投資人的有限關注度是否導致外匯市場的動能效果?

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：52

、訪客IP：3.140.188.174

姓名

邱健嘉(Jian-Jia Chiou) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

投資人的有限關注度是否導致外匯市場的動能效果?
(Does Limited Attention Drive Momentum effect in FX Markets?)

相關論文

★ 從巴塞爾協定三談商業銀行資金流動性穩健指標	★ 三大法人於台灣期貨市場擇時能力之探討
★ 奢侈稅課徵對於台灣房價之影響	★ 外匯曝險對台灣半導體產業之現金流量的影響
★ 金控法規範的利害關係人非授信交易之探討	★ 歐債危機是否會影響台灣股市?以台灣指數股票型基金為例
★ 寬鬆貨幣政策對於歐元匯率的影響	★ 影響境外人民幣和境內人民幣價差變化的因素
★ 台灣銀行業高階經理人薪酬與銀行特性之關連性分析	★ 承銷業務對證券分析師盈餘預測之影響
★ 經紀業務對分析師盈餘預測影響	★ 領導者或追隨者：被忽略公司分析師盈餘預測行為之研究
★ 個別投資人日內交易損益:臺灣期貨市場實證分析	★ 外匯市場私有訊息之程度對於匯率變動之影響
★ 外國機構投資人和外匯市場：以臺北外匯交易市場為例	★ 散戶與三大法人之處份效果研究:以台灣加權股價指數期貨為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本論文以溫水煮青蛙(frog-in-the-pan, FIP)假說驗證存在於外匯市場中的動能效果，是否由投資人的有限關注度所導致。假定當過去資訊以較連續且漸進的方式釋出，投資人無法對匯率漸進的變動及時反應，如同鍋子裡的青蛙，進而使動能效果更為顯著。在涵蓋48個貨幣並長達40年的樣本中，實證結果顯示平均動能報酬每年高達15\%，進一步以資訊間斷程度區分動能投資組合以後，資訊連續下的動能報酬更高達每年40\%的水準，反之資訊間斷下的動能報酬卻無顯著異於0\%。另一方面，本論文以投資人反應不足為基礎下發展新的FIP投資策略，並且發現FIP策略與動能策略有很大程度的相關性，經過橫斷面的迴歸分析以及穩健性測試，本論文可以得到以下結論：1.外匯動能效果直至2016年依舊存在於外匯市場中；2.過去資訊間斷程度大較能吸引投資人的關注，動能現象也因此較不明顯，過去資訊較為連續時動能現象則較明顯；3.投資人的有限關注度使投資人反應不足，從而導致了外匯動能效果，且某種程度上此現象存在於個別貨幣。十分有趣的是，即使在流動性高、交易規模大以及專業投資人比例較高的外匯市場中，行為偏誤仍然會影響投資人的決策行為，並且導致動能現象。

摘要(英)

This thesis examines whether investor limited attention drives momentum effect in FX markets with reference to the frog-in-the-pan (FIP) hypothesis. FIP hypothesis posits that FIP investors tend to under-react to information arriving continuously in gradual changes, as like a frog in a pan, and induce stronger momentum effect. Data include 48 currencies and cover the sample period for 40 years. The empirical results show that the average of returns for momentum strategies are up to 15\% per annum. (p.a.). Furthermore, sorted by information discreteness, momentum returns are up to 40\% following continuous information. By contrast, momentum returns become insignificantly different from zero following discrete information. After doing cross-sectional regressions and robustness checks, the findings demonstrate three conclusions as follows. First, momentum effect still exist in FX markets until 2016; Second, discrete information mitigates momentum effect due to more attention from investors, while continuous information induces stronger momentum effect; Third, investor limited attention leads to under-reaction and further contributes to momentum effect. To some extent that this phenomenon exists in individual currencies. Interestingly, with characteristics of having high liquidity, huge transaction volume, and a large number of professional investors, behavioral biases still influence investors′ decision-making and drive momentum effect in FX markets.

關鍵字(中)

★ 有限關注度
★ 動能
★ 外匯市場

關鍵字(英)

★ Limited attention
★ Momentum
★ FX markets

論文目次

中文摘要.............................. i
Abstract............................... ii
Acknowledgements ......................... iii
Table of Contents.......................... iv
List of Figures ........................... v
List of Tables............................ vi
1 Introduction ...................... 1
2 Literature Review ................... 4
2.1 Momentum strategies ................. 4
2.2 Limited attention ................... 7
3 Data and Methodology ................ 9
3.1 Currency data ..................... 9
3.2 Currency momentum portfolios....................... 10
3.3 Information discreteness................ 11
3.4 FIP strategies ..................... 13
3.5 Fama-MacBeth type regressions....................... 14
4 Empirical analysis................... 16
4.1 Currency momentum ................. 16
4.2 FIP strategies ..................... 17
4.3 Double-sorts ...................... 19
4.4 Fama-MacBeth type regressions....................... 20
4.5 Robustness tests .................... 21
5 Conclusion ....................... 23
References....................... 24
Appendix ....................... 40

參考文獻

Akran, Q.F., Rime, D., Sarno, L., 2008. Arbitrage in the foreign exchange market: Turning on the microscope. Journal of International Economics 76, 237–253.
Asness, C.S., Moskowitz, T.J., Pedersen, L.H., 2013. Value and momentum everywhere. Journal of Finance 68, 929–985.
Barber, B.M., Odean, T., 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21, 785–818.
Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307–343.
Burnside, C., Eichenbaum, M., Kleshchelski, I., Rebelo, S., 2011a. Do peso problems explain the returns to the carry trade? Review of Financial Studies 24, 853–891.
Burnside, C., Eichenbaum, M., Rebelo, S., 2011b. Carry trade and momentum in currency markets. Annual Review of Financial Economics 3, 511–535.
Chan, L.K.C., Jegadeesh, N., Lakonishok, J., 1996. Momentum strate- gies. Journal of Finance 51, 1681–1713.
Chordia, T., Shivakumar, L., 2002. Momentum, business cycle, and time-varying expected returns. Journal of Finance 57, 985–1019.
Chui, A., Titman, S., Wei, K., 2010. Individualism and momentum around the world. Journal of Finance 65, 361–392.
Cooper, M.J., Jr. Roberto C., G., Hameed, A., 2004. Market states and momentum. Journal of Finance 59, 1345–1366.
Da, Z., Engelberg, J., Gao, P., 2011. In search of attention. Journal of Finance 66, 1461–1499.
Da, Z., Gurun, U.G., Warachka, M., 2014. Frog in the pan: Continuous information and momentum. Review of Financial Studies 27, 2171– 2218.
Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor psychology and security market under- and overreactions. Journal of Finance 53, 1839–1885.
David A., L., Joseph P., O., Charles A., T., 1999. Investor attention, index performance, and return predictability. Review of Financial Studies 12, 1113–1141.
Doukas, J.A., McKnight, P.J., 2005. European momentum strategies, information diffusion, and investor conservatism. European Financial Management 11, 313–338.
Drake, M.S., Roulstone, D.T., Thornock, J.R., 2012. Investor information demand: Evidence from google searches around earnings announcements. Journal of Accounting Research 50, 1001–1040.
Fama, E.F., 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25, 383–417.
Gino, F., Bazerman, M.H., 2009. When misconduct goes unnoticed: The acceptability of gradual erosion in others’ unethical behavior. Journal of Experimental Social Psychology 45, 708–719.
Hershleifer, D., Lim, S.S., Teoh, S.H., 2009. Driven to distraction: Extraneous events and underreaction to earnings news. Journal of Finance 64, 2289–2325.
Hong, H., Lim, T., Stein, J.C., 2000. Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. Journal of Finance 55, 265–295.
Hong, H., Stein, J.C., 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance 54, 2143–2184.
Hou, K., Peng, L., Xiong, W., 2009. A tale of two anomalies: The implications of investor attention for price and earnings momentum. Working paper.
Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48, 65–91.
Jegadeesh, N., Titman, S., 2001. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance 56, 699– 720.
Johnson, T.C., 2002. Rational momentum effects. Journal of Finance 57, 585–608.
Jostova, G., Nikolova, S., Philipov, A., Stahel, C.W., 2013. Momentum in corporate bond returns. Review of Financial Studies 26, 1649–1693.
Lustig, H., Roussanov, N., Verdelhan, A., 2011. Common risk factors in currency markets. Review of Financial Studies 24, 3731–3777.
Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A., 2012a. Carry trades and global foreign exchange volatility. Journal of Finance 67, 719–760.
Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A., 2012b. Currency momentum strategies. Journal of Financial Economics 106, 660–684.
Merton, R.C., 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510.
Newey, W.K., West, K.D., 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703–708.
Okunev, J., White, D., . Do momentum-based strategies still work in foreign currency markets? Journal of Financial and Quantitative Analysis 38, 425–477.
Raza, A., Marshall, B.R., Visaltanachoti, N., 2014. Is there momentum or reversal in weekly currency returns? Journal of International Money and Finance 45, 38–60.
Rouwenhorst, K.G., 1998. International momentum strategies. Journal of Finance 53, 267–284.
Vozlyublennaia, N., 2014. Investor attention, index performance, and return predictability. Journal of Banking and Finance 41, 17–35.

指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2017-11-22

推文