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系統識別號 U0026-0607201618002500
論文名稱(中文) 權益風險的資訊內涵是否會對外匯風險溢酬造成影響
論文名稱(英文) Information Content of Equity Risk in Foreign Exchange Risk Premium
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 104
學期 2
出版年 105
研究生(中文) 鄭凱文
研究生(英文) Kai-Wen Cheng
學號 R86031123
學位類別 碩士
語文別 英文
論文頁數 50頁
口試委員 指導教授-王澤世
口試委員-顏盟峯
口試委員-劉裕宏
中文關鍵字 美國存託憑證  國際資產定價模型  向量自我迴歸模型  誤差修正模型 
英文關鍵字 ADRs  IAPM  VAR  VECM 
學科別分類
中文摘要 在本文中,我們嘗試使用OLS來測試會影響匯率超額報酬的因素是否為一線性相關,另外我們也使用VAR以及VECM來測試ADR變數之間的相互關係。在OLS中我們發現對大部分國家而言,外國權益市場的溢酬上升會導致該國家的匯率貶值;在VAR以及VECM我們則採用了三種檢定方法來檢測ADR變數之間的關係,在格蘭傑因果關係中,我們發現新興國家的所有因子皆受到前期影響,另外所有選取國家的股價皆受到ADR價格的影響、在衝擊反應函數中,台灣及墨西哥的變數反應並不一致,法國及澳洲的股價對於ADR之影響則隨期間拉長而上升,表示股價對於ADR價格有正向影響,香港的ADR及股價則都受到匯率影響、最後在變異數分解中,ADR對所有選取國家皆為最外顯的因子,另外匯率除了可以受到其自身解釋之外也可受到ADR一定比例的解釋,表示ADR也具有影響匯率的可能。
英文摘要 In this thesis, we extend Wang’s (2016) working paper by using OLS to test what factors may affect excess exchange rate return, and by using VAR (value at risk) and the VECM (Vector Error Correction Model), we test the relationships among variables that may affect American depository receipts (ADRs). In OLS, we find that for most countries, increases in foreign equity markets causes depreciation of foreign currencies. In VAR and VECM, we use three methods to test the relationship among variables that may affect ADRs, where the Granger causality indicates that all the prices in emerging countries are affected by prior factors, and the dynamics of stock price are affected by the ADR price, which suggests that stock price is affected by ADR price regardless of whether the selected countries are emerging or developed countries. In the impulse function, we find that in Taiwan and Mexico, the variable response is not consistent; in Australia and France, the response of ADR price to stock price increases as the time period increases, which means the stock price creates a positive shock to ADR price, and Hong Kong’s ADR price and stock price are both positively affected by the exchange rate. In the variance decomposition, the ADR is the most exogenous variable for all of the countries under consideration; second, the underlying shares are affected by ADRs, and finally, the exchange rate is not only explained by its own innovations but also by ADRs for every country, which means the exchange rate may be affected by ADRs.
論文目次 I.Introduction..........................................3
II.Literature Review and International asset pricing model………6
III.Methodology
3.1Data…………………………………………………………………………….11
3.2 OLS model………………………………………………………………………15
3.3 VAR specifications and tests……………………………………………………16
3.4 VECM specifications and tests…………………………………………………20
IV.Empirical Results
4.1 OLS result………………………………………………………….……….…21
4.2 VAR and VECM result………………………………………………………23
V.Conclusions…………………………………………………………..……….……29
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