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研究生:張藝寶
研究生(外文):CHANG, YI-PAO
論文名稱:日圓期貨市場中的投機和避險交易: 投資人情緒的角色
論文名稱(外文):Speculative and hedging trading in the currency JPY futures market: The role of investor sentiment
指導教授:李修全李修全引用關係
指導教授(外文):LEE, HSIU-CHUAN
口試委員:王譯賢張倉耀
口試委員(外文):WANG, YI-HSIENCHANG, TSANG-YAO
口試日期:2019-07-02
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
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:2019
畢業學年度:107
語文別:中文
論文頁數:31
中文關鍵詞:決策樹外匯期貨報酬投資者情緒未平倉量
外文關鍵詞:Linear-regression-based tree modelCurrency future market returnInvestor sentimentOpen Interest
相關次數:
  • 被引用被引用:1
  • 點閱點閱:259
  • 評分評分:
  • 下載下載:54
  • 收藏至我的研究室書目清單書目收藏:0
Tornell and Yuan(2012)的研究發現淨部位的高點和低點通常能有效地預測即期匯率,但其他像是情緒指標等變數則和未來匯率的移動較不相關。本研究認為投資者情緒其實會是影響外匯期貨的變動,並且認為情緒指標為一狀態變數,會隨著法人的交易行為而改變,利用投機者和避險者的情術指標來做為市場狀態,使用決策樹模型做為市場狀態分割點,探討投機和避險淨持倉比率對日圓外匯期貨所造成的影響。實證結果顯示,當加入了投機、避險情緒指標,會使投資人淨持倉對日圓期貨報酬產生更有效率的影響。另外,本研究亦將傳統OLS(ordinary least squares)模型及決策樹模型的準確度和誤差進行比較,在加入了投機避險情緒進入決策樹模型後,其預測能降低預測誤差並提高預測方向的準確度。
Tornell and Yuan ‘s (2012) study shows that the peaks and the troughs of net positions are efficient predictors to the spot exchange rates, but other variables, such as sentiment in-dicator, are less correlated with future fluctuations in exchange. This research believes that investor’s sentiment can influence the foreign exchange futures, and regards sentiment indi-cator as a state variable, which will changed by the trading of the Institutional investors. Al-so, this paper uses Speculator and hedger’s sentiment indicator as a market state. The paper employs the linear-regression-based tree model to discuss the influence of Speculator and hedger’s Net Open Interest to the JPY futures market. Our empirical evidence shows that Speculator and hedg-er’s Net Open Interest will have a more efficient impact on JPY futures market after adding speculator and hedger’s sentiment index into linear-regression-based tree model. Furthermore, we have compared the accuracies and errors between ordinary least squares model and linear-regression-based tree model. After adding speculator and hedger’s sentiment index, the linear-regression-based tree model can predict more precisely and the errors can be narrowed.
中文摘要 I
Abstract II
目錄 I
表目錄 II
第壹章 緒論 1
第一節、研究動機 1
第貳章 文獻回顧 3
第一節、避險壓力與市場價格影響 3
第二節、投資者情緒與市場價格之相關文獻 5
第三節、文獻評論 7
第參章 研究方法 8
第一節、資料來源 8
第二節、模型設計 9
第二之一節、普通最小平方法 9
第二之二節、線性迴歸基礎的決策樹估計 10
第肆章 實證結果與分析 14
第一節、樣本統計量 14
第二節、投資人持倉比率對日圓期貨報酬的影響 16
第二之一、最小平方法迴歸模型 (OLS) 16
第二之二、線性迴歸基礎之決策樹模型 17
第三節、投資人持倉比率對日圓期貨報酬之預測績效 20
第伍章 結論 22
參考文獻 23
附錄一 25
附錄二 26
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18.Zeileis, A., Hothorn T., Hornik K., 2008. “Model-based recursive partitioning”. Journal of Computational and Graphical Statistics, Vol.17, 492-514.
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