臺灣博碩士論文加值系統

本文之研究重點係以國內外近二十年以來外匯市場微結構理論之文獻探討，並以台灣外匯市場為例加以實證，藉以瞭解美元兌新台幣匯率短期波動之原因。本文研究發現，以日資料分析，台灣股價加權指數、美元兌韓圜匯率、美元兌新加坡幣匯率及美元兌日圓匯率等4種指數或匯率之變動與美元兌新台幣匯率之變動具有顯著之相關性；另以日內資料分析，台灣匯市中午休盤期間，台灣股價加權指數之報酬率可以用來預測台灣匯市美元兌新台幣匯率之變動；而台灣證券交易所每交易日公布之外資買賣超金額，可以用來預測台灣匯市該訊息公布時美元兌新台幣匯率之變動。綜上所述，上述訊息之公布，顯著影響台灣匯市之訂單流量，證實了存貨控制效果存在於台灣外匯市場。爰本文實證研究結果期可為台灣股、匯市之投資人，提供走勢預測之資訊，作為調整交易策略之參考。

This dissertation focuses on the discussion of the micro-structure theories on both the domestic and overseas foreign exchange markets in the last two decades. We use the foreign exchange market in Taiwan as an example to analyze the factors affecting the short-term movement of USD/TWD rate. Using the daily data, we find that the movement of TWSE Index, USD/KRW rate, USD/SGD rate, and USD/JPY rate is significantly correlated with that of USD/TWD rate; using the intraday data, we find that during the break in the Taiwan foreign exchange market, the return of TWSE Index can be used to predict the movement of USD/TWD rate. Moreover, the QFII net buys/net sells released by the TWSE can be used to predict the movement of USD/TWD rate at the moment. According to what we have described above, these mentioned information obviously affect the trading volumes in the Taiwan foreign exchange market, confirming that the inventory control effects do exist in the Taiwan foreign exchange market. Therefore, the empirical analysis result of this dissertation can provide the stock and foreign exchange investors in Taiwan not only a source of trend predict but also a reference to adjust their trading strategies.

目錄
中文摘要……………………………………………………………… i
英文摘要……………………………………………………………… ii
誌謝……………………………………………………………………iii
目錄…………………………………………………………………… iv
表目錄………………………………………………………………… vi
圖目錄…………………………………………………………………vii
一、 緒論………………………………………………………………1
1-1 研究背景與動機………………………………………………… 1
1-2 研究目的………………………………………………………… 2
1-3 研究範圍與架構………………………………………………… 3
1-4 研究流程……………………………………………………… …5
二、 外匯市場簡介、我國外匯市場現況與交易制度……………… 6
2-1 外匯市場簡介…………………………………………………… 6
2-2 外匯市場之功能…………………………………………………10
2-3 外匯市場之參與者………………………………………………11
2-4 我國外匯市場現況與交易制度…………………………………14
三、 傳統匯率決定理論與市場微結構理論相關文獻探討…………17
3-1 傳統匯率決定理論相關文獻探討………………………………17
3-1-1國際收支平衡學派之匯率決定理論……………………………17
3-1-2購買力平價理論之匯率決定理論………………………………19
3-1-3利率平價理論之匯率決定理論…………………………………20
3-1-4貨幣學派之匯率決定理論………………………………………21
3-1-5預期心理對匯率之影響…………………………………………23
3-1-6資產組合學派之匯率決定理論…………………………………24
3-2 市場微結構理論相關文獻探討…………………………………25
3-2-1存貨理論…………………………………………………………29
3-2-2資訊不對稱理論…………………………………………………32
四、 研究方法、實務觀察與實證分析………………………………36
4-1 資料來源與說明…………………………………………………36
4-2 研究方法…………………………………………………………37
4-2-1最小平方法迴歸分析……………………………………………37
4-2-2一般化自我迴歸條件異質變異數模型估計……………………38
4-3 實務觀察與實證結果分析………………………………………40
五、 結論、研究限制與後續研究之建議……………………………65
5-1 結論……………………………………………………………… 65
5-2 研究限制………………………………………………………… 66
5-3 後續研究之建議………………………………………………… 66
參考文獻……………………………………………………………… 67

中文部分
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