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| 研究生： |
謝皓雯 Hsieh, Hao Wen |
|---|---|
| 論文名稱： |
外匯市場動能效果分析 The Analysis of the Momentum Effect in Monthly Currency Market |
| 指導教授： |
林建秀
Lin, Chien Hsiu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2015 |
| 畢業學年度： | 103 |
| 語文別： | 英文 |
| 論文頁數： | 44 |
| 中文關鍵詞： | 動能報酬 、外匯市場 、貨幣危機 、國家風險 |
| 外文關鍵詞： | momentum return, foreign exchange market, currency crisis, country risk |
| 相關次數： | 點閱：72 下載：14 |
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本文主要研究外匯市場在1983年11月到2014年10月期間是否存在動能效果(momentum effect)，並再更深入探討可能造成動能效果的原因。本文以美國投資者的角度，使用62個國家的貨幣，發現在使用較短期的遠期外匯及回顧較近期的歷史報酬作為判斷是否交易的依據，這樣的動能策略可以招致較高且較穩定成長的累積報酬；但是若使用較長天期遠期外匯及以較遠期的歷史報酬判斷，動能策略可能較不顯著，並且累積報酬也較不穩定，甚至在外幣國家發生突發性貨幣危機時，在外匯市場通常會發生反轉效果(reversal effect)。另外也驗證出動能策略的超額報酬很大部分是受到交易成本和即期匯率波動的影響。我們發現國家風險和動能效果平均而言呈現正向關係，流動性風險相較於國家風險對於動能效果的影響性較低。
We investigate whether momentum effect exist or not in the foreign exchange market. We find, based on a sample of 62 market currencies and view U.S Dollar as based currency, the evidence of higher and more stable momentum excess returns as we apply the short formation and holding period in our momentum strategy portfolios. However, when we apply long formation and holding period in our momentum strategy portfolios, we find less momentum effect and unstable cumulative excess returns, and even in the crisis, we find reversal rather than momentum. Additionally, we provide the evidence that transaction cost and spot rate change is the dominant influence on momentum effect. The relationship between country risk and momentum effect is positive significance and liquidity risk provide less evidence on momentum effect.
1. Introduction 1
2. Literature review 4
3. Data
3.1. Data for FX momentum strategy 7
3.2. Data for a measurement of country risk 11
4. Methodology
4.1. Currency excess return 14
4.2. Portfolio construction 15
5. Result
5.1. Excess return of momentum strategy 16
5.2. UP and DOWN in foreign exchange market 23
5.3. Momentum return and market stress 25
5.4. Momentum excess return in sub periods 28
5.5. The spot rate change 30
5.6. Transaction cost 32
5.7. The relationship between country risk and the momentum excess return 34
5.8. The result from time-series regression 36
6. Conclusion and Suggestions 39
Reference 42
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