English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 89327/119107 (75%)
Visitors : 23851360      Online Users : 321
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 學術期刊 > 會計評論 > 期刊論文 >  Item 140.119/114742
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/114742


    Title: 投資者面對條件性變異數時之風險溢酬調整-以我國外匯市場為例
    The Revision of Risk Premium in the Presence of Conditional Variances: The Case of the Foreign Exchange Market of Taiwan
    Authors: 簡金成
    Chien, Chin-Chen
    Date: 1994-09
    Issue Date: 2017-11-15 14:54:31 (UTC+8)
    Abstract: 本文應用卡門演算法(Kalman Filter)探討我國遠期外匯市場重新開放後,投資者面對條件性非齊一變異數時,如何評估外匯投資之風險溢酬;以及外匯市場是否具效率性等問題。實證結果顯示,新台幣對美金之遠期匯率呈現ARCH效果乃一普遍現象,致使迴歸模式結構不穩定。故若援引國外研究方法,應用迴歸分析以估計Level 或Percentage Change Specifications都將產生誤導結果。本研究將上述問題轉為State Space之模式,並利用卡門演算法估計投資人接獲市場訊息時,如何逐步調整其風險溢酬。實證結果發現: (1)利用卡門演算法於Percentage Change Specifications比Level Specifications更適合於探討投資人如何逐步調整風險溢酬;(2) 我國外匯市場不具效率性。
    This research employs both level and percentage change specifications to test the efficiency of the Taiwanese foreign exchange market and to investigate how the market revises its assessment of risk premium in the presence of conditional variances. The weekly data of the one-month and the three-month forward exchange rates of NT dollar against the US dollar were collected from November 1991 to May 1993 for empirical purposes. The empirical results indicate that the ARCH effect is pervasive. This implies that (1) both the level and the percentage change specifications are misspecified; and (2) the structure of the regression models is unstable. These hypotheses were supported by the empirical results of the Chow test and the Goldfeld-Quandt test. To capture the ARCH effect, the time -varying coefficients regression models were cast into the state space model and the Kalman filter was employed to investigate how the market continuously adjusts its assessment of risk premium following the reopening of the Taiwanese foreign exchange market. Empirical results suggest that the percentage change specification with the application of the Kalman filter to estimate the time-varying parameters may be more appropriate than the level specification. Nevertheless, there is no indication that the Taiwanese foreign exchange market is efficient.
    Relation: 會計評論, 28, 129-165
    Data Type: article
    DOI 連結: http://dx.doi.org/10.6552%2fJOAR.1994.28.6
    DOI: 10.6552/JOAR.1994.28.6
    Appears in Collections:[會計評論] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML106View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback