臺灣博碩士論文加值系統

自布萊登森林制度（Bretton Woods）崩潰後，國際貨幣體系進入了浮動匯率時代，匯率的過度波動給經濟帶來不利影響，同時影響商品的相對價格而導致價格扭曲，影響廠商降低投資效率。傳統的方法是先以一系列總體經濟作為研究的開始，諸如貨幣需求、利率、產出、消費等基本面的變數加以分析匯率問題，現今匯率的連續變動已經在很大的程度上不能被傳統的總體經濟的基本理論來解釋，於是近年來學術界以市場微觀結構層面來探求新的答案。
市場微觀結構理論（market microstructure）研究的是金融資產價格的發現、形成過程和運作機制，將該理論和匯率理論的結合產生了匯率微觀市場分析法。綜合結論為：總體經濟變數對匯率的作用主要表現為長期趨勢性影響，而短期匯率的波動則在很大程度上發源於眾多的微觀因素。單純的宏觀分析只能說明匯率的長期趨勢，而微觀分析則著重在解釋短期匯率的波動，各項總體經濟因素需透過市場微觀結構才能對外匯市場與匯率產生影響。
本文以路透社（Reuters）TAIFX1電子螢幕頁面之國內外匯交易紀錄歷史資料為研究樣本，來進行國內外匯市場USD/TWD相關微觀層面探討分析，獲致結論分別為：
國內外匯交易市場，交易量分別在早上和下午開盤以及一天的收盤前交易量有放大的情形，符合交易員為積極控制存貨、部位總量的行為，不抱隔夜部位的論點。
每日接近中午和日終尾盤匯價波動性增加，依據國內外匯市場的敘述統計結果代表私有訊息存在。國內匯市中午午休時段的交易制度，產生日內價格的波動與成交量具有類似雙U型曲線的特性。
國內匯市日內交易上午11點的最後成交匯率為定價匯率，一天當中最大交易總量於接近上午11點時段，支持類似「燙山芋」交易模型狀況，相關衍生性商品交易到期交割的外匯部位，像燙手山芋般在國內銀行間市場加速傳遞狀況。

Since the Bretton Woods system collapsed in the early 1970’s, the international monetary system had entered an era of the floating rate system. The over-fluctuation of foreign exchange will reduce the investment efficiency for enterprises who suffered from such volatility of currency. Nowadays, the consecutive volatility of foreign exchange can hardly be explained by traditional macro exchange rate model . Instead, the faculty of finance is looking for the new answers from the analysis of market microstructure.The functions of macroeconomical variances to the foreign exchange will significantly influence the long-term trend of foreign exchange rate. But for the short-term volatility of foreign exchange, the microstructure theory will give better explanations. Therefore, the traditional macro exchange rate analysis explains the long term trend of foreign exchange rate, and on the contrary, the microstructure analysis emphasizes on explaining how short term foreign exchange fluctuates. All macroeconomical factors will influence the foreign exchange market and foreign exchange rate only through market microstructure approach.
This paper uses Reuters TAIFX1 electronical screen page of domestic usd/twd foreign exchange historial trading data as samples of this study. Through the empirical analysis, we may conclude from the research and analysis of market microstructure sector as listed bellows:

First, the volume of domestic usd/twd foreign exchange market will increase during the time of beginning the market in the morning, opening of market in the afternoon after intermission, and closing. This phenomenum conforms to the inventory model that dealers control the overnight position before the end of trading day, and not to hold the overnight position as possible. No dealer want to carriy an inventory longer than one day.
Second, at the time closing to lunch break intermission（i.e. 11:00AM） and the time near to the closing of the day in each trasaction day. The volatility of fx market will increase, which reflects the existence of private information according to the fx information. The lunch break intermission trading customs in domestic fx market makes the volatility of price and volume the feature similar to double U-shaped curve.
Third, the last deal in the 11:00AM will become the fixing rate for usd/twd financial derivatives in the domestic market, and the largest trading volume is also happening near to the time of 11:00 AM, somewhat like the microstructure approach “hot potato” trading model. The model produces hot-potato trading-a term that refers to the repeated passing of inventory imbalances between dealers. The relative derivative position dues for settlement will accelerate the speed of conveyance in the local inter-bank market like “hot potato”.

目錄 II
圖目錄 II
表目錄 III
第一章　緒論 1
第一節 研究背景 1
第二節 研究動機與目的 2
第三節 研究架構與範圍 2
第四節 研究流程 3
第二章　外匯市場與傳統匯率決定理論 4
第一節　外匯市場 4
第二節 台灣外匯市場交易制度與現況 8
第三節　傳統匯率決定理論 10
第三章　外匯市場微觀結構及相關文獻探討 14
第一節 委託單對匯率的影響 15
第二節　外匯交易機制、匯率波動與造市商報價行為 17
第三節 外匯交易相關成本與買賣價差 22
第四節 外匯市場參與者的異質性 26
第五節　交易訊息對市場的影響 28
第四章 台灣外匯市場微觀結構的初探與分析 33
第一節 資料來源與說明 33
第二節　台灣匯市日內及日終資料觀察與分析 34
第五章　結論、研究限制與建議 42
第一節　結論 42
第二節　研究限制 43
第三節　建議 43

ㄧ、中文
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