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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/118235
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/118235

    Title: 外匯報酬之利差、動能及價值交易策略成因分析
    The Exchange Rate Return Pricing Models Including Factors of Carry Trade, Momentum and Value Strategy
    Authors: 郭秀樺
    Kuo, Hsiu-Hua
    Contributors: 林建秀
    Lin, Chien Hsiu
    Kuo, Hsiu-Hua
    Keywords: 外匯交易
    FX trading
    Carry trade
    Momentum strategy
    Value strategy
    Global macro-economical factors
    Liquidity factors
    Fama-MacBeth regression
    Date: 2018
    Issue Date: 2018-07-03 17:26:09 (UTC+8)
    Abstract: 本研究主要是以外匯報酬四因子模型為基礎,故先在樣本期間內(1985/2至2017/08) ,透過HML投組法、Linear權重法及Rank權重法將37國匯率資料分別建構出利差、動能及價值交易策略因子;另一方面則利用前期遠期貼水、前期超額報酬、前期RERC(實質匯率累積五年變化)之測度各建構出4個投組。接著檢視因加入價值策略因子所形成之四因子模型對於外匯超額報酬的解釋力是否較兩因子模型(市場因子及利差策略因子)及三因子模型(市場因子、利差及動能策略交易因子)來的強?最終發現四因子模型在判斷係數及定價誤差檢定等適切度皆表現較佳。
    This paper is based on the four-factors model of excess returns of foreign exchange. Firstly, we constructed CAR, MS and VALUE factors using HML(high minus low), linear weighted and rank weighted methods and also constructed 4 portfolios for each FX trade strategy based on different measures with 37 kinds of currencies during the sample period of February 1985 to August 2017.Next we tested whether four-factors FX model which adds VALUE factor have stronger ability to explain currency excess returns than two- and three-factors FX model. Finally, no matter the coefficient of determination or the test of pricing error, four-factors FX model performed well indeed.
    Further, we used PCA (Principal Component Analysis) to find the first component of factors which strongly related to the CAR, MS and VALUE factor respectively, and then using Fama-MacBeth two-step regression to estimate the pricing ability. The results showed that the first component is significant. The first component is mainly correlated with the ∆〖VOL〗_t^equity and ΔFunding Liq.. The reason ∆〖VOL〗_t^equity have the explanatory ability is that as the global stock market is struggling for the high volatility it may affect the return of FX trades.
    And the reason ΔFunding Liq. have the explanatory ability to carry trade is because that the excess return of carry trade may somehow compensate the liquidity spiral. On the other hand, the link between liquidity and momentum strategy and value strategy is that when the liquidity is good then the momentum strategy usually performs well and the value strategy is in contrast.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105352008
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.MB.012.2018.F06
    Appears in Collections:[金融學系] 學位論文

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