English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 99899/130675 (76%)
Visitors : 37124015      Online Users : 411
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 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/130539
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/130539

    Title: 外匯市場流動性及共性分析
    Foreign exchange liquidity and commonality analysis
    Authors: 詹曜瑛
    Chan, Yao-Ying
    Contributors: 林建秀
    Lin, Chien-Hsiu
    Chan, Yao-Ying
    Keywords: 外匯流動性
    Foreign exchange liquidity
    Liquidity measure
    Commonality indicator
    Date: 2020
    Issue Date: 2020-07-01 13:40:35 (UTC+8)
    Abstract: 在過去學者的研究中,關於流動性的主題大多還是集中於股票及債券市場上,因此本論文主要針對外匯市場流動性做探討,研究外匯流動性與需求面、供給面、市場面因素之關係,以及外匯流動性共性與國家特性之關係。
    In the past studies of scholars, most of the topics on liquidity are still concentrated on the stock and bond markets, so this paper mainly discusses the liquidity of the foreign exchange market, studying the relationship between foreign exchange liquidity and the demand-side, supply-side, market-side factors, and the relationship between the commonality of foreign exchange liquidity and country characteristics.
    First, we use the exchange rate quotes of the foreign exchange market in the period from January 1997 to December 2018 in 36 countries to calculate the foreign exchange liquidity measure. According to the results of panel regressions : among demand-side factors, foreign exchange liquidity declines when U.S. capital flows and the VIX index rise; among supply-side factors, foreign exchange liquidity declines when TED spread, U.S. commercial paper spread, and U.S. bank deposits rise; among market-side factors, volatility variables have the best ability to explain foreign exchange liquidity, and foreign exchange liquidity declines when stock volatility and bond volatility increase.
    Then, we further use the foreign exchange liquidity measure to construct an indicator of commonality in foreign exchange liquidity, and perform simple regression and multiple regression with variables representing the characteristics of the country. According to the results of regressions, countries with lower foreign reserve, higher volatility of foreign exchange rate returns, higher local money market interest rate and higher central bank transparency are positively related with commonality. In addition, developed countries have higher commonality than emerging countries.
    Reference: 1.Brunnermeier, M. K., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. The review of financial studies, 22(6), 2201-2238.
    2.Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. The Quarterly Journal of Economics, 108(4), 905-939.
    3.Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of financial economics, 56(1), 3-28.
    4.Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The Journal of Finance, 67(2), 719-760.
    5.Fleming, J., Kirby, C., & Ostdiek, B. (1998). Information and volatility linkages in the stock, bond, and money markets. Journal of financial economics, 49(1), 111-137.
    6.Hassan, T. A. (2013). Country size, currency unions, and international asset returns. The Journal of Finance, 68(6), 2269-2308.
    7.Hau, H., Massa, M., & Peress, J. (2010). Do demand curves for currencies slope down? Evidence from the MSCI global index change. The Review of Financial Studies, 23(4), 1681-1717.
    8.Hau, H., & Rey, H. (2006). Exchange rates, equity prices, and capital flows. The Review of Financial Studies, 19(1), 273-317.
    9.Karnaukh, N., Ranaldo, A., & Söderlind, P. (2015). Understanding FX liquidity. The Review of Financial Studies, 28(11), 3073-3108.
    10.Karolyi, G. A., Lee, K. H., & Van Dijk, M. A. (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics, 105(1), 82-112.
    11.Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
    12.Lucas Jr, R. E. (1982). Interest rates and currency prices in a two-country world. Journal of Monetary Economics, 10(3), 335-359.
    13.Maggiori, M. (2017). Financial intermediation, international risk sharing, and reserve currencies. American Economic Review, 107(10), 3038-71.
    14.Mancini, L., Ranaldo, A., & Wrampelmeyer, J. (2013). Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. The Journal of Finance, 68(5), 1805-1841.
    15.Pavlova, A., & Rigobon, R. (2007). Asset prices and exchange rates. The Review of Financial Studies, 20(4), 1139-1180.
    16.Stoll, H. R. (1978). The supply of dealer services in securities markets. The Journal of Finance, 33(4), 1133-1151.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107352003
    Data Type: thesis
    DOI: 10.6814/NCCU202000577
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    200301.pdf1438KbAdobe PDF0View/Open

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

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback