DSpace collection: 博碩士論文

Covid-19對全球主要指數及美股市場之影響及變化

Fri, 17 Oct 2025 04:06:09 GMT

title: Covid-19對全球主要指數及美股市場之影響及變化 abstract: 摘要不管是海金融海嘯或病毒風暴，都是對全球經濟壓力測試及應變能力的檢驗。投資專家及聯合國報告，將金融海嘯及 Covid-19 對經濟的傷害性做個比較，得出後者更甚於前者。商店歇業、勞工失業、長期低利、量化寬鬆，Covid-19 只是揭露了全球政府不願面對的瘡疤。就是如我所說，它是全球經濟的壓力檢測。面對傷害不同，雖 AI 科技與時俱進，但應變能力卻不曾增漲。低利造成的負債逐日增加，前債未清、後債積累。美國政府負債截至今年 3 月，已達到 36 兆美元，這也是低利、印鈔、發債造成的結果。根據研究顯示，Covid-19 對全球經濟的影響更甚於股市。期間對經濟直接傷害外，還有之後的隱傷、後遺症。相較之下，對股市的影響就如曇花般的短暫。美股市場為全球股市的主要指標，也是本論文主要追蹤及研究的區塊及標的。內文提供的美國三大指數及全球主要指數、美國七大科技股，還有論文後段提到的那期間運用的股票，皆以 2020年 3 月 16 日為觀察起端。在本研究後段的幾檔股票並非作為推薦，是期間內與客戶溝通交流運用的標的。在那期間效果不同，短期或中期，結果是比好的，但並非是獲利的保證證明。因為在後疫情及至今，有些股票續好，有些則已不受青睞，已走下坡甚至已剩個位數的股價。當初疫情發跡的股票，TSLA 及 NVDA，長期來看結果是好的。這幾檔在 Covid-19 期間追蹤及與客戶交流之個股，由研究分析中取得的數據顯示，並非所有股票都可以持續持有至 2 年，如 TAP，BYND，研究顯示其股價高檔週期為 1年左右，時間拉長就不宜繼續持有。這些股票是在那期間曾獲利了結過，除了 TSLA 及NVDA 適合長期持有外，TWLO、PENN、DKNG 歷經 2 年後的表現不俗，也適合長期收藏。唯要注意股票特性、股價週期、波動度及市場狀況，並考量自己投資屬性、依照自己格性偏好做判斷，做適合自己的操作及投資。中短線或長線操作先設定好，及時停損停利，保障收益，才能讓投資道路走得長久。本研究的主旨在於客戶在面對海嘯及風暴時，能以較平常心態面對，且不斷調整心態，不讓經濟低潮影響投資決策。投資心態及專業修練的養成，讓你在面對不同狀況時，能得到較好的收益及找到較好標的。希望大家都因此能得到財富幸福。但提醒您；本研究不鼓勵投機，投資有賺賠，切忌注意風險，不做超出自己能力的投資。 ;Abstract Whether it′s the financial crisis or the viral outbreak, both are stress tests and tests of the global economy′s resilience. Investment experts and UN reports comparing the economic damage of the financial crisis and Covid-19 have concluded that the latter is far more damaging than the former. With store closures, job losses, chronically low interest rates, and quantitative easing, Covid-19 has simply exposed wounds that governments around the world are reluctant to address. As I′ve said, it′s a stress test for the global economy. While AI technology has advanced, resilience has not. Low interest rates have led to a continuous increase in debt, leaving previous debt unpaid and future debt piling up. As of March of this year, the US government debt reached $36 trillion, a result of low interest rates, money printing, and bond issuance. Research shows that Covid-19′s impact on the global economy is even greater than that of the stock market. Beyond the direct economic damage, there are also hidden injuries and aftereffects. In comparison, the impact on the stock market has been fleeting. The US stock market is a key indicator of global stock markets and the sector and target of this paper′s research. The three major US and global indices, the seven major US tech stocks, and the stocks used during the period mentioned later in the paper all use March 16, 2020 as the starting point for observation. The stocks included in the latter part of this study are not recommendations; rather, they were used during discussions with clients. Results varied during that period, with some showing positive short-term and medium-term results, but they are not guarantees of profitability. This is because, post-pandemic and to date, some stocks have continued to perform well, while others have fallen out of favor, declining or even reaching single-digit share prices. Stocks that initially gained popularity during the pandemic, such as TSLA and NVDA, have shown positive long-term results. Data from research and analysis of the stocks tracked and discussed with clients during the Covid-19 pandemic indicates that not all stocks can be held for two years. For example, TAP and BYND have a high-end cycle of approximately one year, making them unsuitable for holding for extended periods. These stocks were previously profited during that period, and holding for extended periods is not recommended. In addition to TSLA and NVDA, which are suitable for long-termholding, TWLO, PENN, and DKNG have also shown strong performance over the past two years and are also suitable for long-term investment. However, it′simportant to pay attention to the stock′s characteristics, stock price cycles, volatility, and market conditions, and to consider your own investment profile and personality preferences to make decisions and invest accordingly. Establishing a short-term or long-term strategy, and implementing timely stop-loss and take-profit orders to protect returns are essential for longterm investment success. This research aims to help clients maintain a more balanced mindset when facing tsunamis and storms, constantly adjusting their mindset and not letting economic downturns affect their investment decisions. Cultivating an investment mindset and professional training will enable you to achieve better returns and identify superior investments in various situations.

美元兌新台幣匯率之預測模型: 以遠期匯率避險績效評估;A Forecasting Model for the USD/TWD Exchange Rate: Evaluating Hedging Effectiveness Based on Forward Rates

Fri, 17 Oct 2025 04:06:05 GMT

title: 美元兌新台幣匯率之預測模型: 以遠期匯率避險績效評估;A Forecasting Model for the USD/TWD Exchange Rate: Evaluating Hedging Effectiveness Based on Forward Rates abstract: 本文旨在探討美國與台灣的總體經濟變數對於美元兌新台幣匯率的預測能力，並利用遠期匯率避險策略之表現，來評估模型的預測績效。本文依據 Engel and Wu (2023) 所提出之匯率預測模型，以與匯率有關連的總體經濟變數建構預測模型，並進行樣本內與樣本外預測分析。在樣本內預測部分，採用單變量及多變量迴歸模型進行估計，結果顯示部分變數，如美國 CPI、台灣出口外匯收入金額與台灣銀行間隔夜拆款利率，皆對匯率變動具有顯著關聯性，且隨期間愈長，影響更顯著。樣本外預測則結合滾動迴歸 (rolling regression) 與Clark and West (2007) 所提出的Clark-West 檢定，評估各模型相較於歷史平均匯率的預測表現。結果顯示，當預測期間為3 個月及 6 個月時，部分經濟變數模型的遠匯避險績效優於遠期匯率報價，顯示遠期匯率可能未能完全反映所有市場資訊。另外，本文以出口商角度，利用預測匯率與實際遠期匯率報價比較，作為是否進行避險之依據。實證結果發現，在單變量模型預測下，3及6個月的預測結果優於完全不避險，顯示各總體經濟變數對於匯率趨勢的影響，隨著期間拉長，有其預測能力；而在多變量模型預測，卻與即期匯率總和幾乎相符，可能是因特定期間匯率波動劇烈而削弱預測能力。 ;This study aims to examine the predictive power of U.S. and Taiwan macroeconomic variables on the exchange rate of the U.S. dollar against the Taiwan dollar (USD/TWD). The research framework is based on the exchange rate forecasting model proposed by Engel and Wu (2023), incorporating historical exchange rate data to conduct both in-sample and out-of-sample forecast evaluations. For the in-sample analysis, univariate and multivariate regression models are estimated. The results indicate that certain variables—such as the U.S. Consumer Price Index (CPI), Taiwan’s export amount, and Taiwan’s interbank overnight rate—exhibit significantly significant correlation with exchange rate movements, with their effects becoming more pronounced over longer forecast horizons. This thesis applies the analysis of rolling regression combined with the Clark-West test proposed by Clark and West (2007) to evaluate a specific model’s out-of-sample forecast performance relative to the forecast based on the historical average. The empirical results show that over three- and six-month forecast horizons, some macroeconomic models outperform the forward exchange rate, suggesting that the forward rate may not fully incorporate all available market information. Additionally, from the perspective of export firms, we formulate a hedging strategy based on the comparison of forecasted exchange rates and forward rates in which a firm sells USD forward if the predicted exchange rate forecast is lower than the forward rate. On the other hand, the firm does not hedge with forward if the predicted value is higher than the forward rate. The empirical findings reveal that under univariate models, forecasts for three- and six-month periods outperform the non-hedged scenario, implying that macroeconomic variables possess meaningful forecasting ability as the time horizon extends. In contrast, forecasts based on multivariate models approximate the spot exchange rate, possibly due to high exchange rate volatility during certain periods, which weakens forecast accuracy.

波動指數對於新臺幣匯率的預測能力;The Predictive Power of Volatility Index for TWD Exchange Rates

Fri, 17 Oct 2025 04:05:56 GMT

title: 波動指數對於新臺幣匯率的預測能力;The Predictive Power of Volatility Index for TWD Exchange Rates abstract: 本論文旨在探討市場波動度對新台幣兌美元匯率之預測能力，並進一步評估將此預測資訊導入利差交易策略後的實務績效表現。研究採用2007年4月至2024年12月的月資料，資料包含台灣與美國之利率差、消費者物價指數（CPI）年增率差、實質匯率、新台幣兌美元即期匯率，以及市場波動度指標，包括台灣波動度指數（TVIX）、美國市場情緒指標（VIX）及全球外匯波動度指數（VXY）。在研究方法方面，本文首先以傳統經濟基本面為基礎模型，逐步加入市場風險指標，建立四個匯率預測模型（EF、MT1、MT2、MT3），並使用滾動視窗法進行樣本外預測分析，評估其在不同預測期（1個月、3個月、6個月）的精準度及方向預測正確率。進一步，將模型的預測結果應用於五種利差交易策略之模擬，包括傳統利差交易（CT）、基本面擴充策略（EF）與三種納入市場風險變數的擴充策略（MT1至MT3），並評估各策略在年化報酬率、波動度與風險調整後績效（Sharpe ratio）的表現。研究結果顯示，市場風險因子顯著提升了匯率預測模型的樣本內解釋能力與樣本外預測績效，尤其以納入全球外匯市場波動度指標（VXY）之模型表現最為突出。此外，在利差交易策略績效分析上，加入市場風險指標之MT系列策略在各預測期間的報酬率與Sharpe值皆優於傳統CT策略，驗證市場風險指標在實務策略中的重要性。本研究成果在學術與實務層面皆具重要貢獻，並提供未來新興市場貨幣相關研究與投資操作的重要參考依據。 ;This thesis investigates the predictive power of market volatility indicators—Taiwan Volatility Index (TVIX), U.S. Volatility Index (VIX), and Global FX Volatility Index (VXY)—on the TWD/USD exchange rate and evaluates their effectiveness when integrated into currency carry trade strategies. Monthly data spanning from April 2007 to December 2024, including interest rate differentials, CPI inflation differences, real exchange rates, and volatility indices, are utilized. Forecasting models based on economic fundamentals are extended by incorporating these market volatility indicators. A rolling-window method is applied to evaluate out-of-sample forecasting accuracy across different forecast horizons (1-month, 3-month, and 6-month periods). The forecasting results are further employed to simulate several carry trade strategies. The empirical findings indicate that models incorporating market volatility factors substantially enhance exchange rate prediction accuracy and strategy performance, with the VXY-based model delivering the strongest overall results. This research underscores the practical value of market volatility indicators for both exchange rate forecasting and currency investment strategies in emerging market contexts.

地緣政治風險對新臺幣利差交易策略報酬之影響分析-以美元、瑞士法郎與日圓為例;The Impact of Geopolitical Risk on Carry Trade Returns of the New Taiwan Dollar: Evidence from the US Dollar, Swiss Franc, and Japanese Yen

Fri, 17 Oct 2025 04:05:39 GMT

title: 地緣政治風險對新臺幣利差交易策略報酬之影響分析-以美元、瑞士法郎與日圓為例;The Impact of Geopolitical Risk on Carry Trade Returns of the New Taiwan Dollar: Evidence from the US Dollar, Swiss Franc, and Japanese Yen abstract: 本研究以美元（USD）、瑞士法郎（CHF）及日圓（JPY）兌新臺幣（NTD）三種主要貨幣為研究對象，探討地緣政治風險對於利差交易(carry trade)策略報酬之影響。過去文獻多以利率差作為利差交易策略的主要依據，然而考量到臺灣採行管理式浮動匯率制度，中央銀行之外匯干預行為及地緣政治風險等因素，亦可能對匯率走勢及套利報酬產生重要影響。本文使用2002年至2024年之月資料，並以多元線性迴歸模型進行實證分析，檢驗利差（interest rate differential）、匯率變動率、物價指數差距、實質匯率偏離、外匯干預代理變數與地緣政治風險指數（Geopolitical Risk Index, GPR）對利差交易報酬之影響程度。分析結果顯示，美元兌新臺幣利差交易報酬受地緣政治風險顯著負向影響，支持地緣政治風險提高市場不確定性並抑制套利報酬之假設。相較之下，瑞士法郎及日圓作為典型避險貨幣，GPR指數對其報酬影響並不顯著，可能因避險資金流動已內生反映地緣風險需求。 ;This study investigates the impact of geopolitical risk on the performance of carry trade strategies involving three exchange rates: USD/NTD, CHF/NTD, and JPY/NTD. While previous literature primarily focuses on interest rate differentials as the core factor driving carry trade returns, Taiwan’s managed floating exchange rate regime implies that foreign exchange interventions by the central bank and geopolitical uncertainties may also play significant roles in shaping exchange rate dynamics and arbitrage opportunities. Employing monthly data from 2002 to 2024, this thesis adopts a multiple linear regression framework to examine how interest rate differentials, exchange rate changes, producer price index gaps, real exchange rate deviations, foreign exchange intervention proxies, and the Geopolitical Risk Index (GPR) affect carry trade returns. The empirical findings indicate that geopolitical risk has a significant negative effect on USD/NTD carry trade returns, confirming the hypothesis that geopolitical tensions increase market uncertainty and suppress potential arbitrage profits. In contrast, no significant GPR effects are observed in CHF/NTD and JPY/NTD carry trades, possibly due to these currencies′ safe-haven status which inherently absorbs risk shocks.