外匯市場在歐債風暴期間之流動性共變與風險溢酬

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姓名

孫以青(Yi-ching Sun) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

外匯市場在歐債風暴期間之流動性共變與風險溢酬
(Liquidity commonality and risk premiums in the foreign exchange market during Eurozone crisis)

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摘要(中)

本文探討在歐債風暴期間，外匯市場中個別匯率的流動性與市場之流動性共變(liquidity commonality)的關聯程度。由於投資人僅能透過投資組合分散流動性風險，若市場存有流動性共變，也就是系統性的流動性風險時，投資人會要求流動性溢酬作為補償。本文首先分析在歐債風暴期間，流動性共變對個別匯率之影響程度，並且利用流動性風險因子來解釋利差交易報酬。研究結果發現外匯市場存有流動性共變現象，且流動性共變程度與該匯率之流動性有關。再者，本文實證結果流動性風險在利差交易中扮演重要的角色，投資者在操作利差交易時會要求流動性風險溢酬。

摘要(英)

This thesis studies liquidity commonality in the foreign exchange market during Eurozone crisis. Liquidity commonality can be regarded as systemic risk. Investors cannot avoid this risk with portfolio allocation. If investors need to bear more systemic risk, they would require more risk premium for compensation. This thesis not only investigates liquidity commonality but also analyzes the impact of liquidity risk on carry trades during Eurozone crisis. The empirical results shows that liquidity commonality varies from currencies. Moreover, I present evidence that liquidity risk factor plays an important role in carry trade return.

關鍵字(中)

★ 流動性共變
★ 利差交易
★ 歐債危機

關鍵字(英)

★ Liquidity commonality
★ Carry trade
★ Eurozone crisis

論文目次

目錄
摘要 i
英文摘要 ii
致謝 iii
目錄 iv
表目錄 v
圖目錄 v
第一章緒論 1
第一節研究動機 1
第二節研究目的 3
第二章文獻回顧與探討 4
第一節流動性共變相關文獻探討 4
第二節外匯市場流動性之相關文獻 5
第三節利差交易相關文獻 6
第三章研究方法與模型設定 8
第一節樣本敘述及資料處理 8
第二節變數定義 8
第三節模型設定 10
第四章實證結果分析 13
第一節敘述統計 13
第二節市場流動性共變 14
第三節流動性風險溢酬 15
第五章結論 17
參考文獻 18

參考文獻

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2014-7-3

推文