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研究生:吳晉明
研究生(外文):Chin-Ming Wu
論文名稱:台灣美元外匯市場星期效應之實證研究-自我迴歸條件異質變異數模型應用
論文名稱(外文):An Empirical Study of the Day-of-the-week Effect on Taiwan's U.S. Dollars Foreign Exchange Market
指導教授:楊踐為楊踐為引用關係
指導教授(外文):Jien-Wei Yang
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:中文
論文頁數:79
中文關鍵詞:GARCHARCH星期效應
外文關鍵詞:GARCHDay-of-the-weekARCH
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在傳統的計量經濟與時間序列模型中,一般均假設殘差項的變異數是固定不變,然後再進行推論與研究。但實際
上,許多金融資產的時間序列資料並不符合此一假設,其
殘差變異數往往是不穩定的,會受到過去的衝擊所影響。
因此,當資料存在著異質變異數或自我相關,利用普通最
小平方法(OLS)估計則容易產生偏誤。
本文將採用Engle(1982)提出的自我迴歸條件異質變異數ARCH模型及Bollerslev(1986)所發展出來的一般化自我迴歸條件異質變異數GARCH模型,研究對象為新台幣對美元即期匯率及10天期、30天期、60天期、90天期、180天期遠期匯率,研究期間自民國82年1月至91年12月止,依
週休一日、隔週休二日及週休二日階段劃分為三個子期,分別實證探討其星期效應是否存在。藉以觀察國內實施週
休二日前後新台幣對美元即期與遠期外匯市場是否具有星
期效應存在。實證結果發現:
1.我國的美元外匯市場上,不論是即期匯率或各天期的遠期匯率之日報酬率皆呈現具有非對稱的高狹峰分配型態,
且單根檢定得知,新台幣對美元匯率走勢不是一種隨機漫步的過程。
2.而就時間面剖析,不論在實施週休二日前後時期,新台幣對美元匯率的日報酬率確實具 有序列相關且變異數有
異質性現象。
3.利用AIC準則選階最適配置的ARCH或GARCH模型檢定星期效應,就台灣美元外匯市場而言,未如同以往學者所研究股票市場上具有星期一報酬較低且為負報酬與星期五具有較高的報酬的現象。
4.我國自從民國90年元月起實施週休二日以後,除了60天期遠期匯率星期效應不明顯外,其餘各天期匯率皆存在星
期效應現象。
整體而言,美元外匯市場於實施週休二日前後皆有星期
效應異常現象之存在,亦即台灣的美元外匯市場不符合效
率市場假說。
In the traditional econometric and time series models, it is generally assumed the variance of residuals are constant. Thus, the above assumption is used as the basis research and the making of inferences. But, in fact, many time series data of financial asset violate the hypothesis, and their residual are unstable and influenced by past impact. So, if the homoskedasticity of variance and autocorrelation phenomenon exist in the data, the use of the OLS method to estimate will cause biased results.
This thesis adopts Engle’s(1982) ARCH model and Bollerslev’s(1986) GARCH model. Our rearch targets are the spot EX rate of NTD to U.S. dollars and 10 days, 30 days, 60 days, 90 days, 180 days forward EX rate. Our research period is from 1993 Jan. to 2002 Dec. We separate three periods by different rest days in a week, and test whether the-day-of-the-week effect exists. Our empirical results are as follows.
1.In Taiwan’s U.S. EX rate market, the daily returns all present the
Distribution in an asymmetrically high peak, whether the spot EX rate or
forward rate.
2.The daily return of NTD to U.S. dollars are series correlated and the
variance is heterogenous, whether before or after implementation of the
policy which rest two days in a week.
3.We use the AIC standard to choose the appropriate ARCH or GARCH model to
test the day-of-the-week effect. In Taiwan’s foreign EX rate market, the
empirical results are different from the previous study that the return is
lower on Monday and higher on Friday.
4.After 2001 Jan. Taiwan changed its trading time. Other than the 60 days
forward EX rate, the day-of-the-week effect exists in all other days forward
EX rate. In total, the day-of-the-week effect existed in the U.S. EX rate
market whether before or after the policy implementation. And it means
Taiwan’s EX rate market violate the efficiency market hypothesis.
中文摘要 -----------------------------------------------------------------i
英文摘要 -----------------------------------------------------------------ii
誌謝 -----------------------------------------------------------------iii
目錄 -----------------------------------------------------------------iv
表目錄 -----------------------------------------------------------------v
圖目錄 -----------------------------------------------------------------vii

第一章 緒論-------------------------------------------------------------1
第一節 研究動機---------------------------------------------------------1
第二節 研究目的---------------------------------------------------------3
第三節 外匯市場與外匯交易-----------------------------------------------5
第四節 研究限制---------------------------------------------------------8
第五節 研究架構---------------------------------------------------------9
第二章 文獻探討--------------------------------------------------------11
第一節 季節性異常現象--------------------------------------------------11
第二節 星期效應之相關文獻----------------------------------------------13
第三章 研究設計--------------------------------------------------------26
第一節 資料來源及範圍--------------------------------------------------26
第二節 研究方法--------------------------------------------------------30
第三節 星期效應之模型--------------------------------------------------38
第四章 實證分析--------------------------------------------------------40
第一節 匯率日資料常態性檢定--------------------------------------------40
第二節 單根檢定--------------------------------------------------------46
第三節 自我相關檢定----------------------------------------------------55
第四節 星期效應實證檢定------------------------------------------------62
第五章 結論與建議------------------------------------------------------72
第一節 結論------------------------------------------------------------72
第二節 研究建議--------------------------------------------------------74
參考文獻 ----------------------------------------------------------------75
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