Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/76597
|
| Title: | 外匯市場動能效果分析
The Analysis of the Momentum Effect in Monthly Currency Market |
| Authors: | 謝皓雯
Hsieh, Hao Wen |
| Contributors: | 林建秀
Lin, Chien Hsiu
謝皓雯
Hsieh, Hao Wen |
| Keywords: | 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 |
| Date: | 2015 |
| Issue Date: | 2015-07-14 11:11:48 (UTC+8) |
| Abstract: | 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. |
| Reference: | 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. |
| Description: | 碩士
國立政治大學
金融研究所
102352032
103 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102352032 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 203201.pdf | 1258Kb | Adobe PDF2 | 86 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
