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題名 外匯利差投資組合之技術分析策略
Technical Analysis Strategy of Exchange Rates Portfolio作者 劉偉成 貢獻者 林建秀
劉偉成關鍵詞 利差交易
相對績效指數
技術分析日期 2012 上傳時間 2-Sep-2013 16:05:06 (UTC+8) 摘要 自從金融海嘯過後，利差交易投資人蒙受了巨大的損失，利差交易已不再像過去一樣可以輕易的被利用來獲取超額報酬，本文主要針對各主要國家貨幣兌換美元的外匯匯率，組成各種不同的投資組合，將其匯率差異大小轉換成各種利率差高低的投資組合，去探討UIP (Uncovered Interest Rate Parity) 理論的違背及成立時點，並且引用相對績效指數和數種技術分析策略去切入其買賣時點，以期獲取超額報酬。結果顯示，不管是針對哪一種相對績效指標投資組合，只要能夠選擇適當的技術分析方法，在適當的時機點買進或賣出，便能夠有效地勝過單純地買進持有的被動型投資方法。所以，當利差交易無法獲得顯著報酬時，我們可以改為運用技術分析來判斷買與賣的時機點以獲取較顯著之超額報酬。 參考文獻 賀蘭芝, 2007, “遠期匯率偏誤交易策略之績效分析,”中央銀行公務出國報告Anker, P.,1999. “Uncovered Interest Parity, Monetary Policy and Time-varying Risk Premia.” Journal of International Monetary and Finance, 51 (1), 115–144.Backus, D.K., S. Foresi, and C.I. Telmer,2001.“Affine Term Structure Models and the Forward Premium Puzzle. ” Journal of Finance , 12, 503–23.Beine, M., Laurent, S., Lecourt, C., 2003. “ Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis. ” European Economic Review 47(5): 891-911.Chinn, M. and G. Meredith, 2004. “Monetary Policy and Long Horizon Uncovered Interest Parity, ” IMF Staff Papers, Vol. 51 No. 3, November, pp. 409-430.Chinn M. and G. Meredith , 1999 “Long-Horizon Uncovered Interest Parity,” NBER Working Papers.Fama, Eugene F. , 1984. “Forward and Spot Exchange Rates.” Journal of Monetary Economics,14:319–38.Fama, Eugene F.and French, Kenneth R. , 1993. “ Common Risk Factors in the Returns on Stocks and Bonds. ” Journal of Financial Economics 33 (1): 3–56.Giddy, I. and G. Dufey, 1975.“The Random Behaviour of Flexible Exchange Rates: Implications for Forecasting. ” Journal of International Business Studies, 54:1325–60.Giddy, I., 1976. “An Integrated Theory of Exchange Rate Equilibrium.” Journal of Financial and Quanti- tative Analysis,54:173–82. Hansen, L.P. and R.J. Hodrick , 1980. “ Forward Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis.” Journal of Political Economy,Vol. 88, pp. 829-53.Hau, H., and H. Rey, 2004. Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?, The American Economic Review 94, 126-133.Ichiue, H., and K. Koyama, 2011. Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity. Journal of International Money and Finance 30 (2011), 1436–1450.Jacob s., Robert E., 2011. “Trading Relative Performance with Alpha Indexes” working papers series.Kohlhagen, Steven., 1978. “The Behavior of Foreign Exchange Markets-A Critical Survey of the Empirical Literature. ” New York: New York University Monograph Series in Finance and Economics #3.Lustig, H., and A. Verdelhan, 2007. “ The Cross-section of Foreign Currency Risk Premia and Consumption Growth Risk. ”American Economic Review 97:89–117.Lustig.H, N. Roussanov, and A. Verdelhan, 2011. “ Common risk factors in currency markets.”Review of Financial Studies,24 (2011), pp. 3731–3777.Levich, Richard. ,1978. “On the Efficiency of Markets for Foreign Exchange.” International Economic Policy: An Assessment of Theory and Evidence. Baltimore: Johns Hopkins Press, Working paper series.Levich, Richard. ,1979. “Tests of Forecasting Models and Market Efficiency in the International Money Market.” Working paper series. McCallum, Bennett T., 1994. “ A Reconsideration of the Uncovered Interest Parity Relationship, ”Journal of Monetary Economics, Vol. 33 (February), pp. 105–32.Melvin, Michael, and Mark Taylor, 2009. “The crisis in the FX market,” Journal of International Money and Finance 28, 1317–1330.Szakmary, A.C., Mathur, I., 1997.“Central bank intervention and trading rule profits in foreign exchange markets. ” Journal of International Money and Finance,16,pp.513-535. 描述 碩士
國立政治大學
金融研究所
100352017
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G100352017-1 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 劉偉成 zh_TW dc.creator (作者) 劉偉成 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 2-Sep-2013 16:05:06 (UTC+8) - dc.date.available 2-Sep-2013 16:05:06 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2013 16:05:06 (UTC+8) - dc.identifier (Other Identifiers) G100352017-1 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59313 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 100352017 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 自從金融海嘯過後，利差交易投資人蒙受了巨大的損失，利差交易已不再像過去一樣可以輕易的被利用來獲取超額報酬，本文主要針對各主要國家貨幣兌換美元的外匯匯率，組成各種不同的投資組合，將其匯率差異大小轉換成各種利率差高低的投資組合，去探討UIP (Uncovered Interest Rate Parity) 理論的違背及成立時點，並且引用相對績效指數和數種技術分析策略去切入其買賣時點，以期獲取超額報酬。結果顯示，不管是針對哪一種相對績效指標投資組合，只要能夠選擇適當的技術分析方法，在適當的時機點買進或賣出，便能夠有效地勝過單純地買進持有的被動型投資方法。所以，當利差交易無法獲得顯著報酬時，我們可以改為運用技術分析來判斷買與賣的時機點以獲取較顯著之超額報酬。 zh_TW dc.description.tableofcontents 目錄 I圖目錄 II表目錄 III第一章 緒論 1第一節 研究背景與動機 1第二節 研究架構 5第二章 利差交易策略介紹 7第一節 利差交易說明 7第二節 利差交易策略 8第三章 文獻回顧 16第一節 利差交易&違反UIP (Uncovered Interest Rate Parity) 16第二節 技術分析 17第四章 研究方法與步驟 20第一節 相對績效指數 20第二節 技術分析模型設定 22第五章 實證結果與分析 27第六章 結論與建議 40第一節 結論 40第二節 建議 41參考文獻 42 zh_TW dc.format.extent 1228921 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G100352017-1 en_US dc.subject (關鍵詞) 利差交易 zh_TW dc.subject (關鍵詞) 相對績效指數 zh_TW dc.subject (關鍵詞) 技術分析 zh_TW dc.title (題名) 外匯利差投資組合之技術分析策略 zh_TW dc.title (題名) Technical Analysis Strategy of Exchange Rates Portfolio en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 賀蘭芝, 2007, “遠期匯率偏誤交易策略之績效分析,”中央銀行公務出國報告Anker, P.,1999. “Uncovered Interest Parity, Monetary Policy and Time-varying Risk Premia.” Journal of International Monetary and Finance, 51 (1), 115–144.Backus, D.K., S. Foresi, and C.I. Telmer,2001.“Affine Term Structure Models and the Forward Premium Puzzle. ” Journal of Finance , 12, 503–23.Beine, M., Laurent, S., Lecourt, C., 2003. “ Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis. ” European Economic Review 47(5): 891-911.Chinn, M. and G. Meredith, 2004. “Monetary Policy and Long Horizon Uncovered Interest Parity, ” IMF Staff Papers, Vol. 51 No. 3, November, pp. 409-430.Chinn M. and G. Meredith , 1999 “Long-Horizon Uncovered Interest Parity,” NBER Working Papers.Fama, Eugene F. , 1984. “Forward and Spot Exchange Rates.” Journal of Monetary Economics,14:319–38.Fama, Eugene F.and French, Kenneth R. , 1993. “ Common Risk Factors in the Returns on Stocks and Bonds. ” Journal of Financial Economics 33 (1): 3–56.Giddy, I. and G. Dufey, 1975.“The Random Behaviour of Flexible Exchange Rates: Implications for Forecasting. ” Journal of International Business Studies, 54:1325–60.Giddy, I., 1976. “An Integrated Theory of Exchange Rate Equilibrium.” Journal of Financial and Quanti- tative Analysis,54:173–82. Hansen, L.P. and R.J. Hodrick , 1980. “ Forward Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis.” Journal of Political Economy,Vol. 88, pp. 829-53.Hau, H., and H. Rey, 2004. Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?, The American Economic Review 94, 126-133.Ichiue, H., and K. Koyama, 2011. Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity. Journal of International Money and Finance 30 (2011), 1436–1450.Jacob s., Robert E., 2011. “Trading Relative Performance with Alpha Indexes” working papers series.Kohlhagen, Steven., 1978. “The Behavior of Foreign Exchange Markets-A Critical Survey of the Empirical Literature. ” New York: New York University Monograph Series in Finance and Economics #3.Lustig, H., and A. Verdelhan, 2007. “ The Cross-section of Foreign Currency Risk Premia and Consumption Growth Risk. ”American Economic Review 97:89–117.Lustig.H, N. Roussanov, and A. Verdelhan, 2011. “ Common risk factors in currency markets.”Review of Financial Studies,24 (2011), pp. 3731–3777.Levich, Richard. ,1978. “On the Efficiency of Markets for Foreign Exchange.” International Economic Policy: An Assessment of Theory and Evidence. Baltimore: Johns Hopkins Press, Working paper series.Levich, Richard. ,1979. “Tests of Forecasting Models and Market Efficiency in the International Money Market.” Working paper series. McCallum, Bennett T., 1994. “ A Reconsideration of the Uncovered Interest Parity Relationship, ”Journal of Monetary Economics, Vol. 33 (February), pp. 105–32.Melvin, Michael, and Mark Taylor, 2009. “The crisis in the FX market,” Journal of International Money and Finance 28, 1317–1330.Szakmary, A.C., Mathur, I., 1997.“Central bank intervention and trading rule profits in foreign exchange markets. ” Journal of International Money and Finance,16,pp.513-535. zh_TW
