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研究生:張弘廷
研究生(外文):Hung-Ting Jang
論文名稱:外匯市場風險溢酬之研究-以亞太平洋地區國家為例
論文名稱(外文):The risk premium of foreign exchange markets:Evidence from Asia-Pacific countries
指導教授:徐辜元宏徐辜元宏引用關係
指導教授(外文):Yuan-Hung Hsu Ku
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
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:2007
畢業學年度:95
語文別:中文
論文頁數:84
中文關鍵詞:條件式資產訂價模型不對稱動態條件相關係數風險溢酬
外文關鍵詞:conditional CAPMAsymmetricMultivariate GARCH-MDCCRisk premium
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伴隨著全球化時代來臨,國際之間的貿易與投資越來越頻繁,因此匯率在國際性投資上扮演舉足輕重的角色。然而,投資者為了規避掉匯兌產生風險常常採用遠期匯率進行避險;大部分學者則近一步針對遠期外匯市場效率性進行實證研究,但大部份實證結果顯示遠期匯率不為未來即期匯率不偏估計值-即外匯市場不具有效率性。因此,學者實證結果認為風險溢酬的存在而導致遠期匯率的偏誤,因此本文將藉由模型的設立專注在探討此議題上。
本文根據條件式CAPM理論模型來分析亞太平洋地區國家外匯風險溢酬的現象,研究對象分別為台灣、新加坡、日本、香港、澳大利亞、紐西蘭六個國家。第一,我們採用單變量與多變量GARCH-M方法呈現風險溢酬實證模型;第二,在多變量GARCH-M實證模型上,我們採用資訊變數動態化市場風險價格並且利用DCC方法來處理風險溢酬的條件二階動差。第三,藉由多變量GARCH-M模型的估計參數我們可以獲得各國的市場風險溢酬與多角化利益。
在單變量GARCH-M模型裡,我們的實證結果顯示除了紐西蘭外個別的風險溢酬現象皆不存在;在多變量GARCH-M模型裡,整體的市場風險溢酬現象不但存在並且還會隨時間改變而波動,另外新加坡、日本、澳大利亞、紐西蘭在風險溢酬探討上出現了不對稱波動現象;最後,我們發現各國在1998年這段期間均有較高的多角化利益,尤其是台灣、新加坡、日本。
With the coming of globalization, foreign exchange rates play an important role in international investment. To avoid risk of exchange rate, investors often adopt forward exchange rate to hedge, and most researchers try to study on efficiency of forward market. However, most evidences support that forward exchange rate is not the unbiased predictor of the future spot rate, representing inefficiency in forward market. As a result, most researchers consider that forward bias is due to the presence of the risk premium, we apply the model to discuss this issue.
This paper analyzes the existence of risk premium based on conditional capital asset pricing model using data from Asia-Pacific countries, including Taiwan, Singapore, Japan, Hong Kong, Australia and New Zealand. First, we adopt univariate and multivariate generalized autoregressive conditional heteroskedasticity in mean (GARCH-M) method to represent risk premium. Second, we use information variable to allow price of market risk varied and dynamic conditional correlation (DCC) method to deal with the conditional second moments in multivariate GARCH-M model. Third, we further acquire estimation of market risk premium and diversification benefit among countries using multivariate GARCH-M model.
In univariate GARCH-M model, the empirical result indicates that no evidence of risk premium is found except New Zealand. On the contrary, strong evidence of time-varying market risk premium is detected in multivariate GARCH-M model. Besides, the risk premium in Singapore, Japan, Australia and New Zealand are asymmetric volatility shocks. Finally, the evidence indicates that every country has much more diversification benefit during 1998, especially in Taiwan, Singapore and Japan.
目錄
中文摘要.............................................. i
英文摘要.............................................. ii
誌謝.................................................. iv
目錄.................................................. v
表目錄................................................ vi
圖目錄................................................ vii
第一章 緒論.......................................... 1
第一節 研究動機...................................... 1
第二節 研究方法與目的................................ 3
第三節 研究步驟...................................... 4
第四節 研究架構...................................... 5
第二章 文獻回顧...................................... 6
第一節 遠期效率市場相關文獻.......................... 6
第二節 外匯市場風險溢酬相關文獻...................... 9
第三章 研究方法...................................... 15
第一節 資料檢定...................................... 15
第二節 以跨期資產訂價模型探討風險溢酬................ 18
第三節 風險溢酬實證模型設計.......................... 21
第四節 單變量 GJR-GARCH-M 模型...................... 23
第五節 動態條件相關係數(DCC)-GARCH-M模型............ 25
第四章 實證結果與分析................................ 32
第一節 研究對象、研究期間、資料來源以及資料處理方式.. 32
第二節 資料概述與檢定................................ 34
第三節 GARCH-M(1,1)模型-實證結果與分析.............. 40
第四節 市場風險溢酬與多角化利益...................... 56
第五章 結論與建議.................................... 62
第一節 結論.......................................... 62
第二節 建議.......................................... 63
參考文獻.............................................. 65
附錄A................................................. 71
附錄B................................................. 74
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