政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130539
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 112721/143689 (78%)
造访人次 : 49504762      在线人数 : 805
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/130539


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/130539


    题名: 外匯市場流動性及共性分析
    Foreign exchange liquidity and commonality analysis
    作者: 詹曜瑛
    Chan, Yao-Ying
    贡献者: 林建秀
    Lin, Chien-Hsiu
    詹曜瑛
    Chan, Yao-Ying
    关键词: 外匯流動性
    流動性指標
    共性
    共性指標
    Foreign exchange liquidity
    Liquidity measure
    Commonality
    Commonality indicator
    日期: 2020
    上传时间: 2020-07-01 13:40:35 (UTC+8)
    摘要: 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。
    首先利用36個國家在1997年1月到2018年12月期間內外匯市場的匯率報價，計算出外匯流動性指標，根據縱橫資料迴歸的結果顯示，在需求面因素中，外匯流動性隨著美國總資本流動及VIX指數上升而下降；在供給面因素中，外匯流動性隨著TED利差、美國商業票據利差及美國銀行存款上升而下降；在市場面因素中，波動性變數對外匯流動性的解釋能力最好，外匯流動性隨著股票波動率及債券波動率上升而下降。
    接著進一步利用外匯流動性指標，建構出外匯流動性共性指標，與代表國家特性的變數進行簡單迴歸及複迴歸，根據迴歸結果顯示，外匯存底越低、外匯報酬波動率越高、貨幣市場利率越高以及央行透明度越高的國家，外匯流動性共性越高，此外，已開發國家共性又比新興國家高。
    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.
    參考文獻: 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.
    描述: 碩士
    國立政治大學
    金融學系
    107352003
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107352003
    数据类型: thesis
    DOI: 10.6814/NCCU202000577
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    200301.pdf1438KbAdobe PDF20检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    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。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    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。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈