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    題名: 探討外匯市場匯率波動不對稱性─以美元及日圓兌台幣為例
    作者: 廖怡婷
    貢獻者: 饒秀華
    廖怡婷
    關鍵詞: 匯率波動不對稱效果
    指數型GARCH模型(EGARCH)
    門檻型GARCH模型(TGARCH, GJR GARCH)
    異質自我相關迴歸模型(HAR-RV)
    異質市場假說
    日期: 2009
    上傳時間: 2016-05-09 14:53:16 (UTC+8)
    摘要: 近年來，金融資產報酬波動的推估一直是重要的研究課題。然而，過去的波動不對稱研究均集中在股票市場，探討外匯市場波動不對稱性的實證研究並不多，但若忽略其不對稱效果將影響未來波動預測的正確性。因此，本研究利用近十六年來美元及日圓兌台幣匯率日資料，以傳統的波動不對稱性指數型GARCH模型(EGARCH Model)、門檻型GARCH模型(TGARCH, GJR GARCH Model)，亦延用異質自我相關迴歸模型(HAR-RV Model)及修正型異質自我相關迴歸模型(Modified HAR-RV Model)分別探討美元及日圓兌台幣匯率波動是否存在不對稱現象及其不對稱程度，並加以分析。實證研究中，上述四種模型均顯示美元及日圓兌台幣匯率波動的確具有不對稱效果；美元兌台幣匯率波動，與股票市場一致，報酬率與波動度間呈負向關係，當台幣相對美元升值時，波動度較高；而日圓兌台幣匯率波動，與美元匯率變動方向相反，報酬率與波動度間呈正向關係，當台幣相對日圓貶值時，波動度較高。此外，以異質自我相關迴歸模型實證分析中，日波動落後項的影響力明顯大於週、月、季波動落後項，與Muller, et al. (1997)、Corsi (2004)及Andersen, et al. (2005)實證研究結果類似。
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    中文部分
    [1] 杜化宇，2006 [民95]，「資產波動對市場訊息反應不對稱之探討：NIC曲線之應用與外幣選擇權市場的證據」，國立政治大學財務金融學系，行政院國家科學委員會專題研究計畫成果報告。
    [2] 李晏均，2005 [民94]，「外匯市場波動性不對稱均數返還現象之硏究」，國立台北大學企業管理硏究所碩士論文。
    [3] 林怡昭，2008 [民97]，「影響亞洲國家匯率變動因素之研究」，國立政治大學經營管理碩士學程碩士論文。
    [4] 林淑瑜，2009 [民98]，「不對稱條件共變異數矩陣對資產配置與風險控管的意涵」，國立中山大學財務管理研究所博士論文。
    [5] 陳盈之，2003 [民92]，「市場訊息變動對外匯波動之不對稱影響與其反轉特性：選擇權市場的證據」，國立政治大學財務管理研究所碩士論文。
    [6] 許碧純，2001 [民90]，「台灣地區貨幣需求再研究─金融性風險之實證分析」，國立中央大學產業經濟研究所碩士論文。
    [7] 楊踐為、胥愛琦、吳清豐，2005 [民94]，「亞洲金融危機前後匯率波動不對稱現象之比較與政策意涵」，台灣管理學刊第5卷第2期，頁187-208。
    [8] 謝孟錡，2005 [民94]，「實質匯率波動之因素─區域性之比較分析」，國立中山大學中山學術研究所碩士論文。
    [9] 闕河士、楊德源，2005 [民94]，「股價指數期貨到期日效應之實證：以台灣股票市場為例」，Journal of Financial Studies Vol.13 No.2 August 2005，頁71-96。
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    96351029
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096351029
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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