系統識別號 | U0002-1401200720174300 |
---|---|
DOI | 10.6846/TKU.2007.00371 |
論文名稱(中文) | 拋補利率平價對股價報酬率的影響 --已開發國家及開發中國家之實證研究 |
論文名稱(英文) | The Impacts of Covered Interest rate Parity on the Returns of Stock Prices : Empirical Analysis from Developed and Developing Countries. |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士在職專班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 95 |
學期 | 1 |
出版年 | 96 |
研究生(中文) | 謝秀瑛 |
研究生(英文) | Hsiu-Ying Hsieh |
學號 | 793490029 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2007-01-06 |
論文頁數 | 57頁 |
口試委員 |
指導教授
-
邱建良
指導教授 - 陳玉瓏 委員 - 俞海琴 委員 - 李命志 委員 - 姜淑美 |
關鍵字(中) |
拋補利率平價 ARJI-Trend模型 恆常要素 短暫要素 |
關鍵字(英) |
Covered interest rate parity ARJI-Trend model Component model Permanent model Transitory component |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本文針對已開發國家及開發中國家之個別國家進行拋補利率平價理論之分析,並結合Engle and Lee(1993)將股票報酬率之條件變異數分解成恆常要素(permanent or long-run)與短暫要素(transitory or short-run)的模型及Chan and Maheu (2002)的ARJI模型所組合而成之ARJI-Trend模型,探討各國之拋補利率平價對股票市場的影響以及股票市場之日報酬率可能產生之隨時間改變的條件波動率(time-varying conditional volatility)、波動率的要素因子(the component factors of volatility)及跳躍(jumps)等現象,並分析已開發及開發中國家之差異。 實證結果發現,無論已開發國家或開發中國家,拋補利率平價理論皆可能因受到各國央行對其短期利率及匯率採行干預的政策因素影響而無法成立,其次由ARJI-Trend模型估計出來的結果顯示當兩國之間的利率出現差距,將誘使投資者進行利息套利,而使得股票市場報酬受到波動。 此外,各國股價指數報酬率的條件變異數、跳躍強度都是隨時間而變動的,並非固定不變。而隨時間變動的跳躍強度對於各國股價指數報酬率的解釋力都非常顯著,符合資產報酬率的行為。而條件變異數的恆常要素與短暫要素的確存在,已開發國家中的英國及開發中國家的台灣其恆常要素的衝擊效果明顯大於短暫要素,而其餘6個國家股價指數報酬率皆是短暫要素之衝擊效果大於恆常要素的衝擊效果。 |
英文摘要 |
In the past, there had been considerable interest in the investigations of whether the covered interest rate parity (CIP) holds or not. The CIP in the macroeconomic level is quite important because it implies that the interest rate, spot and forward exchange rates are related in a particular way. Indeed, their relations affect the capital flow in financial markets significantly. The purpose of this paper is to explore the relations between the permanent and transitory components of deviation from the CIP and stock returns. We apply the ARJI-Trend model which combines component model, proposed by Engle and Lee (1993), and ARJI model, proposed by Chan and Maheu (2002), to capture the daily data of the stock markets in many countries which are separated into developed and developing countries. The result shows that the CIP in our samples is failure to hold because the central banks of each country may try to intervene their short term interest rate and exchange rate levels. Moreover, we found not only the conditional variance and jump frequency are time varying but also the existence of both permanent and transitory components of the conditional variance in the whole sample period. In the meantime, the shock of the permanent component of conditional variance is larger than the temporary component in Taiwan and England stock market. |
第三語言摘要 | |
論文目次 |
第一章 緒論 第一節 研究背景與動機 1 第二節 研究目的 1 第三節 研究架構 2 第三節 研究流程 3 第二章 理論基礎與文獻回顧 第一節 拋補利率平價說(covered interest rate parity, CIP)理論基礎 4 第二節 拋補利率平價理論文獻 5 第三節 拋補利率平價理論對股價報酬率影響的相關文獻 15 第三章 研究方法 第一節 研究對象及研究期間 23 第二節 單根檢定 24 第三節 實證模型 27 第四章 實證結果分析 第一節 基本統計量分析 32 第二節 單根檢定 40 第三節 ARJI-Trend模型 43 第五章 結論 51 參考文獻 52 表目錄 表4.1.1 已開發國家基本統計量結果 34 表4.1.2 開發中國家基本統計量結果 35 表4.2.1 已開發國家股價指數報酬率之單根檢定(水準項) 41 表4.2.2 已開發國家股價指數報酬率之單根檢定(差分項) 41 表4.2.3 開發中國家股價指數報酬率之單根檢定(水準項) 42 表4.2.4 開發中國家股價指數報酬率之單根檢定(差分項) 42 表4.3.1 已開發國家ARJI-Trend模型參數估計結果 44 表4.3.2 開發中國家ARJI-Trend模型參數估計結果 46 圖目錄 圖1.4.1 研究流程圖 3 圖4.1.1 已開發國家取自然對數後的遠期匯率減去即期匯率後的走勢圖 36 圖4.1.2 開發中國家取自然對數後的遠期匯率減去即期匯率後的走勢圖 36 圖4.1.3 已開發國家本國與外國短期利差的走勢圖 37 圖4.1.4 開發中國家本國與外國短期利差的走勢圖 37 圖4.1.5 已開發國家股價報酬率走勢圖 38 圖4.1.6 開發中國家股價報酬率走勢圖 38 圖4.1.7 已開發國家偏離拋補利率平價之標準化殘差值 39 圖4.1.8 開發中國家偏離拋補利率平價之標準化殘差值 39 圖4.3.1 已開發國家條件變異數(conditional variance) 47 圖4.3.2 開發中國家條件變異數(conditional variance) 48 圖4.3.3 已開發國家條件變異數之跳躍頻率(jump frequency) 48 圖4.3.4 開發中國家條件變異數之跳躍頻率(jump frequency) 49 圖4.3.5 已開發國家股價指數的跳躍強度(jump intensity) 50 圖4.3.6 開發中國家股價指數的跳躍強度(jump intensity) 50 |
參考文獻 |
一、國內部分 王啓山(1999),利率、匯率與股價指數互動關係之研究--狀態空間模型之應用,國立中興大學企業管理學系碩士論文。 王穎笙(1998),台灣拋補利率平價理論之實證研究--誤差修正模型,淡江大學財務金融學系碩士論文。 李起銓(2005),歐盟地區利率平價之檢定-STOPBREAK模型的應用,朝陽科技大學財務金融學系碩士論文。 林于文(2003),股價、匯價、利率傳遞效果之分析─多變量VAR-EGARCH的應用,逢甲大學經濟學研究所碩士論文。 章志銘(2004),以門檻誤差修正模型分析台灣股價指數與匯率及利率之長短期互動關係,淡江大學財務金融學系碩士論文。 陳伯禎(2004),台灣地區股價指數、匯率及外資買賣行為之研究,中國文化大學國際貿易學系碩士論文。 陳炳森(2000),拋補利率平價理論之研究-台灣實證分析,國立中山大學經濟學研究所碩士論文。 陳政德(1994),利率平價理論之實證與研究,國立中興大學經濟學研究所碩士論文。 陳美蘭(1996),台灣外匯市場利率平價理論之實證研究,私立大葉大學事業經營研究所碩士論文。 陳倩如(2003),考慮交易成本下的『拋補利率平價說』實證研究—以日本為例,國立政治大學金融學系碩士論文。 陳悅治(2004),歐元利率平價說之實證研究,國立政治大學行政管理碩士學程碩士論文。 陳國興(2004),台灣遠期美元外匯市場平價條件及效率性探討—以30、90天期實證分析,國立中山大學經濟學研究所碩士論文。 曹清宗(2004),拋補利率平價說之實證研究-以台灣與美國為例,台灣大學國際企業學研究所碩士論文。 曾淑婷(2004),以向量自我迴歸模式探討股價及利率之關聯性,南華大學管理科學研究所碩士論文。 黃小娟(2004),台灣利率平價說之實證研究,國立政治大學行政管理碩士學程碩士論文。 馮振杰 (1998),臺灣股、匯市與利率及貨幣供給之互動關係, 國立中山大學經濟研究所碩士論文。 楊文匯(1993),我國遠期外匯市場利率平價之研究,國立中正大學財務金融研究所碩士論文。 溫靜瑜(1994),我國外匯市場利率平價與遠期匯率不偏性假說之檢定─VRT之應用,國立中正大學財務金融學系碩士論文。 賴宏忠和劉曦敏(1996),利率、匯率與股價之長期均衡關係—共整合分析法之應用, 證券金融季刊,第四十九期,23-42。 羅尹秀(2005),台灣拋補利率平價實證研究-門檻模型的應用,淡江大學經濟學系碩士班碩士論文。 蔡孟易(2005),利率平價說之再驗證:Wild Bootstrap 法的應用,大葉大學企業管理學系碩士班碩士論文。 蔡佾岑(2006),台灣地區外資、匯率與股價關聯性之研究-Wild bootstrap法之應用,大葉大學事業經營研究所碩士論文。 二、國外部分 Abeysekera, S. P. and H. J. Turtle (1995), “Long-Run Relations in Exchange Markets: A Test of Covered Interest Parity”, Journal of Financial Research, Vol. 18, No. 4, pp. 431-47. Ajayi, R. A. and M. Mougoue (1996), “On the Dynamic Relation between Stock Prices and Exchange Rates”, Journal of Financial Research, Vol. 2, pp. 193-207. Aliber, R. Z. (1973), “The Interest Rate Parity Theorem: A Reinterpretation”, Journal of Political Economy, Vol. 81, pp. 1451-59. Atkins, F. J. (1991), “Covered Interested Parity between Canada and the United States: another look using Modern Time Series Methods”, Empirical Economics, Vol. 16, pp. 325-34. Bahmani-Oskooee, M. and S. P. Das (1985), “Transaction Costs and the Interest Parity Theorem”, Journal of Political Economy, Vol. 93, pp. 793-99. Balke, N. S. and M. E. Wohar (1998), “Nonlinear Dynamics and Covered Interest Rate Parity”, Empirical Economics, Vol. 23, pp. 535-99. Chan, W. H. and J. M. Maheu (2002), “Conditional Jump Dynamics in Stock Market Return”, Journal of Business and Economic Statistics, Vol. 20, pp. 377-389. Chen, S. W. and C. H. Shen (2004), “GARCH, Jumps and Permanent and Transitory Components of Volatility: the case of the Taiwan Exchange Rate”, Mathematics and Computers in Simulation, Vol. 67, pp.201–216. Cliton, Kevin (1988), “Transactions Costs and Covered Interest Arbitrage: Theory and Evidence”, Journal of Political Economy, Vol. 96, pp. 358-370. Cosandier, P. A. and B. R. Lang (1981), “Interest Rate Parity Tests”, Journal of Banking and Finance, Vol. 5, pp. 187-200. Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of American Statistical Association, Vol. 74, pp. 427-431. Dickey, D. A. and W. A. Fuller (1981), “The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, Vol. 49, pp. 1057-1072. Domowitz, I. and C. S. Hakkio (1985), “Conditional Variance and the Risk Premium in the Foreign Exchange Market”, Journal of International Economics, Vol. 19, pp. 7-66. Dooley, M. P. and P. Isard (1980), “Capital Controls, Political Risk, and Deviations from Interest-rate Parity”, Journal of political Economy, Vol. 88, No. 2, pp. 370-84. Engle, R. F. and C. W. Granger (1987), “Co-integration and Error Correction: Representation and Testing”, Econometrica, Vol. 55, pp. 251-76. Engle, R. F. and B.S. Yoo (1987), “Forecasting and Testing in Co-integrated Systems”, Journal of Econometrics, Vol. 35, pp. 143-159. Engle, R. F. and G. J. Lee (1993), “A Permanent and Transitory Component Model of Stock Return Volatility”, Discussion paper 92-44R, University of California, San Diego. Engle, R. and A. Smith (1999), “Stochastic Permanent Breaks”, Review of Economics and Statistics, Vol. 81, No. 4, pp. 553-574. Felmingham, B. (2003), “Parity Conditions and the Efficiency of the Australian 90 and 180 Day Forward Markets”, University of Tasmania school of Economics Discussion Paper. Frenkel, J. A. (1992), “Measuring International Capital Mobility: A Review”, American Economic Review, Papers and Proceedings, Vol. 82, No. 2, pp. 325-38. Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, Vol. 12, pp. 111-120. Holmes, M. J. (2001), “Some New Evidence on Exchange Rates, Capital Controls and European Union Financial Integration.” International Review of Economics and Finance, Vol. 10, pp. 135-46. Johansen, S. (1988), “Statistical Analysis of Co-integration Vectors”, Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254. Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Co-integration – with Application to the Demand for Money”, Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210. Johansen, S. (1991), “Estimation and Hypotheses in Testing of Co-integration Vectors in Gaussian Vector Autoregressive Model”, Econometrica, Vol. 59, pp. 1551-1580. Kanas, A. (2000), “Volatility Spillovers between Stock Returns and Exchange Rate Changes: International Evidence”, Journal of Business Finance and Accounting, Vol. 27, pp. 447-467. Kanas, A. (2002), “Is Exchange Rate Volatility Influence by Stock Return Volatility? Evidence from the US, the UK and Japan”, Applied Economics Letters, Vol. 1, preview article. Kreicher, L. L. (1982), “Eurodollar Arbitrage”, FRBNY Quarterly Review, summer, pp.10-22. MacDonald, R. and M. P. Taylor (1976), “Interest Arbitrage in the Eurocurrency Markets”, European Economic Review, Vol. 7, pp. 1-13. Phillips, P. C. B. and P. Perron (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, Vol. 75, pp. 335-346. Said, S. E. and D. A. Dickey (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Economics Letters, Vol. 60, pp. 131-137. Saikkonen, P. and R. Luukkonen(1997), “Testing Co-integration in Infinite Order Vector Autoregressive Processes”, Journal of Econometrics, Vol.81, pp.93-126. Spiegel, M., 1990, “An Experimental Comparison of Dispute Rates In Alternative Arbitration Systems”, Papers 55, Princeton, Woodrow Wilson School - Discussion Paper. Taylor, M. P. (1987), “Covered Interest Parity: A High-Frequency, High-Quality Data”, Econometrica, Vol. 54, pp. 429-38. Taylor, M. P. (1987), “Risk Premia and foreign Exchange: A Multiple Time Series Approach to Testing Uncovered Interest-Rate Parity”, Review of World Economics, Vol. 123, pp. 579-90. Taylor, M. P. (1989), “Covered Interest Arbitrage and Market Turbulence”, the Economic Journal, Vol. 99, pp. 376-91. Tsay, R. S. (1998), “Testing and Modeling Multivariate Threshold Models”, Journal of the American Statistical Association, Vol. 93, pp. 1188-1202. Wongbangpo, P. and S. C. Sharma (2002), “Stock Market and Macro Economic Fundamental Dynamic Interactions: ASEAN-5 Countries”, Journal of Asian Economics, Vol. 13, No. 1, pp. 27-51. Wu, C. F. J. (1986), “Jackknife, Bootstrap, and Other Re-sampling Methods in Regression Analysis”, Annals of Statistics, Vol. 14, pp. 1261-1295. Zapatero, F. (1995), “Equilibrium Asset Prices and Exchange Rates”, Journal of Economic Dynamics and Control, Vol. 19, pp. 787. |
論文全文使用權限 |
如有問題,歡迎洽詢!
圖書館數位資訊組 (02)2621-5656 轉 2487 或 來信