臺灣博碩士論文加值系統

隨著規模漸增、勢力愈大，對新興市場的了解也變得十分迫切。本文試圖從資產定價之角度切入，欲了解匯率風險在新興市場的市場報酬中扮演的角色及其重要性為何。
本文研究了十七個新興市場在過去十年間的表現後，發現各樣本國家皆已與國際市場成功整合。並且，全球通貨價值變動與新興市場本地通貨價值變動等兩種匯率風險皆直接地對新興市場的投資報酬產生影響，其中雙邊匯率風險的影響大於全球主要匯率風險。最後，在估計報酬的定價關係時，考慮波動群聚效果並假設投資人將對預期風險收取風險補償將使得估計模型的效率有明顯提升。
因此，若投資人在投資新興市場時，除了關注該市場的實質生產活動狀況外，也需注意其他對匯率產生影響的消息並直接於市場預期報酬進行修正即可。

For the growing dominance in international affairs following the rapid economic growth, it becomes more urgent to get insight into emerging markets. As a result, this paper investigates whether currency risk plays a role in emerging market returns and how important it is. After analyzing the performances of the seventeen emerging markets in the past decade, we find that: (1) these markets have integrated internationally; (2) major currency risk and local currency risk do affect the market returns whereas the local currency risk is more influential than major currency risk; and (3) it is necessary to consider the volatility clustering and compensation for expected volatility when estimating the asset pricing models for the better efficiency. Our results suggest that when investing in emerging markets, investors might collect the information that indicates the movement of exchange rate and then revalue their investment directly.

第一章　前言 1
第二章　文獻回顧 3
第一節　資本資產定價模型—風險與報酬定價關係 3
第二節　國際資本資產定價模型—匯率風險之考量 5
第三節　ＧＡＲＣＨ—波動群聚效果處理 12
第三章　研究方法 　15
第一節　國際資產定價模型—未考慮匯率風險 　 15
第二節　國際資產定價模型—考慮匯率風險 　 16
第三節　國際資產定價模型—考慮波動群聚效果 　 17
第四章　實證研究 　21
第一節　資料說明 　 21
第二節　實證結果 25
第五章　結論 　30
參考文獻 　32
圖表 　36
附錄　樣本國背景概述 　53

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專書
Geert Bekaert & Robert J. Hodrick, 2008, International Financial Management: International Edition, Pearson Education.