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研究生:王志忠
研究生(外文):Chih-chung Wang
論文名稱:金融海嘯前後期歐元遠期匯率效率性檢驗
論文名稱(外文):An Examination of the Forward Rate Efficiency of Euro Around the Subprime Crisis
指導教授:張淑華張淑華引用關係
指導教授(外文):Shu-hwa Chang
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:2011
畢業學年度:99
語文別:中文
論文頁數:57
中文關鍵詞:效率市場理論布雷頓森林協定浮動匯率制度歐元金融海嘯
外文關鍵詞:Efficient Market TheoryBretton Woods AgreementFloating Exchange rate systemEuroSubprime crisis
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Fama(1970)提出效率市場理論,表示若市場價格能立即且充分地反應所有可能獲得的訊息,則稱此市場為效率市場。自布雷頓森林協定於1971年開始崩潰以來,世界主要工業國家逐漸改採浮動匯率制度,為了因應即期匯率波動所產生的風隩,遠期外匯市場隨之孕育而生。Levich(1979)首先將Fama所提出效率市場理論運用於外匯市場,認為當外匯市場具有效率性時,遠期匯率為未來即期匯率的不偏估計值,投資人無法藉由可利用的訊息,賺取超額報酬。隨Granger(1981)提出共整合概念,表示兩個不具恆定性的變數經線性組合後,若呈現穩定狀態,則表示兩變數間存在穩定且長期的均衡關係。
本文主要利用共整合分析法探討在歷經金融海嘯的歐元即期匯率與一個月、二個月、三個月、六個月、九個月與一年期的遠期匯率之間是否具有市場效率性,並將1999年1月1日至 2010年11月4日間的日資料區分為(1)1999/1/1~ 2010/11/4(歐元成立以來),(2)1999/1/1~ 2008/9/14(金融海嘯前期),(3)2008/9/15~2010/11/4(金融海嘯後期)等三個期間。
實證結果顯示歐元即期匯率與一個月期遠期匯率僅在2008/9/15~2010/11/4(金融海嘯後期)具有長期均衡關係,而歐元即期匯率與九個月期遠期匯率卻僅在2008 /9/15~2010/11/4(金融海嘯後期)不具長期均衡關係,且歐元即期匯率與一年期遠期匯率亦僅在1999/1/1 ~2008/9/14(金融海嘯前期)具有長期均衡關係。最後經概似比檢定實證結果顯示,除2008/9/15~2010/11/5(金融海嘯後期),六個月期遠期匯率外,其餘皆符合不偏性,即符合遠期匯率為未來即期匯率不偏估計值之推論。
Fama(1970) proposed the “efficient market theory”, which suggests that the market incorporates all available information into stock prices immediately. After the collapse of Bretton Woods Agreement in 1971, major industrial countries in the world gradually started to adopt the floating exchange rate system. In order to avoid the risk of the fluctuating exchange rate, the forward foreign exchange market was created. Levich was the first to (1979) apply the “efficient market theory” to the foreign exchange market. If the foreign exchange market is efficient, the forward exchange rate of any foreign currency must be an unbiased predictor of the future spot rate. Investors in the market cannot earn any excess return by using any publicly available information. Granger (1981) proposed the concept of cointegration, which states that the long-run relationship exists between the spot exchange rate and the forward exchange rate if foreign exchange markets are efficient.
The purpose of the study is to examine the relationship of between Euro spot exchange rate and one-month, two-month, three-month-, six-month, nine-month-, and one-year forward exchange rates using the cointegration theory around the subprime crisis. My sample period ranges between Jan 1 1999 and Nov 4 2010 and is divided into three sub-periods: (1) 1999/1/1- 2010/11/4, (2)1999/1/1-1999/1/1 2008/9/14, and (3)2008/9/15-2010/11/4.
Empirical results show that (1) the long-run relationship existed between the spot exchange rate and the one-month forward exchange rate during 2008/9/15~2010/11/5,(2) the long-run relationship did not exist between the spot exchange rate and the nine-month forward exchange rate only during 2008 /9/15~2010/11/5, and (3) the long-run relationship existed between the spot exchange rate and the one-year forward exchange rate only during1999/1/1 ~2008/9/14. According to the result of LR test, except for the relationship between the spot exchange rate and the six-month forward exchange rate, all other forward exchange rates are unbiased predictors of future spot rates.
第一章 緒論 ........................................................................................................................ 1
第一節 研究動機 ............................................................................................................ 4
第二節 研究目的 ............................................................................................................ 6
第三節 論文架構與研究流程 ........................................................................................ 8
第二章 歐洲共同貨幣之演進與現況 ................................................................................ 9
第一節 二次世界大戰前歐洲共同貨幣的演進 ............................................................ 9
第二節 二次大戰後歐洲共同體的演進 ...................................................................... 11
第三節 歐洲貨幣的演進與誕生 .................................................................................. 13
第四節 歐元的誕生與現況 .......................................................................................... 17
第三章 理論基礎與國內外文獻回顧 .............................................................................. 19
第一節 理論基礎 .......................................................................................................... 19
第二節 國內外文獻回顧 .............................................................................................. 22
第四章 研究方法 .............................................................................................................. 29
第一節 單根檢定 .......................................................................................................... 29
第二節 共整合檢定 ...................................................................................................... 31
第五章 實證結果 .............................................................................................................. 33
第一節 資料來源與處理 .............................................................................................. 33
第二節 單根檢定結果 .................................................................................................. 34
第三節 共整合檢定結果 .............................................................................................. 38
第四節 市場效率性檢定結果 ...................................................................................... 44
第六章 結論 ...................................................................................................................... 46
參考文獻 ................................................................................................................................. 47
附錄A ...................................................................................................................................... 52
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Biswas, R. & H. A. Shawky, (1997), “Foreign Exchange Market Efficiency: evidence From the Gulf War Period,” Global Finance Journal, 8(2), 199-210.
Bossaerts, P. and P. Hillion, 1991, “Market microstructure effects of government intervention in the foreign exchange market” Review of Financial Studies, 4, 513-541.
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三、參考網址
經濟合作暨發展組織(The Organization For Economic Cooperation And Development,OECD)
http://www.oecd.org/home/0,2987,en_2649_201185_1_1_1_1_1,00.html
歐洲央行(European Central Bank,ECB)
http://www.ecb.int/home/html/index.en.html
歐盟統計局(Eurostat)
http://epp.eurostat.ec.europa.eu/portal/page/portal/eurostat/home/
金融時報(Financial Times)
http://www.ft.com/cms/s/0/18338034-95ec-11db-9976-0000779e2340.html?nclick_check=1#axzz1LCgyFoIu
金融界
http://www.jrj.com.cn/
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