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題名 外匯市場因子與流動性風險之關係
Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market作者 操孟儒
TSAO, MENG-RU貢獻者 林建秀
Lin, Chien-Hsiu
操孟儒
TSAO, MENG-RU關鍵詞 外匯交易
利差交易策略
動能交易策略
價值交易策略
流動性風險因子
Fama-Macbeth兩步驟回歸
FX trading
Carry trade
Momentum strategy
Value strategy
Liquidity risk factor
Fama-Macbeth two-step regression日期 2018 上傳時間 3-Jul-2018 17:26:30 (UTC+8) 摘要 本論文是研究外匯市場中利差交易、動能交易以及價值交易因子間的關係以及其與流動性風險之關係，故先檢視在樣本期間內(1985/02至2017/08)，用高減低法將37國貨幣以各因子指標大小分為4個投組並計算出投組報酬，結果發現各因子都有顯著的超額報酬。另外，發現了動能交易與價值交易為負向關且顯著。接著探討5種流動性風險因子是否能解釋利差交易、動能交易以及價值交易之超額報酬，以及上述的因子是否能解釋動能交易與價值交易之間顯著的負向關係，因此使用了簡單迴歸法來檢驗5種流動性風險因子與各因子之4個投組以及各投組報酬之間的關係，結果發現融資流動性風險指標較市場流動性風險指標來的顯著且當融資流動性風險上升時利差及動能交易的報酬會下降而價值交易的報酬會上升，本研究認為動能交易與價值交易之間的負相關可能是來自兩者與融資流動性風險指標之相反關係。最後使用Fama-Macbeth兩步驟回歸法評估其定價能力，結果發現不管是使用利差交易、動能交易或價值交易的投組去跑Fama-Macbeth兩步驟迴歸，融資流動性風險指標之定價能力都比市場流動性風險指標好。
This paper is research the relationship between factors and liquidity risks in the foreign exchange market. First, we use 37 currencies and factor indexes to build up four portfolios by High minus Low method in the sample period from 1985/02 to 2017/08.Then we find out each factor has significant excess return and the relationship between Momentum and Value factors is obviously negative.Second, we explore if five liquidity risks can explain the excess returns in Carry trade, Momentum strategy and Value strategy factor. Otherwise, if the factors above can explain the negative relationship between Momentum factor and Value factor. So, we use the simple regression to testify those relations and find out that funding liquidity risk factors are more significant than market liquidity risk factors in the regression. When the funding liquidity risk falls, excess returns of Carry and Momentum factors will rise and excess return of Value factor will rise. In this study opinion, the negative relationship between Momentum and Value factors may be caused by their opposite relationship with funding liquidity risk.In the end, we use Fama-Macbeth two-step regression to testify the asset pricing ability. We find out that the asset pricing ability of funding liquidity risk factor is better than market liquidity risk factor regardless in every Fama-Macbeth two-step regression.參考文獻 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。黃品翔(2017)。外匯報酬三因子模型之利差、動能交易策略成因分析。國立政治大學金融研究所碩士論文，台北市。Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of financial Economics, 77(2), 375-410.Amihud, Y., Mendelson, H., & Pedersen, L. H. (2006). Liquidity and asset prices. Foundations and Trends® in Finance, 1(4), 269-364.Ang, 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.Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.Brunnermeier, M. K., & Pedersen, L. H. (2008). Market liquidity and funding liquidity. The Review of Financial Studies, 22(6), 2201-2238.Burnside, C., Eichenbaum, M., & Rebelo, S. (2008). Carry trade: The gains of diversification. Journal of the European Economic Association, 6(2‐3), 581-588.Boyson, N. M., Stahel, C. W., & Stulz, R. M. (2010). Hedge fund contagion and liquidity shocks. The Journal of Finance, 65(5), 1789-1816.Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets.Banti, C., Phylaktis, K., & Sarno, L. (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance, 31(2), 267-291.Bakshi, G., Gao, X., & Rossi, A. G. (2017). Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns. Management Science.Chordia, T., & Shivakumar, L. (2002). Momentum, business cycle, and time‐varying expected returns. The 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.Corcoran, A. (2009). The determinants of carry trade risk premia. Institute for international integration studies, 287, 1-33.Dobrynskaya, V. (2014). Downside market risk of carry trades. Review of Finance, 18(5), 1885-1913.Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.Fama, E. F. (1984). Forward and spot exchange rates. Journal of monetary economics, 14(3), 319-338.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. F., & French, K. R. (1998). Value versus growth: The international evidence. The journal of finance, 53(6), 1975-1999.Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics, 105(3), 457-472.Filippou, I., & Taylor, M. (2014). Common Macro Factors and Currency Premia.Galati, G., & Melvin, M. (2004). Why has FX trading surged? Explaining the 2004 triennial survey.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.Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of finance, 56(2), 699-720.Lesmond, D. A. (2005). Liquidity of emerging markets. Journal of financial Economics, 77(2), 411-452.Ludvigson, S. C., & Ng, S. (2009). Macro factors in bond risk premia. The 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.Lustig, H., Roussanov, N., & Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 111(3), 527-553.Moosa, I. A. (2010). The Profitability of Carry Trade-La redditività del carry trade. Economia Internazionale/International Economics, 63(3), 361-380.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Carry trades and global foreign exchange volatility. The Journal of Finance, 67(2), 681-718.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2016). Currency value. The Review of Financial Studies, 30(2), 416-441.Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets?. Journal of Financial and Quantitative Analysis, 38(2), 425-447.Pástor, Ľ., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political economy, 111(3), 642-685.Plantin, G., & Shin, H. (2011). Carry trades, monetary policy and speculative dynamics.Rouwenhorst, K. G. (1998). International momentum strategies. The Journal of Finance, 53(1), 267-284.Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market?.Mancini, L., Ranaldo, A., & Wrampelmeyer, J. (2013). Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. The Journal of Finance, 68(5), 1805-1841.Stattman, D. (1980). Book values and stock returns. The Chicago MBA: A journal of selected papers, 4(1), 25-45.Sadka, R. (2011). Hedge-fund performance and liquidity risk. 描述 碩士
國立政治大學
金融學系
105352024資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105352024 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) 操孟儒 zh_TW dc.contributor.author (Authors) TSAO, MENG-RU en_US dc.creator (作者) 操孟儒 zh_TW dc.creator (作者) TSAO, MENG-RU en_US dc.date (日期) 2018 en_US dc.date.accessioned 3-Jul-2018 17:26:30 (UTC+8) - dc.date.available 3-Jul-2018 17:26:30 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2018 17:26:30 (UTC+8) - dc.identifier (Other Identifiers) G0105352024 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118239 - 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) 105352024 zh_TW dc.description.abstract (摘要) 本論文是研究外匯市場中利差交易、動能交易以及價值交易因子間的關係以及其與流動性風險之關係，故先檢視在樣本期間內(1985/02至2017/08)，用高減低法將37國貨幣以各因子指標大小分為4個投組並計算出投組報酬，結果發現各因子都有顯著的超額報酬。另外，發現了動能交易與價值交易為負向關且顯著。接著探討5種流動性風險因子是否能解釋利差交易、動能交易以及價值交易之超額報酬，以及上述的因子是否能解釋動能交易與價值交易之間顯著的負向關係，因此使用了簡單迴歸法來檢驗5種流動性風險因子與各因子之4個投組以及各投組報酬之間的關係，結果發現融資流動性風險指標較市場流動性風險指標來的顯著且當融資流動性風險上升時利差及動能交易的報酬會下降而價值交易的報酬會上升，本研究認為動能交易與價值交易之間的負相關可能是來自兩者與融資流動性風險指標之相反關係。最後使用Fama-Macbeth兩步驟回歸法評估其定價能力，結果發現不管是使用利差交易、動能交易或價值交易的投組去跑Fama-Macbeth兩步驟迴歸，融資流動性風險指標之定價能力都比市場流動性風險指標好。 zh_TW dc.description.abstract (摘要) This paper is research the relationship between factors and liquidity risks in the foreign exchange market. First, we use 37 currencies and factor indexes to build up four portfolios by High minus Low method in the sample period from 1985/02 to 2017/08.Then we find out each factor has significant excess return and the relationship between Momentum and Value factors is obviously negative.Second, we explore if five liquidity risks can explain the excess returns in Carry trade, Momentum strategy and Value strategy factor. Otherwise, if the factors above can explain the negative relationship between Momentum factor and Value factor. So, we use the simple regression to testify those relations and find out that funding liquidity risk factors are more significant than market liquidity risk factors in the regression. When the funding liquidity risk falls, excess returns of Carry and Momentum factors will rise and excess return of Value factor will rise. In this study opinion, the negative relationship between Momentum and Value factors may be caused by their opposite relationship with funding liquidity risk.In the end, we use Fama-Macbeth two-step regression to testify the asset pricing ability. We find out that the asset pricing ability of funding liquidity risk factor is better than market liquidity risk factor regardless in every Fama-Macbeth two-step regression. en_US dc.description.tableofcontents 第一章 .緒論 1第一節 .研究背景與動機 1第二節 .研究目的 2第三節 .論文架構與各章節簡介 2第二章 .論文回顧 3第一節 . 利差、動能、價值因子 3第二節 . 流動性風險因子 4第三章 .資料樣本選擇與研究方法 6第一節 .樣本選擇 6第二節 .投資組合及策略建立 11第三節 .流動性風險因子選取與定義 17第四節 .重大事件與流動性風險之關聯 20第五節 .不好的事件對各交易因子之影響 27第六節 .流動性螺旋 28第四章 .流動性曝險 29第一節 主成因分析 29第二節 .流動性曝險 34第三節 .各投組之流動性及其與市場流動性之敏感度 38第四節 .Fama-Macbeth兩步驟迴歸 41第五章 .結論 64參考文獻 66 zh_TW dc.format.extent 7570437 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105352024 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) 價值交易策略 zh_TW dc.subject (關鍵詞) 流動性風險因子 zh_TW dc.subject (關鍵詞) Fama-Macbeth兩步驟回歸 zh_TW dc.subject (關鍵詞) FX trading en_US dc.subject (關鍵詞) Carry trade en_US dc.subject (關鍵詞) Momentum strategy en_US dc.subject (關鍵詞) Value strategy en_US dc.subject (關鍵詞) Liquidity risk factor en_US dc.subject (關鍵詞) Fama-Macbeth two-step regression en_US dc.title (題名) 外匯市場因子與流動性風險之關係 zh_TW dc.title (題名) Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 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。黃品翔(2017)。外匯報酬三因子模型之利差、動能交易策略成因分析。國立政治大學金融研究所碩士論文，台北市。Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of financial Economics, 77(2), 375-410.Amihud, Y., Mendelson, H., & Pedersen, L. H. (2006). Liquidity and asset prices. Foundations and Trends® in Finance, 1(4), 269-364.Ang, 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.Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.Brunnermeier, M. K., & Pedersen, L. H. (2008). Market liquidity and funding liquidity. The Review of Financial Studies, 22(6), 2201-2238.Burnside, C., Eichenbaum, M., & Rebelo, S. (2008). Carry trade: The gains of diversification. Journal of the European Economic Association, 6(2‐3), 581-588.Boyson, N. M., Stahel, C. W., & Stulz, R. M. (2010). Hedge fund contagion and liquidity shocks. The Journal of Finance, 65(5), 1789-1816.Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets.Banti, C., Phylaktis, K., & Sarno, L. (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance, 31(2), 267-291.Bakshi, G., Gao, X., & Rossi, A. G. (2017). Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns. Management Science.Chordia, T., & Shivakumar, L. (2002). Momentum, business cycle, and time‐varying expected returns. The 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.Corcoran, A. (2009). The determinants of carry trade risk premia. Institute for international integration studies, 287, 1-33.Dobrynskaya, V. (2014). Downside market risk of carry trades. Review of Finance, 18(5), 1885-1913.Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.Fama, E. F. (1984). Forward and spot exchange rates. Journal of monetary economics, 14(3), 319-338.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. F., & French, K. R. (1998). Value versus growth: The international evidence. The journal of finance, 53(6), 1975-1999.Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics, 105(3), 457-472.Filippou, I., & Taylor, M. (2014). Common Macro Factors and Currency Premia.Galati, G., & Melvin, M. (2004). Why has FX trading surged? Explaining the 2004 triennial survey.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.Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of finance, 56(2), 699-720.Lesmond, D. A. (2005). Liquidity of emerging markets. Journal of financial Economics, 77(2), 411-452.Ludvigson, S. C., & Ng, S. (2009). Macro factors in bond risk premia. The 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.Lustig, H., Roussanov, N., & Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 111(3), 527-553.Moosa, I. A. (2010). The Profitability of Carry Trade-La redditività del carry trade. Economia Internazionale/International Economics, 63(3), 361-380.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Carry trades and global foreign exchange volatility. The Journal of Finance, 67(2), 681-718.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2016). Currency value. The Review of Financial Studies, 30(2), 416-441.Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets?. Journal of Financial and Quantitative Analysis, 38(2), 425-447.Pástor, Ľ., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political economy, 111(3), 642-685.Plantin, G., & Shin, H. (2011). Carry trades, monetary policy and speculative dynamics.Rouwenhorst, K. G. (1998). International momentum strategies. The Journal of Finance, 53(1), 267-284.Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market?.Mancini, L., Ranaldo, A., & Wrampelmeyer, J. (2013). Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. The Journal of Finance, 68(5), 1805-1841.Stattman, D. (1980). Book values and stock returns. The Chicago MBA: A journal of selected papers, 4(1), 25-45.Sadka, R. (2011). Hedge-fund performance and liquidity risk. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.MB.009.2018.F06 -
