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標題: The First and Second Moment Foreign Exchange Rate Exposure of Main Foreign Currencies for Taiwan Stock Returns
作者: 劉家婷
Liu, Chia-Ting
關鍵字: Dynamic Single Factor Model
The First Moment Exchange Rate Exposure
The Second Moment Exchange Rate Exposure
ARCH model
出版社: 企業管理學系所
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摘要: The impact of exchange rate risk on stock returns has received considerable attention in the academic literature. Previous researches which examined exchange rate changes have concentrated solely on the first moment, ignoring the second moments, whereas this thesis paper mainly hopes to combine the first and second moment exchange rate exposure that analyze the effect of the ecchange rate changes of main currencies on Taiwan stock returns. This research uses Dynamic Single Factor Model to build a coincident index returns, through the cumulative dynamic multipliers, the important currencies are USD and HKD. Furthermore, this research uses two-step ARCH model to estimate the first and second moment foreign exchange rate exposure of main foreign currencies for Taiwan stock returns. In the first step, this thesis paper mainly evaluates ARCH model of the main currencies exchange rate returns, through the estimated error of mean and variance equation, unexpected changes in the exchange rates(St)and associated conditional variances(Hst)are estimated. In the second step, the estimated values for St and Hst are integrated with Taiwan stock returns in ARCH model, through estimated regressive coefficients of mean equation of St and Hst, the first and the second moment exchange rate exposure for Taiwan stock returns are acquired. In 12.50% of this study which detect significant first moment exposure when contemporaneous USD and HKD are used. When the model utilizes one-day lags, 87.5% of this study are significant and 64.29% are asymmetric. Regard second moment exposure, in this study which detect no significant exposure when USD and HKD are used. In the model of one day lags, 43.75% of this study are significant.
匯率波動對於股票市場的衝擊已經吸引相當多學者高度的注意。由於先前的學者研究較為著重在於一階動差匯率變動的衡量,忽略二階動差匯率變動的影響,所以本篇研究動機主要是希望結合一階與二階動差之匯率暴露來探討台灣主要外幣之匯率波動對於股價報酬率波動的影響。本研究利用動態單一因素模型(Dynamic Single Factor Model, DSFM)之方法探索代表台灣匯市同時性指標的動態單一因素指數報酬率,經由此模型之累積動態乘數找出代表台灣資產市場之兩種外幣為美元與港幣,並且使用二階段的ARCH模型。第一階段先求主要外幣匯率報酬率的ARCH 模型,由平均數迴歸式的估計殘差得到非預期匯率報酬率及由變異數迴歸式得到隨時間變化匯率報酬率隱含波動度;第二階段則將非預期匯率報酬率與隨時間變化匯率報酬率的隱含波動度納入台灣八大類股股價報酬率的ARCH 模型平均數迴歸式,其中非預期匯率報酬率之估計迴歸係數得到一階動差匯率暴露,隨時間變化的匯率報酬率隱含波動度之估計迴歸係數得到二階動差匯率暴露。研究結果顯示,台灣八大類股股價報酬率當中,有12.50%呈現顯著美元及港幣同步匯率的一階動差匯率暴露,有87.50%呈現顯著美元及港幣落後匯率的一階動差匯率暴露;均無呈現顯著美元及港幣同步匯率的二階動差匯率暴露及有43.75%呈現顯著美元及港幣落後匯率的二階動差匯率暴露。
其他識別: U0005-0107200713452100
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