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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/130539


    Title: 外匯市場流動性及共性分析
    Foreign exchange liquidity and commonality analysis
    Authors: 詹曜瑛
    Chan, Yao-Ying
    Contributors: 林建秀
    Lin, Chien-Hsiu
    詹曜瑛
    Chan, Yao-Ying
    Keywords: 外匯流動性
    流動性指標
    共性
    共性指標
    Foreign exchange liquidity
    Liquidity measure
    Commonality
    Commonality indicator
    Date: 2020
    Issue Date: 2020-07-01 13:40:35 (UTC+8)
    Abstract: 在過去學者的研究中，關於流動性的主題大多還是集中於股票及債券市場上，因此本論文主要針對外匯市場流動性做探討，研究外匯流動性與需求面、供給面、市場面因素之關係，以及外匯流動性共性與國家特性之關係。
    首先利用36個國家在1997年1月到2018年12月期間內外匯市場的匯率報價，計算出外匯流動性指標，根據縱橫資料迴歸的結果顯示，在需求面因素中，外匯流動性隨著美國總資本流動及VIX指數上升而下降；在供給面因素中，外匯流動性隨著TED利差、美國商業票據利差及美國銀行存款上升而下降；在市場面因素中，波動性變數對外匯流動性的解釋能力最好，外匯流動性隨著股票波動率及債券波動率上升而下降。
    接著進一步利用外匯流動性指標，建構出外匯流動性共性指標，與代表國家特性的變數進行簡單迴歸及複迴歸，根據迴歸結果顯示，外匯存底越低、外匯報酬波動率越高、貨幣市場利率越高以及央行透明度越高的國家，外匯流動性共性越高，此外，已開發國家共性又比新興國家高。
    In the past studies of scholars, most of the topics on liquidity are still concentrated on the stock and bond markets, so this paper mainly discusses the liquidity of the foreign exchange market, studying the relationship between foreign exchange liquidity and the demand-side, supply-side, market-side factors, and the relationship between the commonality of foreign exchange liquidity and country characteristics.
    First, we use the exchange rate quotes of the foreign exchange market in the period from January 1997 to December 2018 in 36 countries to calculate the foreign exchange liquidity measure. According to the results of panel regressions : among demand-side factors, foreign exchange liquidity declines when U.S. capital flows and the VIX index rise; among supply-side factors, foreign exchange liquidity declines when TED spread, U.S. commercial paper spread, and U.S. bank deposits rise; among market-side factors, volatility variables have the best ability to explain foreign exchange liquidity, and foreign exchange liquidity declines when stock volatility and bond volatility increase.
    Then, we further use the foreign exchange liquidity measure to construct an indicator of commonality in foreign exchange liquidity, and perform simple regression and multiple regression with variables representing the characteristics of the country. According to the results of regressions, countries with lower foreign reserve, higher volatility of foreign exchange rate returns, higher local money market interest rate and higher central bank transparency are positively related with commonality. In addition, developed countries have higher commonality than emerging countries.
    Reference: 1.Brunnermeier, M. K., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. The review of financial studies, 22(6), 2201-2238.
    2.Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. The Quarterly Journal of Economics, 108(4), 905-939.
    3.Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of financial economics, 56(1), 3-28.
    4.Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The Journal of Finance, 67(2), 719-760.
    5.Fleming, J., Kirby, C., & Ostdiek, B. (1998). Information and volatility linkages in the stock, bond, and money markets. Journal of financial economics, 49(1), 111-137.
    6.Hassan, T. A. (2013). Country size, currency unions, and international asset returns. The Journal of Finance, 68(6), 2269-2308.
    7.Hau, H., Massa, M., & Peress, J. (2010). Do demand curves for currencies slope down? Evidence from the MSCI global index change. The Review of Financial Studies, 23(4), 1681-1717.
    8.Hau, H., & Rey, H. (2006). Exchange rates, equity prices, and capital flows. The Review of Financial Studies, 19(1), 273-317.
    9.Karnaukh, N., Ranaldo, A., & Söderlind, P. (2015). Understanding FX liquidity. The Review of Financial Studies, 28(11), 3073-3108.
    10.Karolyi, G. A., Lee, K. H., & Van Dijk, M. A. (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics, 105(1), 82-112.
    11.Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
    12.Lucas Jr, R. E. (1982). Interest rates and currency prices in a two-country world. Journal of Monetary Economics, 10(3), 335-359.
    13.Maggiori, M. (2017). Financial intermediation, international risk sharing, and reserve currencies. American Economic Review, 107(10), 3038-71.
    14.Mancini, L., Ranaldo, A., & Wrampelmeyer, J. (2013). Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. The Journal of Finance, 68(5), 1805-1841.
    15.Pavlova, A., & Rigobon, R. (2007). Asset prices and exchange rates. The Review of Financial Studies, 20(4), 1139-1180.
    16.Stoll, H. R. (1978). The supply of dealer services in securities markets. The Journal of Finance, 33(4), 1133-1151.
    Description: 碩士
    國立政治大學
    金融學系
    107352003
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107352003
    Data Type: thesis
    DOI: 10.6814/NCCU202000577
    Appears in Collections:[Department of Money and Banking] Theses

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