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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60518


    Title: 外匯市場從眾行為之研究-凱因斯選美競賽之應用
    Herding behavior in the foreign exchange market-the application of keynes`s beauty contest
    Authors: 李姍諾
    Contributors: 林修葳
    李姍諾
    Keywords: 外匯市場
    從眾行為
    凱因斯選美競賽
    herding behavior
    beaty contest
    foreign exchange market
    Date: 2009
    Issue Date: 2013-09-05 16:48:18 (UTC+8)
    Abstract: 基於凱因斯選美競賽概念我們知道，如果要掌握金融市場的整個運作過程，除了要了解市場參與者所持有的信念外，更要進一步去了解市場參與者對其他市場參與者的信念的可能看法，也就是所謂的高階信念。因此，本篇研究的主要目的是嘗試描述高階預期概念在資產定價模型中所扮演的角色，同時也可以檢驗凱因斯的選美競賽理論是否可以幫助我們了解資產價格的形成過程。第二個目的是利用資產定價模型進一步去檢視市場交易者是否對公開訊息有過度反應的現象。

    透過建立噪音的理性預期模型來推導外匯價格的預期形成過程發現，外匯價格所傳遞的訊息為偏誤的訊息，亦即在供給衝擊下的平均外匯價格並不會完全反映外匯真實價值，其反映的是外匯資產真實價值及公開訊息的線性組合。此外，經過進一步研究後發現，外匯價格的預期受公開訊息的影響程度遠大於真實訊息，亦即市場上的外匯價格預期對公開訊息有過度反應的現象。

    另外，模型的研究結果指出，造成市場參與者對於公開訊息產生過度反應的原因有：投機者的人數比例、投機者的風險愛好程度以及私有訊息的精確度等三項。
    Based on Keynes’s beauty contest theory, if you want to know the operation of financial market, you should understand market participants` beliefs and market participants` beliefs about other market participants’ beliefs, which is called the higher order beliefs. The goal of the paper is to illuminate the role of higher order expectations in the asset pricing model, and thereby to explore the extent to which Keynes’s beauty contest theory is useful in thinking about asset prices. The second goal of this paper is to use the asset pricing model to examine whether market participants overreact to public information.

    By setting up the noisy rational expectations model, we know that exchange rate is biased signal of the underlying fundamental value. Mean exchange rate taken over realization of the supply shocks are given by convex combination of the true value and public information. Moreover, the distribution of exchange rates is biased towards public information relative to the true value. That is, there is an overreaction to public
    information.

    Finally, the model indicates that there are three factors to explain why market participants overreact to public information. These factors are the proportion of speculators, the risk aversion of speculators and the precision of private information.
    Reference: 1、Allen,Franklin,Stephen Morris,and Hyun Song Shin (2003),“Beauty Contests,Bubbles and Iterated Expectations in Asset Markets”, mimeo.

    2、Beine, M., Benassy-Quere, A. and Lecourt, C. (2002),“Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimation”, Journal of
    International Money and Finance, Vol. 21, pp.115-144.

    3、Bikhchandani,S.and Sharma,S.(2000),“Herd behavior and financial markets: a review”, IMF working paper,00/48.

    4、Brunnermeier,M.K.(2001),“Asset Pricing under Asymmetric Information”,Oxford University Press.

    5、Dreger,C.and Stadtmann, G.(2008),“What drives heterogeneity in foreign exchange rate expectations: insights from a new survey”,International Journal of Finance and Economics, Vol.13, pp.360-367.

    6、Frankel,J.A.and Froot,K.(1987),“Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations”,American Economic Review, Vol.77, pp.133-153.

    7、Frankel, J.A and K. Froot (1987),“Exchange Rate Forecasting Techniques,Survey Data and Implications for the Foreign Exchange Market”,NBER Working Paper, No.3470.

    8、Frenkel,Roberto and Martín R.(2008),“Five Years of Competitive and Stable Real Exchange Rate in Argentina, 2002-2007”,International Review of Applied Economics, Vol.22(2),pp.215-226.

    9、Graham, J.R. (1999),“Herding among investment newsletters: theory and evidence”,The Journal of Finance, LIV (1), pp.237-268.

    10、Ito, Takatoshi.(1990),“Foreign Exchange Rate Expectations: Micro Survey Data”,American Economic Review, 80(3),pp.434-49.

    11、Kim, W. and Wei,S.J.(1999),“Foreign Portfolio Investors Before and During a Crisis”,NBER Working Paper, No.6968.

    12、Krous A.and Stoll,H.(1972),“Parallel Trading by Institutional Investors”, Journal of Financial and Quantitative Analysis, Vol.7, pp.2107-2138.

    13、MacDonald, R.（1995,“Long-run exchange rate modeling: a survey of the recent evidence”,IMF Staff Papers, Vol.42 (3), pp.437-489.

    14、MacDonald, R.(2000),“ Expectations formation and risk in three financial markets:Surveying what the surveys say”,Journal of Economic Surveys,Vol.14,69-100.

    15、MacDonald, R. and Torrance,T.（1988）,“On risk rationality and excessive speculation in the Deutschemark-US dollar exchange market: some evidence using survey data”, Oxford Bulletin of Economics and Statistics, Vol.50,pp.544-561.

    16、MacDonald, R. and Marsh, I.W.（1996）,“Foreign exchange forecasters are heterogeneous: confirmation and consequences”,Journal of International Money and Finance, Vol.15 (5), pp.665-685.

    17、Tagaki S.（1991）,“Exchange rate expectations: a survey of survey studies”, IMF Staff Paper,Vol.38, pp.156-183.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351034
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097351034
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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