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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/59313
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59313


    Title: 外匯利差投資組合之技術分析策略
    Technical Analysis Strategy of Exchange Rates Portfolio
    Authors: 劉偉成
    Contributors: 林建秀
    劉偉成
    Keywords: 利差交易
    相對績效指數
    技術分析
    Date: 2012
    Issue Date: 2013-09-02 16:05:06 (UTC+8)
    Abstract: 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。
    Reference: 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
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    Description: 碩士
    國立政治大學
    金融研究所
    100352017
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G100352017-1
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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