臺灣博碩士論文加值系統

本研究旨在探討台灣美元即、遠期匯市之效率性、價量關係及交易行為，採用新台幣兌美元之即、三十天期遠期匯率、遠期買賣價及外匯成交量。研究期間為1998年5月28日至2005年10月31日。根據所蒐集之理論基礎及相關文獻，引起本研究：(1)納入VECM with DCC GJR HYGARCH模型，描述即、遠期匯市之動態關聯性，並解釋匯市非效率性；(2)引用VAR模式，以檢定Clark (1973)之混合分配假說與Copeland (1976)之逐次到達理論；(3)研究波動性與預期、非預期成交量及價差之關聯性，以利於本研究探討即、遠期匯率報酬變異及遠期買賣價差之決定因素。

根據本研究之實證分析，其結果包含(1) VECM with DCC GJR HYGARCH模型結果顯示遠期匯價較即期匯價反應新資訊速度快，且長期記憶下之波動持續性相對即期匯市小，隱含該市場價格發現能力較佳；(2)價量關係結果顯示即、遠期匯價與成交量較能支持混合分配假說。而遠期買賣價差與成交量互為獨立關係，無法支持混合分配或資訊逐次到達理論；(3)預期波動性、遠期買賣價差、預期及非預期成交量變動能夠擴大未來即、遠期匯市風險性，理由是預期持有部位風險，因而反映遠期買賣價差，帶動波動性與成交量變動；(4)未來即期匯率風險及非預期市場衝擊是影響遠期買賣價差之重要因素，隱含交易員為補償未來匯率風險增加持有部位損失，因而擴大該價差作為補償，其支持價差理論之持有成本效果。且該價差易受國際政治與重大特殊事件影響，產生較大變異性。

The aim of this study is to U.S. dollar spot and forward exchange market efficiency, price-volume patterns and trading behavior in Taiwan. This thesis employs NTD/USD spot and 1-month forward exchange rate, forward bid and ask, trading volumes from May 28 1998 to October 31 2005. Based on the basic theories and references, it attracts my thesis to discover: (1) to establish VECM with DCC GJR HYGARCH model, it describes dynamic relationship between spot and forward exchange markets and market efficiency; (2)to employ VAR model, testing for the mixture of distribution hypothesis and sequential information arrivals; (3)to investigate connections between volatility, expected and unexpected trading volumes and bid-asked spreads, it further examine determinants of the squared return on spot and forward exchange rate and forward bid-asked spreads.

The empirical result of this research have found: (1) the result of VECM with DCC GJR HYGARCH model exhibits that forward exchange rate is responses to new information more quickly than spot exchange rate, and volatility persistence relatively weak, implying that the ability of price discovery in forward market is better than spot market; (2) because the price of spot and forward exchange rate, trading volumes are current interrelationship, it supports the mixture of distribution hypothesis. However, the evidence of the forward bid-asked spreads and trading volumes are mutually independent, it indicates the mixture of distribution hypothesis or the sequential information arrivals not to be made; (3) the expected volatility, forward bid-asked spreads, the changes of expected and unexpected trading volumes all enlarge exchange rate risk in spot and forward markets. Because the dealers expect the holding positions risk of spot and forward assets, it reflects forward bid-asked spreads accompany with volatility and trading volumes; (4) the determinants of the impacts on forward bid-asked spreads are the future spot exchange rate risk and uncertain market shocks, it implies that the dealers expand the spreads as to compensate exposed risk loss, it supports the theory inventory holding cost. Moreover, the forward bid-asked spreads are easily affected by the international politics and/or particular event which is arose from the strong variance.

第壹章 緒論.........................................................................................1
第一節 研究動機與背景...............................................................................1
第二節 研究目的...........................................................................................7
第三節 研究方法與步驟...............................................................................8
第四節 研究對象、範圍與資料來源..........................................................10
第五節 論文架構.........................................................................................11
第貳章 理論基礎與文獻回顧...........................................................12
第一節 理論基礎.........................................................................................12
第二節 文獻回顧.........................................................................................22
第三節 本章綜論.........................................................................................34
第參章 實證計量方法.......................................................................36
第一節 單根檢定.........................................................................................36
第二節 共整合檢定.....................................................................................39
第三節 誤差修正模型與因果分析方法.....................................................44
第四節 Long memory GARCH模型與相關檢定方法..............................47
第五節 模型預測績效評估之方法.............................................................68
第肆章 實證結果與分析..................................................................70
第一節 資料描述.........................................................................................70
第二節 單根檢定與共整合分析之結果.....................................................76
第三節 向量誤差修正模型估計、檢定與長期記憶之鑑定......................83
第四節 即、遠期匯市動態關聯性之實證結果與分析..............................89
第五節 即、遠匯價格、遠期價差及成交量關聯性之實證結果分析.......103
第六節 即、遠期匯率報酬變異性決定因素之實證結果分析................114
第七節 遠期價差決定因素之實證結果分析...........................................119
第八節 本章小結.......................................................................................123
第伍章 結論與建議.........................................................................126
第一節 結論...............................................................................................126
第二節 建議與未來研究方向...................................................................129
參考文獻...........................................................................................133

表目錄

表4-1 即期與遠期匯率之基本統計量.........................................................72
表4-2 即期與遠期匯率報酬、遠期價差與成交量之基本統計量..............73
表4-3 即期與遠期匯率與其變動率之數列各期AIC值.............................77
表4-4 遠期匯率、成交量與成交量變動之數列各期AIC值....................78
表4-5 所有相關變數之ADF結果...............................................................79
表4-6 所有變數之KPSS結果......................................................................80
表4-7 即期與遠期匯率共整合檢定之最適落後期.....................................81
表4-8 Johansen MLE檢定結果....................................................................83
表4-9 共整合方程式.....................................................................................83
表4-10 誤差序列相關性檢定結果.................................................................85
表4-11 ARCH LM檢定結果..........................................................................86
表4-12 不對稱檢定結果.................................................................................86
表4-13 VECM模型誤差之長期記憶檢定結果.............................................87
表4-14 模式1：模型參數估計結果................................................................95
表4-15 模式1：模型診斷與檢定...................................................................96
表4-16 模式2：模型參數估計結果..............................................................97
表4-17 模式2：模型診斷與檢定..................................................................98
表4-18 模式3：參數估計結果......................................................................99
表4-19 模式3：模型診斷與檢定................................................................. 100
表4-20 即、遠期匯價、遠期價差及成交量變動之ADF檢定結果.............105
表4-21 即期匯率與成交量變動關係之估計結果.......................................109
表4-22 遠期匯率與成交量變動關係之估計結果.......................................110
表4-23 遠期價差與成交量變動關係之估計結果.......................................112
表4-24 三種估計模式標準化誤差項之Q與ARCH檢定..........................113
表4-25 預期與非預期成交量變動之估計結果...........................................115
表4-26 估計模型之誤差項Q與ARCH檢定結果.......................................115
表4-27 匯率報酬平方與預期、非預期成交量變動之ADF檢定結果.....116
表4-28 即、遠期外匯市場匯率報酬波動性之模型估計結果...................118
表4-29 估計模型之誤差項Q與ARCH檢定結果.....................................118
表4-30 遠期匯率價差之決定因素模型估計結果.......................................122
表4-31 估計模式之標準化誤差項Q與ARCH檢定..................................122





圖目錄

圖1-1 研究步驟之流程.................................................................................10
圖4-1 即期匯率.............................................................................................74
圖4-2 遠期匯率.............................................................................................74
圖4-3 即期匯率之自然對數.........................................................................74
圖4-4 遠期匯率之自然對數.........................................................................74
圖4-5 即期匯率變動率.................................................................................75
圖4-6 遠期匯率變動率.................................................................................75
圖4-7 遠期匯率價差百分比.........................................................................75
圖4-8 外匯成交量（美元）.........................................................................75
圖4-9 外匯成交量之自然對數.....................................................................75
圖4-10 外匯成交量變動.................................................................................75
圖4-11 即期匯率報酬率誤差數列之ACF.....................................................88
圖4-12 遠期匯率報酬率誤差數列之ACF.....................................................88
圖4-13 即期匯率報酬率誤差平方數列之ACF.............................................89
圖4-14 遠期匯率報酬率誤差平方數列之ACF.............................................89

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