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研究生:陳弘銘
研究生(外文):Hung-Ming Chen
論文名稱:全球金融危機與歐洲主權債務危機期間的台灣外匯市場效率之研究
論文名稱(外文):The Study of Taiwan Foreign Exchange MarketEfficiency under Global Financial Crisis and European Sovereign Debt Crisis
指導教授:蘇明俊蘇明俊引用關係
指導教授(外文):Min-Jiun Su
口試委員:吳中書郭平欣
口試日期:2013-06-09
學位類別:碩士
校院名稱:國立中興大學
系所名稱:企業管理學系所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:中文
論文頁數:108
中文關鍵詞:外匯市場效率金融危機Fama模型Pilbeam and Olmo模型Johansen 共整合
外文關鍵詞:Foreign exchange market efficiencyFinancial crisisFama modelJohansen CointegrationPilbeam and Olmo model
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以國內觀點的Fama模型、Pilbeam and Olmo模型及Johansen 共整合與跨國觀點的Johansen 共整合實證台灣外匯市場的效率性,探討遠期匯率是否充分反應市場對未來即期匯率之預期,即為外匯市場效率性假說是否成立,由此得知台灣外匯市場是否存在效率性,其中亦檢視在不同金融危機期間之台灣外匯市場的效率性。實證結果,就新台幣計價美元即期匯率對30天到期的新台幣計價美元遠期匯率而言,顯示台灣外匯市場在金融危機時期與非金融危機時期皆不存在市場效率;不過,就新台幣計價的美元即期匯率與新台幣計價的歐元即期匯率、新台幣計價的美元即期匯率與新台幣計價的日圓即期匯率、新台幣計價的歐元即期匯率與新台幣計價的日圓即期匯率而言,顯示台灣外匯市場在金融危機時期與非金融危機時期存在市場效率。

目錄

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 2
第二章 文獻探討 4
第一節 外匯市場效率之相關研究 4
第二節 共整合之相關研究 6
第三節 金融危機之相關研究 8
第四節 文獻回顧與研究方向 10
第三章 研究方法 11
第一節 研究架構 11
第二節 外匯市場效率 12
第三節 Fama模型及Pilbeam and Olmo模型 14
第四節 Johansen共整合及Granger 因果檢定 15
第五節 不同的金融期間 18
第六節 健全性檢定 19
第四章 實證分析 21
第一節 研究樣本與研究區間 21
第二節 不同期間之變數的統計分析 25
第三節 不同期間之變數的恆定性檢定 28
第四節 國內觀點之外匯市場效率的Fama 模型檢定 35
第五節 國內觀點之外匯市場效率的Pilbeam and Olmo
模型檢定 38
第六節 國內觀點之外匯市場效率的Johansen共整合
與Granger 因果檢定 41
第七節 跨國觀點之外匯市場效率的Johansen共整合
與Granger 因果檢定 49
第八節 台灣外匯市場效率之健全性檢定 62
第五章 研究結論與建議 64
第一節 結論 64
第二節 研究建議 68
參考文獻 69
附錄 72


中文部分
沈淑芬 (2010),全球金融危機對於台灣股市與匯市影響之研究,
國立高雄第一科技大學位論文。

周伯勳 (2012),歐債危機對台灣總體經濟的影響,臺灣大學經濟學研究所學位論文。

蔡育迪 (2000),亞洲金融風暴對臺灣與東南亞各國股價指數及匯率間互動的影響,中國文化大學經濟學研究所學位論文。

英文部分
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