一、研究動機：我國向為外匯管制國，因此自去年（六十七年）七月改採機動匯率， 八月開辦遠期外匯買賣以來，不論銀行、或進出口商莫不深受震撼，本人有鑑於此， 乃興起研究貿易、浮動匯率與遠期外匯市場三者關係之念頭。 二、研究方法：本文係利用以貿易商對對象之Peter B. Kenen的模型為基礎，將其假 設由固定匯率改為浮動匯率，並作其他部份修正與推廣。 三、本文結構：共分四章，約四萬五千字左右。 第一章 緒論，說明研究動機、目的與方法，並簡介本文基礎模型─Kenen 模型的特 性與重要結論。 第二章 模型的建立與個別廠商行為，主要探討在修正後的模型中，廠商追求最大效 用之行為，及其與Kenen 或其他學者結論的比較。 第三章 投機風潮與政府期貨干預，主要探討當一國面對貨幣看跌的投機風潮時，政 府應否進行期貨干預的條件，並就其結論對Kenen 或其他學者期貨干預理論加以評述 。 第四章 台灣遠期外匯的理論與實際，乃就第二章模型再作進一步修正，以配合台灣 實際情況，並利用台灣資料加以驗證，最後對廠商、銀行、中央銀行作某些建議。

一般研究外匯波動均以現貨的波動為主，但理論上衍生性金融商品由於成本低、市場限制較少，並且隱含波動度為「事前」波動度，隱含「預期」的意涵，因此衍生性金融商品的波動應該比現貨更能反映市場的資訊，市場資訊透過市場參與者的投資策略反映在市場，將會造成市場上的波動，且影響是不對稱和具有反轉現象的，所謂的「反轉」是指當價格變動幅度很大時，負向的價格變動比正向對波動度的影響要大，但當價格變動很小時，影響方向便會出現反轉 (reversal)，即小幅度的正向價格變動比負向價格變動對波動度的影響要大。 本研究以英磅、歐元、日圓及瑞士法郎四種外匯選擇權作為研究標的，探討外匯波動是否具有不對稱效果以及不對稱效果是否因價格變動幅度而有反轉現象，並且發展類似double-threshold GARCH模型的VS-VOLUME-GARCH模型，在控制交易量變數後，檢視不對稱及反轉的現象是否有所改變。實證結果發現市場訊息對英磅、歐元、日圓與瑞士法郎波動具有不對稱效果與反轉，但是方向與影響程度剛好與一般股市波動相反，即小幅度正向價格變動對波動度的影響較負向小，大幅度的正向價格變動對波動度的影響較負向大，其次，交易量的確可以用來解釋波動度不對稱及反轉但是僅能解釋部份原因，並且由實證結果可知交易量的確可以減輕波動度不對稱及反轉的程度，另外，實證結果也指出交易量只是造成不對稱及反轉效果的一個原因，除了交易量之外應該還存在其它重要因素。

企業在國際化的擴展下，往往要面對許多不同國家內的客戶群，配以當地的各國的貨幣與銀行帳戶，當然企業受到外匯風險的衝擊也因此提高；當匯率一有波動時，對於企業的獲利、淨現金流量及市價對將有所影響。因此為了更有效率去管理企業的財務運作，規避外匯風險就成為國際化企業的財務單位，所需積極面對的重要事項，特別在企業風險和國際化成正相關時。 本研究試著將風險值VaR概念，從一般金融機構風險值的研究擴大應用於公司外幣資產組合，以之分析其對公司價值的影響程度，並為個案公司尋找合適的避險策略或是較佳的資金配置，以期能降低個案公司其風險值VaR對公司的衝擊。 研究可知，當採取適當的資金配置比例時，對於國際化企業而言，是能有效降低外匯風險的資金配置。 / Enterprises in the international expansion, they have to face many different customer base within the country, countries with local currency and bank accounts. Of course, the impacts of foreign exchange risk also increase. When the exchange rate has some fluctuations in local, enterprises will have an impact on profit, net cash flow and market value. Therefore in order to more efficiently to manage the financial operation. So finance department of international business must require facing the important issues that evasion of foreign exchange risk. Particularly in the enterprise risk and the internationalization is relevant. As well as Enterprises look for hedge strategy or a better allocation of funds. This study will try to use the concept of Value-at-Risk, “VaR”. Let the VaR of financial institutions from the general study of broadening the application of the value of foreign currency assets of portfolio companies. Then try to analysis their implications for the impact of the value of the company. And hope to reduce the VaR of Enterprises its impact on the company. Research shows that when appropriate proportion of the funds allocation for the internationalization of enterprises, it can effectively reduce foreign exchange risk.

Quanto EIA是一種具有選擇權特性且能連結至外幣投資的保險年金商品.以往針對權益連動年金所做的文獻中,均未考慮Quanto的特性.本文利用風險中立評價法求算出六種具有Quanto特性的鎖高型權益連動年金商品的評價公式,並進一步利用數值分析來探討各個契約及市場參數對契約價值的影響. / Quanto Ratchet EIAs link to foreign investments and provide options-like properties. The literature covers the pricing of the EIAs that are not quantos. This paper intends to fill the hole. To derive the pricing formulas, we added an exchange rate model as well as a foreign risk-free rate model to the pricing framework of Black and Scholes. Our formulas cover quanto ratchet EIA products for both compound and simple versions that may have a return cap and employ two types of geometric return averaging. We further provide numerical analyses on how contract features and market parameters affect the contract value.

在全球股市呈現不穩的情勢下，雙元外匯存款產品成為財富管理業務所發展的熱門產品。雙元外匯存款產品結構包括外匯選擇權與定期外幣存款。然外匯選擇權的操作過程所隱含的風險必須加以探討，因此本研究以美國那斯達克股市報酬率與美國國庫券與十年期公債利差等資訊，試著藉由集群分析，探討美元兌澳幣(USD/AUD)、美元兌英鎊(USD/GBP)、歐元兌澳幣(EUR/AUD)等元存款產品之報酬率與風險。 本研究實證結果為: 一、不同市場狀態的操作策略不同 從各集群的涵義來看，當市場狀態屬於集群1時，此時Nasdaq指數日報酬率處於高檔但已有長期成長疑慮下，則「短期看多澳幣，看空美元」為一正確的外匯策略判斷基礎。當市場處於集群2的經濟成長性與股市報酬率處於較樂觀的狀態下，「短期看多英鎊，看空美元」與「短期看空美元，看多澳幣」是較適合的判斷。當市場處於集群3的股市低檔與債券市場反映經濟成長訊息的狀態下，則「看多澳幣，看空歐元」與「短期看空澳幣，看多美元」等為較佳的策略思維。 二、雙元存款產品的現金流量補償機制必須依據不同市場狀態 本研究發現雙元外匯存款產品在不同匯率與不同集群下，會有不同的Mean/StDev值，代表投資者與財富管理業者必須面對外匯市場進行利益的分配問題。目前雙元外匯存款產品都有設定不同匯率下的保本機制，故對於財富管理業者而言，雙元外匯存款產品屬於資金短期配置的選項之一，因此，針對不同的總體經濟或市場環境，業者必須快速調整，創造投資者與業者雙贏的局面。 / With the global stock markets unstable, foreign-exchange-option-linked dual currency structure notes have become the popular products for wealth management. Foreign-exchange-option-linked dual currency structure notes have been involved with foreign exchange option and currency deposit. Nonetheless, the risks inherent in the currency option should be discussed . Therefore, this study uses cluster analysis to explore the information in Nasdaq index returns and interest spreads , to discover the returns and risks in foreign exchange rates in term of “USD/AUD”, “USD/GBP”, and “EUR/AUD”. After the analysis in this study, the conclusions of this study could be summarized as following: Firstly , the proposals and strategies for the dual currency structure notes should be based on the statuses of markets. With market status showing higher stock returns but concerns for future economic growth, the appropriate strategies should be built up on the concept of “short USD, long AUD in near term”. When market status showing positive stock returns and positive future economic growth, the appropriate strategies should be built up on the concept of “short USD, long AUD in near term” or “short USD, long GBP in near term”. With market status reflecting lower stock returns but positive perspectives for future economic growth, the appropriate strategies should be built up on the concept of “short EURO, long AUD in near term”, or “short AUD, long USD in near term”. Based on the Mean/StDev , this study suggests the wealth managers should design different portfolios under different scenarios in foreign exchange rates, to generate best payoffs between the investors and wealth managers.

由於技術分析之有效性一直為學者們所探討且備具爭議的議題，有部分學者認為技術分析無效，但實務上，技術分析在金融市場上的應用卻相當廣泛；此外，由於外匯市場為交易量龐大且眾多學者研究之重要金融市場，故本文回顧過去多項國內、外研究，並經由實地探訪台灣外匯市場上之投資人，針對仍未被研究，但實務上所採用之技術指標進行多項交易策略之模擬並探討其獲利性。 本文主要針對新臺幣兌換美元之匯市，探究將商品通道指標(Commodity Channel Indexes)及威廉指標(Williams Overbought/ Oversold Index)兩種技術分析指標應用於此外匯市場上之獲利情形，採用1993年1月1日至2012年12月28日，共計二十年，5279筆銀行間交易之新台幣兌美元之匯率日間資料，擷取其最高價、最低價及收盤價並透過程式交易進行回溯測試，並針對此兩種技術指標建構多種交易策略，歸納並分析其中可獲得超額報酬之技術策略，期能找出獲得最佳投資報酬以及提高交易的成功機率與獲利能力之法則。 藉由Matlab運算處理後，將此兩種技術指標應用於過去20年之歷史價格進行回溯測試，本實證研究發現：1. 採用威廉指標之策略普遍績效都較採用商品通道指標來的好，不僅在總報酬率的表現上比較好，採用威廉指標所執行的交易獲利的機率也必較高。2. 由於此兩技術指標應用在新台幣兌美元之外匯市場上可得的績效高於買賣策略應用於此市場之平均年化報酬率，故證實此兩種技術指標應用在新台幣兌美元的外匯市場上，均可獲得超額報酬，此兩技術指標在新台幣兌美元市場是有效的、可獲利的。 / It has long been a controversial question to scholars whether or not technical analysis is efficient. Although some scholars believe technical analysis is useless, it has been broadly used in the financial markets for a long time. As foreign exchange markets are one of the most important financial markets with huge trading volume in the world, this paper reviews many past literature and extracts trading strategies from some real investors in Taiwan’s foreign exchange markets. Additionally, this paper focuses on testing the trading performance of applying the technical indexes which have not been researched in the academic field but have often been utilized in the real exchange markets. This thesis mainly concentrates on the exchange market of New Taiwan Dollar against US dollar and examines the trading performance of utilizing two technical indexes which have been used but not been researched in foreign exchange markets : Commodity Channel Index (CCI) and Williams Overbought/Oversold Index (WMS). The dataset of this paper is from January 1st, 1993 to December 28th, 2012, an overall of 20 years and 5279 times of daily NTD/USD exchange rates between banks. To complete the back-testing, this research utilizes the highest, lowest and close price from those materials and analyzes the technical strategies which obtain excess profits. By generalizing the results of those trading strategies, investors can find the best trading rules and increase the returns from applying these two technical indexes to foreign exchange market. The results of this research are as follows: 1. WMS’s performances are chiefly superior to the CCI’s performances. Not only the total profit rates of technical strategies from WMS are higher than the total profit rates of trading rules from CCI, but also the rates of profits on WMS always demonstrate a better result than the rates of profits on CCI. 2. Both of these two technical indicators can produce excess profits. Compared to the average annual return of buy-and-hold strategy in this market, both of the two technical indexes conduct a better performance. As a result, these two technical indexes are effective in NTD/USD market.

本文主要研究外匯市場在1983年11月到2014年10月期間是否存在動能效果(momentum effect)，並再更深入探討可能造成動能效果的原因。本文以美國投資者的角度，使用62個國家的貨幣，發現在使用較短期的遠期外匯及回顧較近期的歷史報酬作為判斷是否交易的依據，這樣的動能策略可以招致較高且較穩定成長的累積報酬；但是若使用較長天期遠期外匯及以較遠期的歷史報酬判斷，動能策略可能較不顯著，並且累積報酬也較不穩定，甚至在外幣國家發生突發性貨幣危機時，在外匯市場通常會發生反轉效果(reversal effect)。另外也驗證出動能策略的超額報酬很大部分是受到交易成本和即期匯率波動的影響。我們發現國家風險和動能效果平均而言呈現正向關係，流動性風險相較於國家風險對於動能效果的影響性較低。 / We investigate whether momentum effect exist or not in the foreign exchange market. We find, based on a sample of 62 market currencies and view U.S Dollar as based currency, the evidence of higher and more stable momentum excess returns as we apply the short formation and holding period in our momentum strategy portfolios. However, when we apply long formation and holding period in our momentum strategy portfolios, we find less momentum effect and unstable cumulative excess returns, and even in the crisis, we find reversal rather than momentum. Additionally, we provide the evidence that transaction cost and spot rate change is the dominant influence on momentum effect. The relationship between country risk and momentum effect is positive significance and liquidity risk provide less evidence on momentum effect.

在本篇文章中我們希望能建構一個以NDF貨幣為主的利差交易最適交易策略，並將以往使UIP無法成立的各種因素利用羅吉斯迴歸模型及線性迴歸模型融合成一個平倉指標，用以適時地結清部位甚至反向操作，並審視各種變數進入平倉指標對於報酬的預測能力，以期此交易策略能夠達到更高的報酬表現。 而實證結果顯示反映資本控制程度的受拋補利差(Covered Interest Differential)與市場流動性風險指標之一的泰德價差(TED Spread)能有效捕捉重大虧損的發生，投資組合利差(Carry)對於報酬也有顯著影響但程度不如受拋補利差。此外也發現使用多頭策略(Long-Netural)相對於多空策略(Long-Short)能到更高的夏普值，而利用所選變數在每周針對逐一貨幣篩選也會比單純判斷每周是否進行利差交易得到更好的夏普值。

本研究旨在分析台灣上市公司外匯避險和資本結構策略的運用。本文利用資本市場法，作為外匯曝險衡量模型，並利用預期和非預期的匯率變動探討對企業價值的影響是否有顯著差異，本文以2007~2009年期間的月頻率資料，篩選摩根台灣指數基金(MSCI Taiwan Index Fund-March 09, 2010)成分股共108家台灣上市公司為樣本對象，並進一步利用所量化出的外匯曝險，應用至公司資本結構上，採平衡追蹤資料(balanced panel data)進行分析，探討外匯曝險與其他影響因子對公司資本結構的關係。 　　而研究結果發現，在外匯曝險衡量方面，在2007~2009年間，不論是預期或非預期外匯變動下，負值的外匯曝險係數家數明顯超越正值的外匯曝險係數家數，此研究結果也符合了台灣為一個出口導向的經濟體，當台幣相對貶值時，使得出口較具競爭力，企業的營收增加。此外，從顯著的企業樣本來看，金融證券業占大多數，顯示出匯率變動對金融證券業的影響尤其嚴重。 　　在資本結構上，本研究以營運風險、公司成立年數、抵押資產價值、自由現金流量、外匯風險、成長率、稅盾效果、獲利性和公司規模共九個因子作為影響資本結構的變數，在Panel data固定效果模型中，除了成長性和公司規模兩變數在1%顯著水準之下呈現正相關，其餘變數為顯著負相關。且該模型對公司資本結構的解釋能力相當高，Panel data固定效果模型調整後的R2為78.96%。 　　最後，本研究將產業別列入考量變數之一，結果發現，電子業與非電子業在資本結構決定因素上有顯著差異，且顯示電子業公司的負債比率較低，符合現實情況下，電子業公司在有資金需求時，大多不選擇舉債而較常採取權益融資的方式。而電子業受到外匯曝險對資本結構的影響力並不顯著，表示外匯曝險對公司負債比率並不會因為產業別而有不同的影響力。 / This study examines the foreign exchange rate exposure and capital structure strategy for the Taiwan’s Corporations. The research sample is MSCI Taiwan Index Fund, and the sample period is 2007 to 2009. To see how foreign exchange rate exposure affects the value of corporations, this study uses Capital Market Approach to be the model. Moreover, this study uses balanced panel data to see how exchange rate exposure and other variables affect the strategy of capital structure. 　　According to the result, the numbers of negative significant samples are greater than the numbers of positive significant samples no matter when measured in expected exchange rate exposure or in unexpected exchange rate exposure. This result can exactly explain that Taiwan is an export-dominated economy. When Taiwan dollar depreciates, which means corporations in Taiwan could improve export competitiveness, thus increasing profits. Moreover, this study found that exchange rate exposure has a greater impact especially on the finance and security industry. 　　In the capital structure part, this study selects nine variables to see how they affect the capital structure, including business risk, age, collateral value of assets, free cash flows, foreign exchange risks , growth, non-debt tax shields, profitability and size. In panel data fixed effect model, growth and size are found to be positive significant in 99% confidence level; other variables are found to be negative significant. Furthermore, the coefficient of determination, R2 of this panel data fix effect regression model is 78.96%, which means the regression line has a high explanatory power to explain the capital structure.

基於凱因斯選美競賽概念我們知道，如果要掌握金融市場的整個運作過程，除了要了解市場參與者所持有的信念外，更要進一步去了解市場參與者對其他市場參與者的信念的可能看法，也就是所謂的高階信念。因此，本篇研究的主要目的是嘗試描述高階預期概念在資產定價模型中所扮演的角色，同時也可以檢驗凱因斯的選美競賽理論是否可以幫助我們了解資產價格的形成過程。第二個目的是利用資產定價模型進一步去檢視市場交易者是否對公開訊息有過度反應的現象。 透過建立噪音的理性預期模型來推導外匯價格的預期形成過程發現，外匯價格所傳遞的訊息為偏誤的訊息，亦即在供給衝擊下的平均外匯價格並不會完全反映外匯真實價值，其反映的是外匯資產真實價值及公開訊息的線性組合。此外，經過進一步研究後發現，外匯價格的預期受公開訊息的影響程度遠大於真實訊息，亦即市場上的外匯價格預期對公開訊息有過度反應的現象。 另外，模型的研究結果指出，造成市場參與者對於公開訊息產生過度反應的原因有：投機者的人數比例、投機者的風險愛好程度以及私有訊息的精確度等三項。 / Based on Keynes’s beauty contest theory, if you want to know the operation of financial market, you should understand market participants' beliefs and market participants' beliefs about other market participants’ beliefs, which is called the higher order beliefs. The goal of the paper is to illuminate the role of higher order expectations in the asset pricing model, and thereby to explore the extent to which Keynes’s beauty contest theory is useful in thinking about asset prices. The second goal of this paper is to use the asset pricing model to examine whether market participants overreact to public information. By setting up the noisy rational expectations model, we know that exchange rate is biased signal of the underlying fundamental value. Mean exchange rate taken over realization of the supply shocks are given by convex combination of the true value and public information. Moreover, the distribution of exchange rates is biased towards public information relative to the true value. That is, there is an overreaction to public information. Finally, the model indicates that there are three factors to explain why market participants overreact to public information. These factors are the proportion of speculators, the risk aversion of speculators and the precision of private information.