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題名 外匯市場動能效果分析
The Analysis of the Momentum Effect in Monthly Currency Market作者 謝皓雯
Hsieh, Hao Wen貢獻者 林建秀
Lin, Chien Hsiu
謝皓雯
Hsieh, Hao Wen關鍵詞 動能報酬
外匯市場
貨幣危機
國家風險
momentum return
foreign exchange market
currency crisis
country risk日期 2015 上傳時間 14-Jul-2015 11:11:48 (UTC+8) 摘要 本文主要研究外匯市場在1983年11月到2014年10月期間是否存在動能效果(momentum effect)，並再更深入探討可能造成動能效果的原因。本文以美國投資者的角度，使用62個國家的貨幣，發現在使用較短期的遠期外匯及回顧較近期的歷史報酬作為判斷是否交易的依據，這樣的動能策略可以招致較高且較穩定成長的累積報酬；但是若使用較長天期遠期外匯及以較遠期的歷史報酬判斷，動能策略可能較不顯著，並且累積報酬也較不穩定，甚至在外幣國家發生突發性貨幣危機時，在外匯市場通常會發生反轉效果(reversal effect)。另外也驗證出動能策略的超額報酬很大部分是受到交易成本和即期匯率波動的影響。我們發現國家風險和動能效果平均而言呈現正向關係，流動性風險相較於國家風險對於動能效果的影響性較低。
We investigate whether momentum effect exist or not in the foreign exchange market. We find, based on a sample of 62 market currencies and view U.S Dollar as based currency, the evidence of higher and more stable momentum excess returns as we apply the short formation and holding period in our momentum strategy portfolios. However, when we apply long formation and holding period in our momentum strategy portfolios, we find less momentum effect and unstable cumulative excess returns, and even in the crisis, we find reversal rather than momentum. Additionally, we provide the evidence that transaction cost and spot rate change is the dominant influence on momentum effect. The relationship between country risk and momentum effect is positive significance and liquidity risk provide less evidence on momentum effect.參考文獻 Ali, A., L.-S. Hwang and M. A. Trombley (2003). "Arbitrage risk and the book-to-market anomaly." Journal of financial economics 69(2): 355-373.Asness, C. S., T. J. Moskowitz and L. H. Pedersen (2013). "Value and momentum everywhere." The Journal of Finance 68(3): 929-985.Avramov, D., T. Chordia, G. Jostova and A. Philipov (2007). "Momentum and credit rating." The Journal of Finance 62(5): 2503-2520.Brunnermeier, M. K. and L. H. Pedersen (2009). "Market liquidity and funding liquidity." Review of Financial Studies 22(6): 2201-2238.Chan, K., A. Hameed and W. Tong (2000). "Profitability of momentum stragegies in the international equity markets." Journal of Financial and Quantitative Analysis 35(02): 153-172.Chong, T. T.-L. and H. T.-S. Ip (2009). "Do momentum-based strategies work in emerging currency markets?" Pacific-Basin Finance Journal 17(4): 479-493.Chui, A. C., S. Titman and K. J. Wei (2010). "Individualism and momentum around the world." The Journal of Finance 65(1): 361-392.Fama, E. F. and K. R. French (1993). "Common risk factors in the returns on stocks and bonds." Journal of financial economics 33(1): 3-56.Fama, E. F. and K. R. French (1996). "Multifactor explanations of asset pricing anomalies." The Journal of Finance 51(1): 55-84.Fama, E. F. and K. R. French (2012). "Size, value, and momentum in international stock returns." Journal of financial economics 105(3): 457-472.Grinblatt, M. and T. J. Moskowitz (2004). "Predicting stock price movements from past returns: The role of consistency and tax-loss selling." Journal of financial economics 71(3): 541-579.Hogan, S., R. Jarrow, M. Teo and M. Warachka (2004). "Testing market efficiency using statistical arbitrage with applications to momentum and value strategies." Journal of financial economics 73(3): 525-565.Hong, H., T. Lim and J. C. Stein (2000). "Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies." The Journal of Finance 55(1): 265-295.Hou, K., N. Barberis and X. Chen (2001). "Information diffusion and asymmetric cross-autocorrelations in stock returns." workingpaper, University of Chicago. HouInformation Diffusion and Asymmetric Cross-Autocorrelations in Stock Returns.Jegadeesh, N. and S. Titman (1993). "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." The Journal of Finance 48(1): 65-91.Jegadeesh, N. and S. Titman (2001). "Profitability of momentum strategies: An evaluation of alternative explanations." The Journal of Finance 56(2): 699-720.Johnson, T. C. (2002). "Rational momentum effects." The Journal of Finance 57(2): 585-608.Korajczyk, R. A. and R. Sadka (2004). "Are momentum profits robust to trading costs?" The Journal of Finance 59(3): 1039-1082.Lustig, H., N. Roussanov and A. Verdelhan (2011). "Common risk factors in currency markets." Review of Financial Studies 24: 3731-3777.Menkhoff, L., L. Sarno, M. Schmeling and A. Schrimpf (2012). "Currency momentum strategies." Journal of financial economics 106(3): 660-684.Moskowitz, T. J. and M. Grinblatt (1999). "Do industries explain momentum?" The Journal of Finance 54(4): 1249-1290.Newey, W. K. and K. D. West (1987). "Hypothesis testing with efficient method of moments estimation." International Economic Review: 777-787.Okunev, J. and D. White (2003). "Do momentum-based strategies still work in foreign currency markets?" Journal of Financial and Quantitative Analysis 38(2): 425-448.Raza, A., B. R. Marshall and N. Visaltanachoti (2014). "Is there momentum or reversal in weekly currency returns?" Journal of International Money and Finance 45: 38-60.Rouwenhorst, K. G. (1998). "International momentum strategies." Journal of Finance: 267-284. 描述 碩士
國立政治大學
金融研究所
102352032
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352032 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) 謝皓雯 zh_TW dc.contributor.author (Authors) Hsieh, Hao Wen en_US dc.creator (作者) 謝皓雯 zh_TW dc.creator (作者) Hsieh, Hao Wen en_US dc.date (日期) 2015 en_US dc.date.accessioned 14-Jul-2015 11:11:48 (UTC+8) - dc.date.available 14-Jul-2015 11:11:48 (UTC+8) - dc.date.issued (上傳時間) 14-Jul-2015 11:11:48 (UTC+8) - dc.identifier (Other Identifiers) G0102352032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76597 - 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) 102352032 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 本文主要研究外匯市場在1983年11月到2014年10月期間是否存在動能效果(momentum effect)，並再更深入探討可能造成動能效果的原因。本文以美國投資者的角度，使用62個國家的貨幣，發現在使用較短期的遠期外匯及回顧較近期的歷史報酬作為判斷是否交易的依據，這樣的動能策略可以招致較高且較穩定成長的累積報酬；但是若使用較長天期遠期外匯及以較遠期的歷史報酬判斷，動能策略可能較不顯著，並且累積報酬也較不穩定，甚至在外幣國家發生突發性貨幣危機時，在外匯市場通常會發生反轉效果(reversal effect)。另外也驗證出動能策略的超額報酬很大部分是受到交易成本和即期匯率波動的影響。我們發現國家風險和動能效果平均而言呈現正向關係，流動性風險相較於國家風險對於動能效果的影響性較低。 zh_TW dc.description.abstract (摘要) We investigate whether momentum effect exist or not in the foreign exchange market. We find, based on a sample of 62 market currencies and view U.S Dollar as based currency, the evidence of higher and more stable momentum excess returns as we apply the short formation and holding period in our momentum strategy portfolios. However, when we apply long formation and holding period in our momentum strategy portfolios, we find less momentum effect and unstable cumulative excess returns, and even in the crisis, we find reversal rather than momentum. Additionally, we provide the evidence that transaction cost and spot rate change is the dominant influence on momentum effect. The relationship between country risk and momentum effect is positive significance and liquidity risk provide less evidence on momentum effect. en_US dc.description.tableofcontents 1. Introduction 12. Literature review 43. Data3.1. Data for FX momentum strategy 73.2. Data for a measurement of country risk 114. Methodology4.1. Currency excess return 144.2. Portfolio construction 155. Result5.1. Excess return of momentum strategy 165.2. UP and DOWN in foreign exchange market 235.3. Momentum return and market stress 255.4. Momentum excess return in sub periods 285.5. The spot rate change 305.6. Transaction cost 325.7. The relationship between country risk and the momentum excess return 345.8. The result from time-series regression 366. Conclusion and Suggestions 39Reference 42 zh_TW dc.format.extent 1288389 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352032 en_US dc.subject (關鍵詞) 動能報酬 zh_TW dc.subject (關鍵詞) 外匯市場 zh_TW dc.subject (關鍵詞) 貨幣危機 zh_TW dc.subject (關鍵詞) 國家風險 zh_TW dc.subject (關鍵詞) momentum return en_US dc.subject (關鍵詞) foreign exchange market en_US dc.subject (關鍵詞) currency crisis en_US dc.subject (關鍵詞) country risk en_US dc.title (題名) 外匯市場動能效果分析 zh_TW dc.title (題名) The Analysis of the Momentum Effect in Monthly Currency Market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Ali, A., L.-S. Hwang and M. A. Trombley (2003). "Arbitrage risk and the book-to-market anomaly." Journal of financial economics 69(2): 355-373.Asness, C. S., T. J. Moskowitz and L. H. Pedersen (2013). "Value and momentum everywhere." The Journal of Finance 68(3): 929-985.Avramov, D., T. Chordia, G. Jostova and A. Philipov (2007). "Momentum and credit rating." The Journal of Finance 62(5): 2503-2520.Brunnermeier, M. K. and L. H. Pedersen (2009). "Market liquidity and funding liquidity." Review of Financial Studies 22(6): 2201-2238.Chan, K., A. Hameed and W. Tong (2000). "Profitability of momentum stragegies in the international equity markets." Journal of Financial and Quantitative Analysis 35(02): 153-172.Chong, T. T.-L. and H. T.-S. Ip (2009). "Do momentum-based strategies work in emerging currency markets?" Pacific-Basin Finance Journal 17(4): 479-493.Chui, A. C., S. Titman and K. J. Wei (2010). "Individualism and momentum around the world." The Journal of Finance 65(1): 361-392.Fama, E. F. and K. R. French (1993). "Common risk factors in the returns on stocks and bonds." Journal of financial economics 33(1): 3-56.Fama, E. F. and K. R. French (1996). "Multifactor explanations of asset pricing anomalies." The Journal of Finance 51(1): 55-84.Fama, E. F. and K. R. French (2012). "Size, value, and momentum in international stock returns." Journal of financial economics 105(3): 457-472.Grinblatt, M. and T. J. Moskowitz (2004). "Predicting stock price movements from past returns: The role of consistency and tax-loss selling." Journal of financial economics 71(3): 541-579.Hogan, S., R. Jarrow, M. Teo and M. Warachka (2004). "Testing market efficiency using statistical arbitrage with applications to momentum and value strategies." Journal of financial economics 73(3): 525-565.Hong, H., T. Lim and J. C. Stein (2000). "Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies." The Journal of Finance 55(1): 265-295.Hou, K., N. Barberis and X. Chen (2001). "Information diffusion and asymmetric cross-autocorrelations in stock returns." workingpaper, University of Chicago. HouInformation Diffusion and Asymmetric Cross-Autocorrelations in Stock Returns.Jegadeesh, N. and S. Titman (1993). "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." The Journal of Finance 48(1): 65-91.Jegadeesh, N. and S. Titman (2001). "Profitability of momentum strategies: An evaluation of alternative explanations." The Journal of Finance 56(2): 699-720.Johnson, T. C. (2002). "Rational momentum effects." The Journal of Finance 57(2): 585-608.Korajczyk, R. A. and R. Sadka (2004). "Are momentum profits robust to trading costs?" The Journal of Finance 59(3): 1039-1082.Lustig, H., N. Roussanov and A. Verdelhan (2011). "Common risk factors in currency markets." Review of Financial Studies 24: 3731-3777.Menkhoff, L., L. Sarno, M. Schmeling and A. Schrimpf (2012). "Currency momentum strategies." Journal of financial economics 106(3): 660-684.Moskowitz, T. J. and M. Grinblatt (1999). "Do industries explain momentum?" The Journal of Finance 54(4): 1249-1290.Newey, W. K. and K. D. West (1987). "Hypothesis testing with efficient method of moments estimation." International Economic Review: 777-787.Okunev, J. and D. White (2003). "Do momentum-based strategies still work in foreign currency markets?" Journal of Financial and Quantitative Analysis 38(2): 425-448.Raza, A., B. R. Marshall and N. Visaltanachoti (2014). "Is there momentum or reversal in weekly currency returns?" Journal of International Money and Finance 45: 38-60.Rouwenhorst, K. G. (1998). "International momentum strategies." Journal of Finance: 267-284. zh_TW
