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    題名: 風險貼水與技術交易報酬-台幣/美元之實証分析
    Risk premium and technical trading return-ntd/usd empirical study
    作者: 邱怡璇
    Chiu, Yi Hsuan
    貢獻者: 郭炳伸
    Kuo, Biing Shen
    邱怡璇
    Chiu, Yi Hsuan
    關鍵詞: 技術交易
    超額報酬
    風險貼水
    資本資產定價模型
    technical trading
    excess return
    risk premium
    capm
    日期: 2012
    上傳時間: 2013-07-22 10:11:03 (UTC+8)
    摘要: 本文主要針對台幣兌換美元的匯價，採用移動平均法則給定的交易訊號模擬交易，透過模擬交易得到顯著異於零的超額報酬，試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示：在傳統資本資產定價模型下，超額報酬無法透過承擔風險所獲得風險貼水來解釋，但加入金融危機事件的影響後，發現在金融危機期間，市場風險係數下降，異常報酬增加，表示在此期間，即使市場大盤表現不佳，技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢，使金融危機期間的技術交易報酬平均高於金融危機前後。
    參考文獻: 中文文獻
    [1]蔡宗岸，「簡單技術分析交易法則」，國立政治大學國際經營與貿易研究所未出版碩士論文，2006年。
    [2]謝明霖、雷立芬，「台灣上市公司隨時間變動系統風險之結構性轉變研究」，台灣銀行季刊，第61卷第4期，第244-256頁2009年。
    [3]莊珮玲、林信助、郭炳伸，「技術交易策略在外匯市場無往不利？」，台灣經濟預測與政策，中央研究院經濟研究所，第41卷第2期，第95-126頁，2011年。

    國外文獻
    [1]Choudhry, T., “Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms ”, Pacific-Basin Finance Journal, Vol. 13, 2005, pp. 93–118.
    [2]Ghysels, E., “On stable factor structures in the pricing of risk: Do time varying betas help or hurt?”, Journal of Finance, Vol. 53, 1998, pp. 549–573.
    [3]Harris, R., S., Marston, F., C., Mishra, D., R., and O’Brien T., J., “Ex ante cost of equity estimates of S&P 500 firms: The choice between global and domestic CAPM ”, Handbook of the Economics of Finance, Vol. 1, 2003, pp. 975–1020.
    [4]Huang, P., and Hueng, C. J., “Conditional risk-return relationship in a time-varying beta model”, Quantitative Finance, Vol. 8, 2008, pp. 381–390.
    [5]Jensen, M., C., “Some anomalous evidence regarding market efficient”, Journal of Financial Economics, Vol. 6, 1978, pp. 95–101.
    [6]Krugman, P., “Target zones and exchange rate dynamics”, Quarterly Journal of Economics, Vol. 56, 1991, pp. 669–682.
    [7]Kho, Bong-Chan., “Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets ”, Journal of Financial Economics, Vol. 41, 1996, pp. 249–290.
    [8]Karolyi, S., N., and Ruback, R., S., “Are financial assets priced locally or globally?”, Handbook of the Economics of Finance, Vol. 1, 2003, pp. 975–1020.
    [9]LeBaron, B., “Technical trading rule profitability and foreign exchange intervention”, Journal of International Economics, Vol. 49, 1992, pp. 1731–1764.
    [10]Martin, A., D., “Technical trading rules in the spot foreign exchange markets of developing countries”, Journal of Multinational Financial Management, Vol. 11, 2001, pp. 59–68.
    [11]Pettengill, N., G., Sundaram, S., and Mathur, I., “The conditional return between beta and returns”, The Journal of Financial and Quantitative Analysis, Vol. 30, 1995, pp. 101–116.
    [12]Park, Cheol-Ho, and Irwin S. H., “What do we know about the profitability of technical analysis”, Journal of Economic Surveys, Vol. 21, 2007, pp. 786–826.
    [13]Stehle, R., M., “An empirical test of the alternative hypotheses of national and international pricing of risky assets ”, Journal of Finance, Vol. 32, 1977, pp. 493–502.
    [14]Saacke, P., “Technical analysis and effectiveness of central bank intervention”, Journal of Finance, Vol. 41, 2002, pp. 163–182.
    [15]Tofallis, C., “Investment volatility： A critique of standard beta estimation and a simple way forward”, European Journal of Operational Reserch, Vol. 187, 2008, pp. 1358–1367.
    [16]Volis, A., Diamandis, P., and Karathanassis G., “Time-varying beta risk for the stocks of the Athens Stock Exchange”, Investment Management and Financial Innovations, Vol. 8, 2011, pp. 191–198.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    100351032
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0100351032
    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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