| dc.contributor | 金融系 | |
| dc.creator (作者) | 林建秀 | |
| dc.date (日期) | 2017-03 | |
| dc.date.accessioned | 7-Apr-2026 13:17:07 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:17:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:17:07 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181915 | - |
| dc.description.abstract (摘要) | 本計畫探討國家風險對外匯利差交易及動能交易策略報酬的影響．我們將檢測相對於低國家風險的貨幣，高國家風險貨幣的利差及動能報酬是否較高．若是高國家風險群的貨幣之利差及動能報酬高於低國家風險群之貨幣之利差及動能報酬，表示投資人要由利差或動能交易策略獲利必須承受高國家風險；而高國家風險可解釋套利受限及交易策略有高報酬之因．此外，我們將檢視國家風險和其他解釋外匯交易策略超額報酬因素，如利率差距及流動性風險之間的關係．我們將使用橫斷面及時間序列迴歸檢測在控制國家風險的情況下，利率差距及流動性風險是否仍對外匯交易策略的超額報酬有解釋能力． | |
| dc.description.abstract (摘要) | This project investigates the effects of country risk on the returns of carry trade and momentum strategies. We will check if carry trade or momentum returns are higher or lower among currencies with high country risks than among currencies with low country risks. If the carry trade or momentum returns are larger in high-risk countries than in low-risk countries, it is necessary for an investor to profit from currency strategies to operate in markets for currencies of risky countries. Since investments in foreign currency are always subject to risks of capital controls and nonconvertibility, country risk might be an important limit to arbitrage activity in FX markets. After confirming the determinants of country risk on the excess returns of currency strategies, we then examine the relation between country risks and other factors including liquidity risk and interest rate differentials. We want to answer the question to what extent country risks capture the same information as liquidity risks or interest rate differentials in excess returns in currency trading strategies. To proceed, we perform a comprehensive analysis including cross-sectional and time-series regressions to address this issue. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST104-2410-H004-216, 104.08-105.07 | |
| dc.subject (關鍵詞) | 利差交易; 動能交易; 國家風險; 利率差距; 流動性風險 | |
| dc.subject (關鍵詞) | carry trade strategy; momentum strategy; country risks; interest rate differentials; liquidity risks | |
| dc.title (題名) | 國家風險和外匯交易策略之關聯性分析 | |
| dc.title (題名) | Country Risks and Foreign Currency Trading Strategies | |
| dc.type (資料類型) | report | |
