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系統識別號 U0026-0812200913390163
論文名稱(中文) 探索匯率風險與權益價格溢酬:以已開發國家為主要研究範疇
論文名稱(英文) Exchange Risk and Equity Premium:the Case of the Developed Countries
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 & Banking
學年度 95
學期 2
出版年 96
研究生(中文) 林佩慧
研究生(英文) Pei Hui
電子信箱 trinuto@yahoo.com.tw
學號 r8694109
學位類別 碩士
語文別 英文
論文頁數 51頁
口試委員 指導教授-王澤世
口試委員-陳怡凱
口試委員-陳俊男
中文關鍵字 匯率風險  股價溢酬  國際資產訂價模型 
英文關鍵字 equity premiums  the International Capital Asset Pricing Model  exchange risk 
學科別分類
中文摘要 none
英文摘要 This paper expends Chiang (1991) model and employ Dumas and Solnik(1995) model. We use monthly data to discuss the relationship between exchange risk and equity premium in developed countries from January 1995 to September 2006. We use the instrumental variables method and GMM method to estimate our model.

The result of our study suggests that no evidence reveals that specific country risk and the United States equity risk are priced in our sample country. But when using Dumas and Solnik(1995) model, we find that S&P 500 and the world index can influence the exchange rates significantly.
論文目次 Contents

Chapter 1 Introduction………………………………………………………………1
Chapter 2 Literature Review…………………………………………......................5
2.1 The Relationship between Exchange Rate and Equity returns……………………6
2.2 The International Capital Asset Pricing Model……………………......................10
2.3 The Exchange Rate Determining Model…………………………………………13
Chapter 3 Methodologies…………………………………………….......................16
3.1 Chiang (1991) Model…………………………………………………………….17
3.2 The International Asset Pricing Model of Dumas and Solnik (1995)……………21
3.3 Dataset……………………………………………………………………………25
Chapter 4 Empirical Results……………………………………………………….27
Chapter 5 Conclusion………………...……………………………………………..34
Reference…………………………………………………………………………….48





List of Tables

Table 1.A Descriptive Statistics for the Monthly Equity returns…………………….36
Table 1.B Descriptive Statistics for the Monthly Changes in the Exchange Rates….37
Table 2.A Correlations Matrix in the First Period……………………………………38
Table 2.B Correlations Matrix in the Second Period…………………………………39
Table 3 Simple Regression between Two Relative Equity Markets………………….40
Table 4 Equity Index Return Regressed on Instrumental Variables………………….41
Table 5 Excess Returns of Exchange Rates Regressed on Domestic Equity Excess...42
Returns, and the US Equity Returns
Table 6 Equity return regressed on the world index returns………………………….43
Table 7 Excess Returns of Exchange Rates Regressed on Residuals of Domestic…..45
Excess Equity Returns, the US Equity Returns, and the World Index Returns
Table 8 Excess Returns of Exchanges Regressed on Instrumental Variables………..46
Table 9 GMM Estimation of the Conditional International Asset Pricing Model……47
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