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系統識別號 U0026-0403201314322100
論文名稱(中文) 新興市場中的資本帳對於外國匯率風險的影響
論文名稱(英文) The effect of capital flow on foreign exchange risk in emerging equity markets
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 101
學期 2
出版年 102
研究生(中文) 嚴敏之
研究生(英文) Min-Chih Yen
學號 R86991103
學位類別 碩士
語文別 英文
論文頁數 41頁
口試委員 指導教授-王澤世
口試委員-劉裕宏
口試委員-陳怡凱
中文關鍵字 新興市場  DCC  雙變量GARCH 模型  匯率波動  股市報酬  條件變異數  條件相關係數  資本帳 
英文關鍵字 Emerging market  DCC  Bivariate GARCH model  Exchange rate fluctuations  Stock market return  Conditional volatility  Conditional correlation  Equity flow 
學科別分類
中文摘要 此篇文章主要在探討新興市場之資本帳對於以美元計價之外國股市報酬波動以及美國以及外國報酬之相關性歸因於匯率波動的影響。動態的變異數以及相關係數是使用 DCC-GARCH 模型所求得。匯率波動模型係參考 Mun (2007)所發表的公式來加以運算及分析。實證結果顯示以美元計價之外國股市報酬波動歸因於匯率波動的影響顯著，其結果遠大於已開發國家的平均值。而匯率波動對美國以及外國報酬之相關性亦有正向影響。
資本帳對於美國以及外國報酬之相關性歸因於匯率波動的部分有正向影響，但是資本帳對於以美元計價之外國股市報酬波動歸因於匯率波動的影響不顯著。
英文摘要 This study examines effects of equity flows to volatility attributable to exchange rate fluctuations and correlations between US/local equity market return attributable to exchange rate fluctuations in emerging markets. Volatilities and correlations are obtained by applying DCC-GARCH model. Evidence presented in this paper indicates that conditional volatility attributable to exchange rate fluctuations are significantly positive for all countries which are 6 times greater than developed countries provided by Mun (2007); a higher exchange rate fluctuation has a marginally positive impact on the US/local equity market correlation. Connection between equity flows and conditional volatility attributable to exchange rate fluctuation are not obvious. Equity flows have a marginally positive impact on conditional correlations attributable to exchange rate fluctuations.
論文目次 Chapter 1 Introduction................................. 1
Chapter 2 Literature review ........................... 2
2.1Relation between capital flows and stock returns ............................................... 2
2.2Relation between capital flows and exchange rate .................................................. 3
2.3 Relation between stock return and exchange rate................................................... 5
2.4Relation between exchange rate fluctuations and stock market correlation and variability
............ ........................................ 7
Chapter 3 Data and Methodology ........................................... 9
3.1Data ............................................... 9
3.2 The model ......................................... 10
3.3 Methodology ....................................... 11
Chapter 4 Empirical results ........................ .. 14
4.1 Unconditional returns and correlations for equity market, foreign exchange market and equity flows ...... 14
4.2 Volatility and correlation explained by exchange rate fluctuations........................................... 15
4.3 Relation of equity flow and conditional volatility attributable to exchange rate fluctuation ............. 17
4.4 Relation of equity flow and conditional correlations between US/local equity market returns attributable to exchange rate fluctuations............................. 18
Chapter 5 Conclusion .................................. 19
References ............................................ 22
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Wei, S.J. and J. Kim, 1997, The big players in the foreign exchange market: do they trade on information or noise?’, NBER WP No. 6256.
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