臺灣博碩士論文加值系統

在目前全球資本市場高度相依的環境下，任何一個國家產生的衝擊都有可能會影響到世界上的其他國家。本文探討本國及外國股票市場的表現將如何影響匯率的報酬。我們利用1995?10月至2009?7月之G8國家的各變數月資料來討?其關係。文中使用OLS方法來看「事後」結果，並發現當本國股市表現相對於美國股市較差時，G8各國家的匯率會升值；使用TSLS方法來看「事前」結果，有著相似OLS方法的結?。
本文結?為G7國家(除俄國以外)不?是「事後」或是「事前」結果的發現皆符合Hau and Rey (2006) 所提出的「未拋補權益平價說」。但是權益風險對匯率報酬影響的程度及方向則會隨著國家與時間而略有不同。

In a highly integration of world capital market, it is to be expected that shocks to one market would spill over to influence all other markets in the world. In this study, we investigate how the relative performance of the domestic and the foreign stock markets affect exchange rate returns. We use monthly data to discuss the relationship in G8 countries from October 1995 to July 2009. Using OLS method, we find that exchange rates of G8 countries tend to appreciate when the corresponding stock markets decline relative to the US stock market ex post. Using TSLS method with instrumental variables, we find the similar results ex ante.
To summarize, these findings are consistent with the ?uncovered equity parity? condition by Hau and Rey (2006) and accepted ex post and ex ante for G7 countries (which are except Russia). But the degrees and directions of how equity risks influence exchange rate returns vary with markets and time.

Abstract ................................................................................................................................ I
摘要 ..................................................................................................................................... II
致謝 .................................................................................................................................... III
Chapter 1 Introduction .................................................................................................... 1
Chapter 2 Literature Review ........................................................................................... 5
2.1 Exchange Rates versus Equity Returns .................................................................. 6
2.2 Equity Returns versus Capital Flows .................................................................... 12
2.3 The Exchange Rates Determining Model ............................................................ 15
2.4 Choosing Instrumental Variables ........................................................................ 16
Chapter 3 Methodology .................................................................................................. 17
3.1 Chiang‘s (1991) Model ....................................................................................... 19
3.2 Two-Stage Least Squares Approach ................................................................... 21
3.3 Data ..................................................................................................................... 24
Chapter 4 Empirical Results .......................................................................................... 27
Chapter 5 Conclusions ................................................................................................... 34
Reference ............................................................................................................................ 36

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