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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/99557


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99557


    Title: 外匯市場利差交易分析
    Analysis of The Carry Trade in Monthly Currency Market
    Authors: 林比莉
    Lin, Bi Li
    Contributors: 林建秀
    Lin, Chien Hsiu
    林比莉
    Lin, Bi Li
    Keywords: 利差交易
    外匯市場
    套利限制
    經濟循環風險因子
    Date: 2016
    Issue Date: 2016-08-02 17:13:07 (UTC+8)
    Abstract: 本研究主要在探討外匯市場中從1983年11月至2015年10月期間的利差交易策略是否存在超額報酬，並進一步解釋造成利差交易超額報酬的原因，使用61個國家之貨幣建構投資組合，從交易成本、景氣循環波動以及套利限制三個方面來解釋利差交易超額報酬的存在。實證結果發現，以較短月期的遠期外匯建構投資組合，這樣的利差交易策略可以得到較高的報酬，相反地，若以較長月期之遠期外匯建構投資組合，利差交易報酬較低，同時也發現利差交易的超額報酬可以被交易成本部分解釋，景氣循環變數亦可解釋利差交易超額報酬，逐步迴歸結果篩出之總體經濟變數與利差交易超額報酬呈現顯著結果，最後將套利限制加入考慮後，發現投資人在從事利差交易策略時並不會被套利限制所阻擋，貨幣之國家風險與異質性波動度皆不會影響投資人從事套利行為。
    Reference: [1] Anzuini, A., & Fornari, F. （2012）. Macroeconomic determinants of carry trade activity. Review of International Economics, 20（3）, 468-488.
    [2] Bansal, R., & Dahlquist, M. （2000）. The forward premium puzzle: different tales from developed and emerging economies. Journal of international Economics, 51（1）, 115-144.
    [3] Barberis, N., & Thaler, R. （2003）. A survey of behavioral finance. Handbook of the Economics of Finance, 1, 1053-1128.
    [4] Brunnermeier, M. K., & Pedersen, L. H. （2009）. Market liquidity and funding liquidity. Review of Financial studies, 22（6）, 2201-2238.
    [5] Burnside, C., Eichenbaum, M. S., & Rebelo, S. （2011）. Carry trade and momentum in currency markets （No. w16942）. National Bureau of Economic Research.
    [6] Chaboud, A. P., & Wright, J. H. （2005）. Uncovered interest parity: it works, but not for long. Journal of International Economics, 66（2）, 349-362.
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    [8] De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. （1990）. Positive feedback investment strategies and destabilizing rational speculation. the Journal of Finance, 45（2）, 379-395.
     
    [9] Fama, E. F. （1970）. Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25（2）, 383-417.
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    [11] Gyntelberg, J., & Remolona, E. M. （2007）. Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review, December.
    [12] Hutchison, M., & Sushko, V. （2013）. Impact of macro-economic surprises on carry trade activity. Journal of Banking & Finance, 37（4）, 1133-1147.
    [13] Korajczyk, R. A., & Sadka, R. （2004）. Are momentum profits robust to trading costs?. The Journal of Finance, 59（3）, 1039-1082.
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    [15] Lustig, H., & Verdelhan, A. （2007）. The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97（1）, 89-117.
    [16] Lustig, H., Roussanov, N., & Verdelhan, A. （2011）. Common risk factors in currency markets. Review of Financial Studies, 24（11）, 3731-3777.
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    [19] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. （2012a）. Currency momentum strategies. Journal of Financial Economics, 106（3）, 660-684.
    [20] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A., （2012b）Carry trades and global foreign exchange volatility. The Journal of Finance, 67（2）, 681-718.
    [21] 謝皓雯. （2014）. 外匯市場動能效果分析, NCCU Master Thesis
    Description: 碩士
    國立政治大學
    金融學系
    103352010
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103352010
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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