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題名 利差、動能、價值交易策略在不同景氣階段下 外匯報酬成因探討
A study of the return for Carry Trade, Momentum Strategy, and Value Strategy in Foreign Exchange Market on different business state作者 劉子瑋
Liu, Tzu-Wei貢獻者 林建秀
Lin, Chien Hsiu
劉子瑋
Liu, Tzu-Wei關鍵詞 利差交易
動能交易
價值交易
狀態轉換
變動切換馬可夫轉換機率模型
Carry trade
Momentum strategy
Value strategy
Regime switching
Time-varying transition probability
TVTP日期 2019 上傳時間 1-Jul-2019 10:48:03 (UTC+8) 摘要 在過去的數十年中大家不斷在金融市場裡尋找安全且可以穩定獲利的交易方式，優秀的學者們發現幾種不錯的交易方法可以獲得不錯的報酬，分別是利差交易、動能交易與價值交易，這幾種方法在除了在歷史上獲利不錯以外，同時也可以應用在不同的交易市場。後來的學者進一步研究這幾種方法的成因發現他們都有著特別的性質，像是利差交易與動能交易大部分時間維持著低波動高報酬的特性，但在少數時間波動增大且報酬降低，而價值交易則是大部分時間維持低波動低報酬，少數時間高波動高報酬。對投資人來說想要在獲利上在進一步增加勢必需要避開低報酬的時間並且在高報酬的時間增加投資部位，因此本文使用變動切換馬可夫轉換機率模型（Time-varying Transition Probability, TVTP）來尋找能夠預測高低報酬時間的關鍵因子。實證後發現不管是在利差交易、動能交易還是價值交易都有共同的影響因子，股價指數波動因子、市場流動性風險因子和落後違約因子三者皆對三種交易模型具有解釋力。這三個因子數值偏高時，應減少利差交易與動能交易的交易部位、增加價值交易的交易部位以提升報酬。而工業生產因子也同樣對動能交易具有解釋力，與其他因子不同的地方是它的影響方向相反，當工業生產因子越高時，反而應該提高利差交易與動能交易的部位，減少價值交易的部位。
People are trying to find some investment strategies in financial markets and these strategies need to be profitable and low volatility. Several investment strategies were equipped these features, including Carry Trade, Momentum Strategy, and Value Strategy. Further, scholars found out Carry Trade and Momentum Strategy have low returns less frequently, but once it happens, the period would be shorter and the volatility is much more than low-return period. Value Strategy is different than Carry Trade and Momentum Strategy. It has high returns less frequently and low returns, low volatility in most of the time. One of the purposes of this study is to find out how to separate the return periods by Time-Varying Transition Probability. The other purpose is to find the factors that can explain the transition probability.The empirical results indicate that all of three transaction strategies can be explained by three macroeconomic factors, equity index volatility factor, market liquidity risk factor, and lagged default spread factor. When these three factors are getting higher, it would be more likely that Carry Trade and Momentum Strategy would get into the low return period. Reducing the position of Carry Trade and Momentum Strategy and increasing the position of the Value Strategy would be better for the investors. Industrial production factor can explain transition probability in Momentum Strategy as well. When industrial production factor is low, it would be much more likely getting into the low return period. Investors should reduce the position in Momentum Strategy.參考文獻 郭秀樺（2018）。外匯報酬之利差、動能及價值交易策略成因分析。國立政治大學金融研究所碩士論文，台北市。Ammann, M., Verhofen, M., (2009) The Effect of Market Regimes on Style Allocation (January 1, 2009). SSRN Electronic Journal, 1-45.Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and Momentum Everywhere. The Journal of Finance, 68(3), 929-985.Bakshi, G., Gao, X., & Rossi, A. G. (2019). Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns. Management Science, 65(2), 619-641.Bergman, U. M., & Hansson, J. (2005). Real exchange rates and switching regimes. Journal of International Money and Finance, 24(1), 121-138.Bilson, J. F. (1981). The "speculative efficiency" hypothesis. The Journal of Business, 54(3), 435-451.Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry Trades and Currency Crashes. NBER Macroeconomics Annual, 23(1), 313-348.Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The Returns to Currency Speculation. NBER Working PaperBurnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Annual Review of Financial Economics, 3(1), 511–535.Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.Chordia, T., & Shivakumar, L. (2002). Momentum, Business Cycle, and Time-varyingExpected Returns. The Journal of Finance, 57(2), 985-1019.Diebold, F. X., J-H. Lee, and G. C. Weinbach (1994). Regime switching with time-varying transition probabilities. C. Hargreaves, ed., Nonstationary time series analysis and cointegration (Oxford University Press. Oxford), 283-302.Engel, C. (1994). Can the Markov switching model forecast exchange rates? Journal of International Economics, 36(1-2), 151-165.Engel, C., & Hamilton, J. (1989). Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It? American Economic Association, 80, 689-713.Fama, E. F. (1981). Stock returns, real activity, inflation and money. American Eco- nomic Review 71(1), 545-565.Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3), 319-338.Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of Financial Economics, 25(1), 23-49.Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465.Fama, E. F., & Schwert, G. (1977). Asset returns and inflation. Journal of Financial Economics, 5(2), 115-146.Filardo, A. J. (1994). Business-Cycle phases and their transitional dynamics. Journal of Business & Economic Statistics, 12(3), 299-306.Filardo, A. J., & Gordon, S. F. (1998). Business cycle durations. Journal of Econometrics, 85(1), 99-123.Filippou, I., & Taylor, M. P. (2017). Common Macro Factors and Currency Premia. Journal of Financial and Quantitative Analysis, 52(4), 1731-1763.Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, 38(1), 1-33.Gilchrist, S., & Zakrajšek, E. (2012). Credit Spreads and Business Cycle Fluctuations. American Economic Review, 102(4), 1692-1720.Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.Ichiue, H., & Koyama, K. (2011). Regime switches in exchange rate volatility and uncovered interest parity. Journal of International Money and Finance, 30(7), 1436-1450.Ismail, M. T., & Isa, Z. (2014). Detecting regime shifts in Malaysian exchange rates. Malaysian Journal of Fundamental and Applied Sciences, 3(2), 211-224.Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65-91.Kaul, G. (1987). Stock returns and inflation. Journal of Financial Economics, 18(2), 253-276.Kroencke, T. A., Schindler, F., & Schrimpf, A. (2013). International Diversification Benefits with Foreign Exchange Investment Styles. Review of Finance, 18(5), 1847-1883.Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment, Extrapolation, and Risk. The Journal of Finance, 49(5), 1541-1578.Lustig, H. N., Roussanov, N. L., & Verdelhan, A. (2009). Common Risk Factors in Currency Markets. SSRN Electronic Journal, 1-49.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. Review of Financial Studies, 30(2), 416-441.Moosa, I. (2010). The Profitability of Carry Trade, Economia Internazionale, 63, 361- 380.Okunev, J., & White, D. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets? The Journal of Financial and Quantitative Analysis, 38(2), 425-447.Pástor, Ľ. and Stambaugh, R. (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), pp.642-685.Pearson, K. (1901). LIII. On lines and planes of closest fit to systems of points in space. The London, Edinburgh, and Dublin Philosophical Magazine and Journal of Science, 2(11), 559-572.Ramzi, K. (2012). Estimating a MS-TVTP Model with Matlab Software. SSRN Electronic Journal.Raza, A., Marshall, B. R., & Visaltanachoti, N. (2015). Is the 52-Week High Momentum Strategy Profitable in the Foreign Exchange Market? SSRN Electronic Journal, 1-35. 描述 碩士
國立政治大學
金融學系
106352025資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106352025 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) 劉子瑋 zh_TW dc.contributor.author (Authors) Liu, Tzu-Wei en_US dc.creator (作者) 劉子瑋 zh_TW dc.creator (作者) Liu, Tzu-Wei en_US dc.date (日期) 2019 en_US dc.date.accessioned 1-Jul-2019 10:48:03 (UTC+8) - dc.date.available 1-Jul-2019 10:48:03 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2019 10:48:03 (UTC+8) - dc.identifier (Other Identifiers) G0106352025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124142 - 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) 106352025 zh_TW dc.description.abstract (摘要) 在過去的數十年中大家不斷在金融市場裡尋找安全且可以穩定獲利的交易方式，優秀的學者們發現幾種不錯的交易方法可以獲得不錯的報酬，分別是利差交易、動能交易與價值交易，這幾種方法在除了在歷史上獲利不錯以外，同時也可以應用在不同的交易市場。後來的學者進一步研究這幾種方法的成因發現他們都有著特別的性質，像是利差交易與動能交易大部分時間維持著低波動高報酬的特性，但在少數時間波動增大且報酬降低，而價值交易則是大部分時間維持低波動低報酬，少數時間高波動高報酬。對投資人來說想要在獲利上在進一步增加勢必需要避開低報酬的時間並且在高報酬的時間增加投資部位，因此本文使用變動切換馬可夫轉換機率模型（Time-varying Transition Probability, TVTP）來尋找能夠預測高低報酬時間的關鍵因子。實證後發現不管是在利差交易、動能交易還是價值交易都有共同的影響因子，股價指數波動因子、市場流動性風險因子和落後違約因子三者皆對三種交易模型具有解釋力。這三個因子數值偏高時，應減少利差交易與動能交易的交易部位、增加價值交易的交易部位以提升報酬。而工業生產因子也同樣對動能交易具有解釋力，與其他因子不同的地方是它的影響方向相反，當工業生產因子越高時，反而應該提高利差交易與動能交易的部位，減少價值交易的部位。 zh_TW dc.description.abstract (摘要) People are trying to find some investment strategies in financial markets and these strategies need to be profitable and low volatility. Several investment strategies were equipped these features, including Carry Trade, Momentum Strategy, and Value Strategy. Further, scholars found out Carry Trade and Momentum Strategy have low returns less frequently, but once it happens, the period would be shorter and the volatility is much more than low-return period. Value Strategy is different than Carry Trade and Momentum Strategy. It has high returns less frequently and low returns, low volatility in most of the time. One of the purposes of this study is to find out how to separate the return periods by Time-Varying Transition Probability. The other purpose is to find the factors that can explain the transition probability.The empirical results indicate that all of three transaction strategies can be explained by three macroeconomic factors, equity index volatility factor, market liquidity risk factor, and lagged default spread factor. When these three factors are getting higher, it would be more likely that Carry Trade and Momentum Strategy would get into the low return period. Reducing the position of Carry Trade and Momentum Strategy and increasing the position of the Value Strategy would be better for the investors. Industrial production factor can explain transition probability in Momentum Strategy as well. When industrial production factor is low, it would be much more likely getting into the low return period. Investors should reduce the position in Momentum Strategy. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究動機與目的 1第三節 論文架構及章節介紹 2第二章 文獻探討 3第一節 利差交易（Carry Trade）文獻探討 3第二節 動能交易（Momentum Strategy）文獻探討 3第三節 價值交易（Value Strategy）文獻探討 4第四節 影響利差、動能及價值交易策略之因子 5第三章 研究方法 7第一節 研究資料 7第二節 策略因子建構 9第三節 成因因子選取與定義 14第四節 研究方法 17第四章 實證結果與分析 20第一節 成因因子主成分分析結果 20第二節 不同景氣階段下外匯報酬成因探討 23第三節 利差、動能、價值交易模式三者比較 34第五章 結論 36參考文獻 37 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106352025 en_US dc.subject (關鍵詞) 利差交易 zh_TW dc.subject (關鍵詞) 動能交易 zh_TW dc.subject (關鍵詞) 價值交易 zh_TW dc.subject (關鍵詞) 狀態轉換 zh_TW dc.subject (關鍵詞) 變動切換馬可夫轉換機率模型 zh_TW 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) Regime switching en_US dc.subject (關鍵詞) Time-varying transition probability en_US dc.subject (關鍵詞) TVTP en_US dc.title (題名) 利差、動能、價值交易策略在不同景氣階段下 外匯報酬成因探討 zh_TW dc.title (題名) A study of the return for Carry Trade, Momentum Strategy, and Value Strategy in Foreign Exchange Market on different business state en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 郭秀樺（2018）。外匯報酬之利差、動能及價值交易策略成因分析。國立政治大學金融研究所碩士論文，台北市。Ammann, M., Verhofen, M., (2009) The Effect of Market Regimes on Style Allocation (January 1, 2009). SSRN Electronic Journal, 1-45.Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and Momentum Everywhere. The Journal of Finance, 68(3), 929-985.Bakshi, G., Gao, X., & Rossi, A. G. (2019). Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns. Management Science, 65(2), 619-641.Bergman, U. M., & Hansson, J. (2005). Real exchange rates and switching regimes. Journal of International Money and Finance, 24(1), 121-138.Bilson, J. F. (1981). The "speculative efficiency" hypothesis. The Journal of Business, 54(3), 435-451.Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry Trades and Currency Crashes. NBER Macroeconomics Annual, 23(1), 313-348.Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The Returns to Currency Speculation. NBER Working PaperBurnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Annual Review of Financial Economics, 3(1), 511–535.Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.Chordia, T., & Shivakumar, L. (2002). Momentum, Business Cycle, and Time-varyingExpected Returns. The Journal of Finance, 57(2), 985-1019.Diebold, F. X., J-H. Lee, and G. C. Weinbach (1994). Regime switching with time-varying transition probabilities. C. Hargreaves, ed., Nonstationary time series analysis and cointegration (Oxford University Press. Oxford), 283-302.Engel, C. (1994). Can the Markov switching model forecast exchange rates? Journal of International Economics, 36(1-2), 151-165.Engel, C., & Hamilton, J. (1989). Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It? American Economic Association, 80, 689-713.Fama, E. F. (1981). Stock returns, real activity, inflation and money. American Eco- nomic Review 71(1), 545-565.Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3), 319-338.Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of Financial Economics, 25(1), 23-49.Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465.Fama, E. F., & Schwert, G. (1977). Asset returns and inflation. Journal of Financial Economics, 5(2), 115-146.Filardo, A. J. (1994). Business-Cycle phases and their transitional dynamics. Journal of Business & Economic Statistics, 12(3), 299-306.Filardo, A. J., & Gordon, S. F. (1998). Business cycle durations. Journal of Econometrics, 85(1), 99-123.Filippou, I., & Taylor, M. P. (2017). Common Macro Factors and Currency Premia. Journal of Financial and Quantitative Analysis, 52(4), 1731-1763.Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, 38(1), 1-33.Gilchrist, S., & Zakrajšek, E. (2012). Credit Spreads and Business Cycle Fluctuations. American Economic Review, 102(4), 1692-1720.Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.Ichiue, H., & Koyama, K. (2011). Regime switches in exchange rate volatility and uncovered interest parity. Journal of International Money and Finance, 30(7), 1436-1450.Ismail, M. T., & Isa, Z. (2014). Detecting regime shifts in Malaysian exchange rates. Malaysian Journal of Fundamental and Applied Sciences, 3(2), 211-224.Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65-91.Kaul, G. (1987). Stock returns and inflation. Journal of Financial Economics, 18(2), 253-276.Kroencke, T. A., Schindler, F., & Schrimpf, A. (2013). International Diversification Benefits with Foreign Exchange Investment Styles. Review of Finance, 18(5), 1847-1883.Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment, Extrapolation, and Risk. The Journal of Finance, 49(5), 1541-1578.Lustig, H. N., Roussanov, N. L., & Verdelhan, A. (2009). Common Risk Factors in Currency Markets. SSRN Electronic Journal, 1-49.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. Review of Financial Studies, 30(2), 416-441.Moosa, I. (2010). The Profitability of Carry Trade, Economia Internazionale, 63, 361- 380.Okunev, J., & White, D. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets? The Journal of Financial and Quantitative Analysis, 38(2), 425-447.Pástor, Ľ. and Stambaugh, R. (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), pp.642-685.Pearson, K. (1901). LIII. On lines and planes of closest fit to systems of points in space. The London, Edinburgh, and Dublin Philosophical Magazine and Journal of Science, 2(11), 559-572.Ramzi, K. (2012). Estimating a MS-TVTP Model with Matlab Software. SSRN Electronic Journal.Raza, A., Marshall, B. R., & Visaltanachoti, N. (2015). Is the 52-Week High Momentum Strategy Profitable in the Foreign Exchange Market? SSRN Electronic Journal, 1-35. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900137 en_US
