博碩士論文 974208022 詳細資訊




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:14 、訪客IP:34.229.126.29
姓名 錢怡合(Yi-ho Chien)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 外國機構投資人和外匯市場:以臺北外匯交易市場為例
(Foreign Institutional Investors and Foreign Exchange Market: Evidence from Taipei Foreign Exchange Market)
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
★ 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★ 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
★ 選擇權與股票市場的交易活動對於股市波動之預測能力★ 台灣股票市場面臨不同市場壓力之流動性共變
★ 賣空交易對價格效率性之實證研究★ 匯率曝險對企業價值之影響-以台灣及韓國上市公司為例
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]
  1. 本電子論文使用權限為同意立即開放。
  2. 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。
  3. 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) 根據外資買賣超淨額、新台幣兌美元匯率、外匯市場的交易量及中央銀行干預報導等資料,本論文應用向量自我迴歸 (Vector Autoregressions, VAR) 模型探討股票市場之外資買賣超淨額對於新台幣兌美元外匯市場之影響。本論文所估計的模型,除了檢測外資買賣超淨額、新台幣兌美元匯率、及外匯市場的交易量之間的動態關係,也探討當外國機構投資人資金大幅移動時,中央銀行干預在外匯市場所扮演的角色。以1996年7月4日至2009年12月31日為樣本期間,本論文的實證結果顯示,外資買賣超淨額對於新台幣兌美元匯率有顯著負向影響,亦即外資買賣超淨額會造成新台幣相對於美元有升值現象;而且外資買賣超淨額與匯率之間,有雙向因果關係;然而,新台幣/美元外匯市場的交易量與新台幣兌美元匯率,以及外資買賣超淨額與新台幣/美元外匯市場的交易量之間,皆有單向因果關係。最後,估計結果也指出,中央銀行的外匯干預,並未對於匯率波動有顯著的影響,因此本論文的實證結果並無法支持中央銀行的外匯干預會穩定新台幣兌美元匯率的假說。另外,我們也進一步延伸探討週休二日制度實施前後,外資買賣超淨額、新台幣兌美元匯率、及外匯市場的交易量是否有顯著差異,而實證結果指出新台幣兌美元匯率的變動在週二至週四與週一有顯著差異,而外匯市場的交易量在週二至週四及週六與週一有顯著差異;另一方面,外資買賣超在隔週休二日制度實施期間,其數值顯著地高於週休一日的制度下的值;新台幣兌美元匯率在週休二日時與週休一日時的數值則是有顯著較低差異。此外,本論文也探討中央銀行干預是否會集中在每一週的某幾天,而結果顯示,雖然在週一至週六外匯干預發生的可能性差不多,但如果嚴格比較的話,中央銀行干預大多集中於週四。
摘要(英) This thesis investigates the relation across NTD/USD exchange rate, trading volume in the Taipei foreign exchange market, and buy-sell imbalance of foreign institutional investors, by using a trivariate vector autoregressive (VAR) model. Moreover, I also study the role of central bank’s intervention in the foreign exchange market, when the government facing the foreign institutional investors’ investment flows. The data cover the period from July 4, 1996 to December 31, 2009. I find a negative relationship between foreign net equity inflow and exchange rate returns. The results also show the central bank intervention only significantly affects the trading volume in the NTD/USD foreign exchange market. Alternatively, I extend our model to analyze whether the central bank intervention is effective in reducing the volatility. The results suggest that the central bank intervention only significantly affects the trading volume of the foreign exchange market, but does not affect the NTD/USD volatility. I also study the concentration of central bank intervention operations, and the results show that the frequency of intervention occurrence across Mondays, Tuesdays, Wednesdays, Thursdays, Fridays, and Saturdays does not differ much. However, I find most of central bank interventions happened on Thursdays in the NTD/USD foreign exchange market.
關鍵字(中) ★ 外匯市場
★ 向量自我迴歸模型
★ 外資買賣超淨額
關鍵字(英) ★ VAR model
★ Foreign exchange market
★ Foreign net equity inflow
論文目次 摘要 i
Abstract ii
致謝辭 iii
Table of Contents iv
List of Tables vi
List of Figures vii
1. Introduction 1
2. Literature Review 4
2.1. The impact of currency values on foreign institutional investors’ trading 4
2.2. The relationship between trading volume, return, and volatility 6
2.3. Foreign exchange intervention 9
3. Data 11
3.1. Sample 11
3.2. Summary statistics of data 12
3.2.1. Unit root tests 12
3.2.2. Choice of lags in the VAR 13
4. Empirical Models 14
4.1. Vector autoregressive (VAR) model 14
4.2. Central bank intervention and exchange rate volatility 17
5. Empirical Results 18
5.1. VAR of foreign net inflow, NTD/USD trading volume, and NTD/USD exchange rate returns 18
5.2. VAR considering the day-of-week effect 19
5.2.1. Granger causality 19
5.2.2. Impulse responses 20
5.2.3. Variance decomposition 21
5.3. VAR model considering the change of Saturday trading scheme 21
5.4. NTD/USD volatility 21
5.5. The concentration of intervention events 22
6. Conclusions 23
References 25
參考文獻 Behera, H., Narasimhan, V., Murty, K. N., 2008, Relationship between Exchange Rate Volatility and Central Bank Intervention: An Empirical Analysis for India. South Asia Economic Journal, 9, 69-84.
Chiang, S. L., 2001. Do Foreign Investments Dominate the Stocks and Foreign Exchange — Evidence from Pacific Basin Countries. Unpublished doctoral dissertation, Fu Jen Catholic University.
Chen, P. C., 2003. The Study of Relationship among Taiwan Stock Market, Foreign Exchange Market and Foreign Investment. Unpublished doctoral dissertation, Chinese Culture University.
Chen, C. H., 2005. Exchange Rate Fluctuation and Foreign Portfolio Investment Using Markov-Switching Model. Unpublished doctoral dissertation, Fu Jen Catholic University.
Chaboud, A, Humpage, O. F., 2005. An Assessment of the Impact of Japanese Foreign Exchange Intervention: 1991–2004. International Finance Division Discussion Papers, 824, Board of Governors of the Federal Reserve System.
Chuang, C. C., Kuan, C. M., Lin, H. Y., 2009. Causality in Quantiles and Dynamic Stock Return-Volume Relations. Journal of Banking and Finance, 33, 1351-1360.
Dominguez, K. M. E., 2006. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? Journal of International Money and Finance, 25, 1051-1071.
Deo, M., Srinivasam, K., Devanadhen K., 2008. The Empirical Relationship between Stock Returns, Trading volume and Volatility: Evidence form Select Asia-Pacific Stock Market. European Journal of Economics, Finance and Administrative Sciences, 12, 58-68.
Fatum R, Hutchison M., 1999. Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market. Journal of Money, Credit, and Banking, 31, 54-69.
Froot, K. A., O’Connell, P. G. J., Seasholes, M. S., 2001. The Portfolio Flows of International Investors. Journal of Financial Economics, 59, 151-493.
Fatum, R., Hutchison, M., 2003. Is Sterilized Foreign Exchange Intervention Effective After All? An Event Study Approach. The Economic Journal, 113, 390-411.
Froot, K. A., Ramadorai, T., 2005.Currency Returns, Intrinsic value, and Institutional-investor Flows. Journal of Finance, 3, 1535-1566.
Fatum, R., 2008. Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data. Journal of international Money and Finance, 27, 438-454.
Galati, G., 2000. Trading volumes, Volatility and Spreads in Foreign Exchange Markets: Evidences from Emerging Market Countries. BIS working papers No. 93.
Gyntelberg, J., Loretan, M., Subhanij, T., Chan, E., 2009. Private Information, Stock Markets, and Exchange Rates. BIS working papers No. 271.
Hartmann, P., 1999. Trading Volumes and Transaction Costs in the Foreign Exchange Market: Evidence from Daily Dollar-Yen Spot Data. Journal of Banking and Finance, 23, 801-821.
Humpage, O. F., 1999. U.S. Intervention: Assessing the Probability of Success. Journal of Money Credit and Banking, 31, 731-747.
Humpage O. F., 2000. The United States as an Informed Foreign Exchange Speculator. Journal of International Financial Markets, Institutions, and Money, 10, 287-302.
Hau, H., Rey, H., 2006. Exchange Rates, Equity Prices, and Capital Flows. Review of Financial Studies, 19, 273-317.
Hua, M., Gau,Y. F., 2006. Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market. Pacific-Basin Finance Journal, 14, 193-208.
Hoshikawa, T., 2008a. The Causal Relationships between Foreign Exchange Intervention and Exchange Rate. Applied Financial Economics Letters, 15, 519-522.
Hoshikawa, T., 2008b. The Effect of Intervention Frequency on the Foreign Exchange Market: The Japanese Experience. Journal of International Money and Finance, 27, 547-559.
Ito, T., 2002. Is Foreign Exchange Intervention Effective? The Japanese Experiences in the 1990s. NBER Working Paper No. 8914.
Karpoff, J. M., 1987, The Relation between Price Changes and Trading Volume : A Survey, Journal of Financial and Quantitative Analysis, 22, 109-126.
Klein, M. W., 1992. The Accuracy of Reports of Foreign Exchange Intervention. NBER Working Paper No. 4165.
Klein, M. W., Rosengren, E., 1991. Foreign Exchange Intervention as a Signal of Monetary Policy. New England Economic Review, 39-50.
Kaminsky, G. L., Lewis, K. K., 1996. Does Foreign Exchange Intervention Signal Future Monetary Policy? Journal of Monetary Economics, 37, 285-312.
Lewis, K. K., 1995. Are Foreign Exchange Intervention and Monetary Policy Related and Does It Really Matter? Journal of Business, 68, 185-214.
Leahy, M. P., 1995. The Profitability of US Intervention in the Foreign Exchange Markets. Journal of International Money and Finance, 14, 823-844.
Lin, C. H., Shiu, C. Y., 2003. Foreign Ownership in the Taiwan Stock Market: An Empirical Analysis. Journal of Multinational Financial Management, 13, 19-41.
Medeiros, O. R. D., Doornik, B. F. N., 2006. The Empirical Relationship between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market. Brazilian Business Review, 5, 1-17.
Machnes, Y., 2006. The Trading Volume of Currency Options and the Spot Exchange Rate. Emerging Markets Finance and Trade, 42, 91-97.
Naranjo, A. Nimalendran, M., 2000. Government Intervention and Adverse Selection Costs in Foreign Exchange Markets. Review of Financial Studies, 13, 453-477.
Sweeney R. J., 2000. Does the Fed Beat the Foreign Exchange Market? Journal of Banking and Finance, 24, 665-694.
Siourounis, G., 2008. Capital Flows and Exchange Rates an Empirical Analysis. Working Paper 00028, University of Peloponnese, Department of Economics.
Vitale, P., 2007. An Assessment of Some Open Issues in the Analysis of Foreign Exchange Intervention. International Journal of Finance and Economics, 12, 155-170.
指導教授 高櫻芬(Yin-feng Gau) 審核日期 2010-6-23
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明