results represent that all contribution factors which get from stepwise LS method are significant. Carry trade strategy and △EVOL are negative correlation, because volatility of stock index will influence volatility of FX. And there have the positive correlation between momentum trade strategy and two factors(△EVOL and △LTS). Just because the profit from momentum strategy comes from the incomplete reaction of market information and △EVOL give more motive force. Besides, there have different investment reactions in diverse business cycle. Investors are over confident and optimistic during the period of recession and have disposition effect during the period of boom. en_US dc.description.tableofcontents 摘要 1第一章 緒論 7第一節 研究背景及動機 7第二節 研究目的 8第三節 論文架構及章節介紹 8第二章 文獻回顧 9第一節 利差交易(Carry Trade)文獻探討 9第二節 動能交易(Momentum Strategy)文獻探討 11第三節 影響利差及動能交易策略因子 12第三章 樣本選擇與研究方法 14第一節 樣本選擇 14第二節 模型架構與建構分類 19第三節 變數選取與定義 25第四節 計量研究方法 33第四章 實證結果與分析 38第一節 匯率報酬兩因子及三因子模型之比較 38第二節 利差、動能交易策略成因檢測及定價能力分析 43第五章 結論與建議 56參考文獻 58附錄 64 zh_TW dc.format.extent 1364928 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1043520161 en_US dc.subject (關鍵詞) 外匯交易 zh_TW dc.subject (關鍵詞) 利差交易策略 zh_TW dc.subject (關鍵詞) 動能交易策略 zh_TW dc.subject (關鍵詞) 行為財務 zh_TW dc.subject (關鍵詞) FX trading en_US dc.subject (關鍵詞) Carry trade strategy en_US dc.subject (關鍵詞) Momentum trade strategy en_US dc.subject (關鍵詞) Behavioral finance en_US dc.title (題名) 外匯報酬三因子模型之利差、動能交易策略成因分析 zh_TW dc.title (題名) The driving forces behind the carry trade and momentum strategy in three-factors foreign exchange returns model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Akbas, F., Armstrong, W. J., Sorescu, S., & Subrahmanyam, A. (2015). Smart money, dumb money, and capital market anomalies. Journal of Financial Economics, 118(2), 355-382. Ang, A., Hodrick, R., Xing, Y., & Zhang, X. (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61(1), 259-299. Asness, C. S., Moskowitz, T. J., & Pedersen, L. (2013). Value and Momentum Everywhere. Journal of Finance, 68(3), 929-985. Bakshi, G., Gao Bakshi, X., & Rossi, A. G. (2015). Understanding the sources of risk underlying the cross-section of commodity returns.Bansal, R., & Dahlquist, M. (1999). The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343. Bilson, J. (1981). The "Speculative Efficiency" Hypothesis. The Journal of Business, 54(3), 435-451. Brunnermeier, M., & Pedersen, L. (2007). Market Liquidity and Funding Liquidity. Burnside, C., Eichenbaum, M., & Rebelo, S. (2008). Carry Trade: The Gains of Diversification. Journal of the European Economic Association, 6(2-3), 581-588. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Chaboud, A. P., & Wright, J. (2005). Uncovered interest parity: it works, but not for long. Journal of International Economics, 66(2), 349-362. Charoenrook,A,(2005),Does Sentiment Matter?(Working Paper,No:3301937).Vanderbilt University.Chordia, T., & Shivakumar, L. (2002). Momentum, Business Cycle, and Time-varying Expected Returns. Journal of Finance, 57(2), 985-1019. Clarida, R., Davis, J., & Pedersen, N. (2009). Currency carry trade regimes: Beyond the Fama regression. Journal of International Money and Finance, 28(8), 1375-1389. Cochrane, J. H. (2009). Asset Pricing: (Revised Edition): Princeton University Press.Corcoran, A. (2009). The Determinants of Carry Trade Risk Premia. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreactions. Journal of Finance, 53(6), 1839-1885. Engel, C. (1996). The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance, 3(2), 123-192. Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25(2), 383-417. Fama, E. (1990). Stock Returns, Expected Returns, and Real Activity. Journal of Finance, 45(4), 1089-1108. Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636. Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3), 319-338. Fama, E. F., & French, K. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22(1), 3-25. Filippou, I., & Taylor, M. P. (2014). Common Macro Factors and Currency Premia. Flood, M. (1993). Market structure and inefficiency in the foreign exchange market. Galati, G., & Melvin, M. (2004). Why has FX trading surged? BIS Quarterly Review. Geske, R., & Roll, R. (1983). The Fiscal and Monetary Linkage between Stock Returns and Inflation. Journal of Finance, 38(1), 1-33. Green, C., Maggioni, P., & Murinde, V. (2000). Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange. Journal of Banking & Finance, 24(4), 577-601. Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339. Gyntelberg, J., & Remolona, E. (2007). Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review. Jegadeesh, N. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance, 56(2), 699-720. Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91. Jylhä, P., Rinne, K., & Suominen, M. (2014). Do Hedge Funds Supply or Demand Liquidity? Review of Finance, 18(4), 1259-1298. Jylhä, P., & Suominen, M. (2011). Speculative capital and currency carry trades. Journal of Financial Economics, 99(1), 60-75. K. Brunnermeier, M., & Nagel, S. (2004). Hedge Funds and the Technology Bubble. The Journal of Finance, 59(5), 2013-2040. doi:10.1111/j.1540-6261.2004.00690.xKaroui, A., e-finance, E. d. h. é. c. C. d. r. e., & e-finance, H. M. C. d. r. e. (2006). The Correlation Between FX Rate Volatility and Stock Exchange Returns Volatility: An Emerging Markets Overview: HEC Montréal, Centre de recherche en e-finance.Kaul, G. (1987). Stock returns and inflation: The role of the monetary sector. Journal of Financial Economics, 18(2), 253-276. Lamont, O., & Stein, J. (2004). 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Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012a). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), 681-718. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012b). Currency Momentum Strategies. Moosa, I. A. (2010). The Profitability of Carry Trade - La redditività del carry trade. Economia Internazionale / International Economics, 63(3), 361-380. Okunev, J., & White, D. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets? Journal of Financial and Quantitative Analysis, 38(02), 425-447. Pastor, L., & Stambaugh, R. (2001). Liquidity Risk and Expected Stock Returns. Plantin, G., & Shin, H. S. (2011). Carry Trades, Monetary Policy and Speculative Dynamics.Rouwenhorst, K. (1998). International Momentum Strategies. Journal of Finance, 53(1), 267-284. Rouwenhorst, K. (1999). Local Return Factors and Turnover in Emerging Stock Markets. Journal of Finance, 54(4), 1439-1464. Schwert, G. (1989). 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