臺灣博碩士論文加值系統

本研究以1985年2月至2017年8月的38國匯率，研究外匯市場是否存在動能現象和動能反轉現象。除了參考De Bondt and Thaler (1985)和Menkhoff et al. (2012)的研究方法，本文還加入利差、三種不同交易成本、以及將二策略的結果細分為總報酬、做多報酬和做空報酬分別分析。並進一步探討全部的樣本期間與量化寬鬆實施前後的外匯市場，在實證結果上是否有差異，接著對量化寬鬆實施前後的外匯市場進行統計上的檢定，以驗證統計上的證據是否支持實證結果上觀察到的差異。研究發現，長期來說當形成期與持有期較短時，外匯市場存在顯著的動能現象，並且此現象在量化寬鬆實施前更為強勁。當形成期與持有期為各1個月時，量化寬鬆實施前的動能策略年化報酬率可達6.31%，在加入交易成本後則下降至2.78%且變得不顯著，顯見交易成本對執行策略相當具影響。此外還發現量化寬鬆實施前的外匯市場，存在強者恆強、弱者不一定恆弱的狀況，實施後則轉變為強者轉弱、弱者恆弱的特殊現象。

This study studies the momentum effect and reversal effect in the foreign exchange market. The data has 38 countries currency from February 1985 to August 2017. In addition to the research methods of De Bondt and Thaler (1985) and Menkhoff et al. (2012), this paper also adds spreads, three different transaction costs, and subdivides the results of the two strategies into the return on total position, long position and short position to respectively analyze. This study further research whether there is any difference in the empirical results between the entire sample period and the sample period of before and after the implementation of quantitative easing. Then, the study use the testing statistical hypothesis to verify whether the statistical evidence supports the difference observed in the empirical results. The study found that in the long run, when the formation period and the holding period are short, there is a significant momentum effect in the foreign exchange market, and this phenomenon is stronger before the implementation of quantitative easing. When the formation period and holding period are one month each, the annualized rate of return of the momentum strategy before the implementation of quantitative easing can reach 6.31%, and after joining the transaction cost, it will drop to 2.78% and become insignificant. The transaction costs obviously have a strong impact on execution strategies. In addition, it is also found that the foreign exchange market before the implementation of quantitative easing has a situation in which the strong currency will continue to be strong and the weak currency will not necessarily be weak, and after implementation, it becomes a special phenomenon in which the strong currency will turn into weakness and the weak currency will continue to be weak.

第一章 緒論 1
第一節 外匯市場簡介及研究背景 1
第二節 研究動機及目的 4
第三節 研究架構及流程 6
第二章 文獻回顧 7
第一節 動能策略 7
第二節 反向投資策略 10
第三節 文獻總結及未來建議 13
第三章 研究設計 15
第一節 研究樣本與期間 15
第二節 形成期與持有期的界定 16
第三節 研究方法 17
第四節 動能策略及反向投資策略模型架構 17
一、計算形成期報酬率 17
二、排序並篩選贏家、輸家組合標的 18
三、計算各種利差、交易成本下的持有期報酬率 19
四、計算加權報酬率與假設檢定 22
五、量化寬鬆前後之外匯市場報酬差異檢定 24
六、詳列各策略實證結果並分析 25
第四章 實證結果 27
第一節 動能策略報酬分析 27
一、全部期間動能策略實證結果 27
二、量化寬鬆實施前動能策略實證結果 28
三、量化寬鬆實施後動能策略實證結果 30
第二節 反向投資策略報酬分析 30
一、全部期間反向投資策略實證結果 31
二、量化寬鬆實施前反向投資策略實證結果 32
三、量化寬鬆實施後反向投資策略實證結果 33
第三節 量化寬鬆前後之外匯市場報酬差異分析 35
第五章 結論 37
參考文獻 40

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