利差交易(Carry Trade)是在各種貨幣的利率水平上進行套利的交易以獲得價差收益的交易型態。而利差交易在這幾年創造出諸多研究的方向；利差交易又稱為套息交易，即借入低利率的貨幣，以購買其它高收益的投資工具，如高利率貨幣、股票、或是實物資產等，進而從中賺取其間的利率及匯率差價。諸如債券或國庫券等現貨金融工具所帶來的收益與該項投資的融資成本間的差額。

利差交易多在市場處於穩定低風險狀況下時，才能夠得到穩定的報酬率，因此如何客觀準確的評量目前市場所處的風險狀態，以獲得相對平穩又較佳的收益是主要的研究方向。本研究以如何求得利差交易裡面各項最佳且保持穩定性的參數與指標，假設利差交易可以經由衡量某些風險指標的平均值，並當風險指標低時建立利差交易部位，反之，當風險指標高時結束利差交易，甚至更積極進行反向利差交易，以求達到穩定報酬率的目標。

Title of Thesis: Empirical Performance of Carry Trade Trading Strategy
School/Graduate School: National Chengchi University Executive Master
Of Business Administration, Advanced Finance Class – Risk
Management and Insurance Group
Graduate Student : Lee, Nai-Chun
Instructor: Dr. Kang, Jung Pao
Thesis Content:
Carry trade bases on interest rate differences of many currency pairs to make capital gains and interest income and it creates many research topics in recent years. Carry trade borrows low yield currencies and invests other high yield targets such as high yield currencies, stocks, or real assets to get interest incomes and capital gains from foreign exchange rates.
Only when a foreign exchange market is under stable and low-risk conditions, carry trade can achieve stable return rates. Therefore, how to objectively evaluate current market risk situations to get relatively stable and more returns is the main research topic of this thesis. This thesis reports how to get optimal and consistently stable parameters and indicators of carry trade. It assumes that carry trade can build positions by measuring some mean values of risk indicators when risk indicators are low. On the contrary, it ends the trade when risk indicators are high and even actively short carry trade positions to achieve stable return rates.

Key words: carry trade、capital gain、exchange rate、risk indicator

中文部分
1 沈中華，用「無拋補利率平價說」解釋臺灣利率與美元匯率的變動，企銀季刊，第十六卷，第一期，1992年。
2 沈中華，掌握國際匯率危機預測，新陸書局，2005年8月1日。
3 Shani Shamah，外匯交易概論，台灣金融研訓院編譯委員會，2005年。
4 姜堯民，財務管理原理，新陸書局，2005年8月9日。
5 孫剛，外匯理論與實務，五南出版社，1998年。
6 寶華綜合研究院，利差交易與近期全球金融市場走勢，2007年。
7 張修敏，台灣上市公司外匯風險暴露之實證研究，南華大學財務管理研究所，2002年。
8 賀蘭之，遠期匯率偏誤交易策略績效分析。2007年。
9 陳伯松，利差交易攪亂國際股市，經濟日報，2007年3月14日。
10 陳嘉惠、高郁惠和劉玉珍，投資人偏好與資產配置，臺灣管理學刊，第1卷，第2期，2002年。

英文部分
1 Grace Cheng, 2007, ”7 Winning Strategies for Trading Forex”, Harriman House
2 Bjork, Tomas, 2004, “Arbitrage Theory in Continuous Time”, Oxford University Press,
3 Burnside, C., M. Eichenbaum, and S. Rebelo, 2007, “The Returns to Currency Speculation in Emerging Markets”, NBER Working Paper, No. 12916
4 Burnside, C., M. Eichenbaum, I. Kleshchelski and S. Rebelo, 2006, “The Returns to Currency Speculation”, NBER Working Paper, No. 12489
5 Caplinger, D., 2006, “A Yen for the Carry Trade”, TMF Galagan
6 Cavallo, M., 2006, “Interest Rates, Carry Trades, and Exchange Rate Movements”, FRBSF Economic Letter, No. 2006-31.
7 Copeland, L.S., 2004, “Exchange Rates and International Finance”, 4th ed. F.T.: Prentice Hall
8 Galati, Heath, and Mcguire, 2007, “Evidence of carry trade activity”, BIS Quarterly Review
9 Hattori and Shin, 2007, “The Broad Yen Carry Trade”, Institute for Monetary and Economic Studies, Bank of Japan
10 Johnson, R. S., C.W. Hultman and R. A. Zuber, 1979, “Currency Cocktail and Exchange Rate Stability”, Columbia Journal of World Business
11 Markowitz, Harry M., 1952, “Portfolio Selection”, Journal of Finance
12 McGuire, P. and C. Upper, 2007, “Detecting FX carry trades”, BIS Quarterly Review
13 Radalj, K., 2002, “Risk Premiums and the Forward Rate Anomaly: A Survey”, iEMSs 2002 Proceedings