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由金融帳之角度探討亞洲通貨危機 / From Financial Account to Asian Currency Crisis郭怡婷, Kuo, Yi-Ting Unknown Date (has links)
90年代末東亞金融危機造成多國貨幣大幅貶值,銀行紛紛倒閉。基本上金融危機可分為通貨危機(Currency Crisis)與銀行危機(Banking Crisis);通貨危機是指當年中任一季名目匯率貶值超過25%,且貶值幅度比前一季超過10個百分點。諸多實證文獻顯示,高估一國匯率為其通貨崩潰之先驅;又由於近年來新興國家快速開放資本市場,以致於成為危機之導火線。為分析此一現象,本文首先編製金融帳權數之新台幣實質有效匯率指數,並將東亞之台灣、印尼、韓國、菲律賓、泰國等五國之匯率、相對物價(各國與美國物價)、金融帳餘額等變數做共整合關係檢定,觀察三個變數的長期均衡關係,再將誤差項加入模型中,建構向量誤差模型。實證結果發現,金融帳與相對物價對匯率有顯著之影響力。 / The 1997 East Asian Crises had made exchange rate depreciations and bank bankruptcies. Broadly speaking, it can be divided into currency crisis and banking crisis. Nominal exchange rate of any season in a year, which is depreciated over 25% and 10% than last season, is called a currency crisis. Lots of papers demonstrate that overvaluation is a precursor of a currency crash. Furthermore, developing countries have opened capital markets so rapidly that it became the tinderbox of crises. To analyze the phenomenon, this thesis first compile Taiwan’s financial weighted real effective exchange rate index, then examine exchange rates, relative prices (compare to American consumer price index), and net financial account of Taiwan, Indonesia, Korea, Philippine, and Thailand with cointegrated test to identify the long run equilibrium relationships between variables; then adding error terms into models to estimates vector error correction model (VECM). The empirical results show that financial account and relative price influence exchange rate significantly.
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選擇權波動度交易策略之探討-以台指選擇權為例 / A study of volatility trading strategies: evidence from Taiwan index options賴星旅, Lai, Hsing Lu Unknown Date (has links)
本文考量波動度不對稱效果(Volatility Asymmetric Effect)與均數回歸(Mean Reverting)兩個特性,並考量台股市場特性,嘗試建立一個適合台灣市場的波動度交易策略。利用GARCH(1,1)波動度與VIX指標建構第一個交易訊號,並建立當日沖銷部位。以賺取日內行情為出發點,利用時間序列模型捕捉波動度的高估或低估且搭配純跨式(Pure Straddle)策略或根據Delta調整後的跨式(Adjusted Straddle)策略。第二個交易訊號則是利用市場敏感指標,觀察外資與自營商在交易部位與未平倉部位的變化,找出對於波動度的影響。建立由選擇權與期貨組成的Delta-Hedged部位,藉由觀察市場上主力籌碼的變化,動態調整部位契約,尋找波段之間的獲利機會。
實証部分以期交所公布的每日交易資料與VIX日資料,利用2007至2008兩年的歷史資料,估計參數與測試交易訊號。樣本外期間為2009年1月開始至3月結束共55個交易日。考量交易成本後,兩個不同型態的交易訊號,仍然能夠藉由本研究的策略,獲得正的報酬。本文認為台灣為一個淺碟市場,過度反應資訊的特性,讓波動度策略出現獲利的機會。藉由這個波動度交易系統的研究,除了讓資金豐沛的機構投資人使用外,也能夠讓一般投資大眾建立自己的波動度交易策略
關鍵字:波動度交易,選擇權交易策略,GARCH(1,1),VIX,市場情緒指標 / Trying to apply a preliminary study of volatility trading strategies in Taiwan derivative market is the topic of this dissertation. Capturing the market movement or even the dynamic of underlying asset is a Pandora’s Box for academic researchers and industry participants. Mean-reverting and asymmetrical effects are the two special characteristics of volatility for us to design our trading system according to the previous empirical studies.
In our study, we use different type of volatility signal to capture the trading opportunities. Use the new released information form TAIFEX including VIX and Position Structure of Institutional Traders to design our signal. We apply the idea to use pure option position and delta-hedged position as our trading tools in this volatility trading system and look for the opportunities between realized volatility and implied volatility. An over-reaction may rises the uncertainty and also lead the market volatility change coherently. We use history data from 2007 to 2008 test our trading signal and parameters. The out sample period is from 2009 January to 2009 March which has 55 trading days to simulate our strategies. In the end, we see a positive result in both trading signals which earns positive return after considering the trading cost.
Key words: Volatility Trading, Market Sentiment Indices, Option Strategies, VIX, GARCH(1,1)
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探討外匯市場匯率波動不對稱性─以美元及日圓兌台幣為例廖怡婷 Unknown Date (has links)
近年來,金融資產報酬波動的推估一直是重要的研究課題。然而,過去的波動不對稱研究均集中在股票市場,探討外匯市場波動不對稱性的實證研究並不多,但若忽略其不對稱效果將影響未來波動預測的正確性。因此,本研究利用近十六年來美元及日圓兌台幣匯率日資料,以傳統的波動不對稱性指數型GARCH模型(EGARCH Model)、門檻型GARCH模型(TGARCH, GJR GARCH Model),亦延用異質自我相關迴歸模型(HAR-RV Model)及修正型異質自我相關迴歸模型(Modified HAR-RV Model)分別探討美元及日圓兌台幣匯率波動是否存在不對稱現象及其不對稱程度,並加以分析。實證研究中,上述四種模型均顯示美元及日圓兌台幣匯率波動的確具有不對稱效果;美元兌台幣匯率波動,與股票市場一致,報酬率與波動度間呈負向關係,當台幣相對美元升值時,波動度較高;而日圓兌台幣匯率波動,與美元匯率變動方向相反,報酬率與波動度間呈正向關係,當台幣相對日圓貶值時,波動度較高。此外,以異質自我相關迴歸模型實證分析中,日波動落後項的影響力明顯大於週、月、季波動落後項,與Muller, et al. (1997)、Corsi (2004)及Andersen, et al. (2005)實證研究結果類似。
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台灣證券交易所發行量加權指數未納入現金股利之再投資因素對投資報酬及基金績效衡量之影響 / The Bias in Return Calculation and the Benchmark Error Problem Associated with Not Adjusting the Taiwan Stock Exchange Market Weighted Index for Cash Dividend陳怡雯, Chen, Yi-Wen Unknown Date (has links)
台灣發行量加權股價指數在編製時並未調整現金股利的影響,不僅會低估實際的投資報酬率,以其作為標竿指標,在評估共同基金績效時,亦會產生標竿錯誤的問題。因此,本文將現金股利的再投資報酬納入,重新編製加權股價指數。實證結果發現,若自民國75年起調整現金股利之影響,則在民國89年10月31日時,股價指數由5544.18點調整為6419.83點,約增加1.16倍。以新指數重新衡量基金績效的結果,發現績效排名並無大幅度的改變,而且基金績效是否擊敗大盤的情形,受新指標的影響亦不大,此乃因近年來上市公司配息少,而且基金績效非常極端。但基於理論上的正確性,在計算投資報酬率及評估共同基金績效時,仍應以納入現金股利之加權股價指數為基礎,以降低因標竿指標錯誤所造成研究結果的偏誤,否則未來我國股票配息的情況及基金報酬率的特性若改變之後,以過去的方式評估績效將可能造成極大之偏差。 / The Taiwan Stock Exchange Market Weighted Index (TAIEX) is not adjusted for cash dividend. Since the TAIEX is commonly used for calculating the investment return of the Taiwan’s market and as the benchmark index for mutual fund performance evaluation, the investment return in Taiwan is underestimated and there is benchmark error in the evaluation of mutual fund performance. This paper adjusts the TAIEX by incorporating the effect of the reinvestment of cash dividend in the TAIEX. The beginning date of our adjustment is January 4, 1986. Since then until the end of October 2000, the adjusted TAIEX grew to 1.16 times of the unadjusted index. However, The mutual fund performance evaluated based on the adjusted index is insignificantly different from that based on the un-adjusted index. This is because mutual funds have extreme performance. Due to the small cash dividend paid out by the listed firms on the Taiwan Stock Exchange, the adjustment effect is not enough to overturn the evaluation of
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美國企業購併、股價及工業生產指數之共積與因果關係檢定 / Cointegration and Causality Test among Mergers, Stock Price and Index of Industrial Production in the United States of America張秀雲, Hsiu-Yun Chang Unknown Date (has links)
本文使用共積檢定以及因果關係檢定方法,針對美國第三波購併風潮前後時期,檢定購併家數、股價及工業生產指數三個變數間的可預測性。不同以往的是,本文除了將購併風潮分段進行研究外,並以晚近由Hoornik 及Hendry(1997)以Johansen(1988)為基礎所發展的一套共積檢定法來檢定變數間的長期均衡關係,再以Toda and Phillips(1994)的因果關係檢定流程與SSW的因果關係檢定分別檢定出變數間的可預測性。
經由本文實證結果發現:
(1)購併、股價及工業生產指數三個變數,在ADF單根檢定結果三變數皆呈I(1)非恆定時間數列。並進一步以共積檢定檢測出不論參變數或購併和股價兩變數模型,1967年第四季以前變數間皆有一共積關係存在,1968年以後則無任何共積關係。
(2)從因果關係檢定結果發現,三變數體系中,股價與工業生產指數兩變數間可能存在極高的線性重合現象,且子期間礙於無法取夠長的遞延期數,使得工業生產指數對其他變數的影響力無法明確地反應出來,故三變數模型無法正確的檢定購併風潮前後變數間的因果關係。
(3)在購併與股價變數間的因果關係檢定研究中發現,1948~1967年間,股價對購併存在可預測性;然而1968~1979年間,股價與購併完全不存在任何可預測性。故可知購併風潮前後,股價對購併的可預測性發生了變化,從1967年前股價可合理地預測購併活動,到1967年後股價卻完全無法預測購併的情況。
(4)對影響購併的諸多因素做進一步的考量,發現威廉法案的出現對當時購併案件有相當程度的衝擊。
從實證結果可知,以共積與因果關係檢定方法一再地證明出,購併風潮前後股價對購併活動的可預性確實發生了結構性的變化。
第一章 緒論
第一節 研究背景與動機………………………………………….1
第二節 研究目的………………………………………………….3
第三節 購併之定義及相關基本概念…………………………….4
第四節 研究架構與流程………………………………………….8
第二章 文獻回顧
第一節 理論文獻回顧……………………………………………10
第二節 實證研究文獻回顧………………………………………13
第三節 文獻回顧總結……………………………………………23
第三章 實證研究方法
第一節 單根檢定………………………………………………..24
第二節 共積檢定…………………………………………………28
第三節 因果關係檢定……………………………………………34
第四節 實證檢定流程……………………………………………40
第四章 實證結果
第一節 實證資料來源……………………………………………43
第二節 Augmented Dickey-Fuller單根檢定………………….44
第三節 共積檢定……………………………………………....49
第四節 因果關係檢定……………………………………………55
第五節 因果關係檢定結果………………………………………78
第五章 法律因素的考量
第一節 時代背景….……………………………………….……79
第二節 檢視法條之影響力……………………………………..81
第三節 從案例角度分析………………………………………..84
第四節 威廉法案的威力………………………………………..87
第六章 結論…………………………………………………………88
附錄圖表(一):各變數資料圖….………………………………90
附錄圖表(二):共積殘差項圖………………………………….93
參考文獻…………………………………………………………….96
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台灣地區總人口數之預測分析邱惟俊 Unknown Date (has links)
人口政策是政府的重要政策之一,而總人口數則是政府制定政治、經濟、社會及文化發展計畫之主要參考依據,因此如何準確地預測未來的總人口數就成為政府相關部門重要的課題。
本論文試圖為台灣地區總人口數建立時間數列預測模式。我們考慮下列模式:單變量自我迴歸整合移動平均介入模式、時間數列迴歸模式、轉換函數介入模式與指數平滑法,其中轉換函數介入模式中所考慮的投入變數包括育齡婦女總生育率、粗出生率及粗死亡率。我們同時以平均絕對百分誤差 (MAPE) 、根均方百分誤差 (RMSPE) 來評估各模式的預測能力,結果顯示以育齡婦女總生育率為投入變數的轉換函數介入模式最佳,而以粗出生率為投入變數的轉換函數介入模式次之,若以這兩個模式進行未來十年總人口數之預測,並與行政院經建會人力規劃處所作的人口預測中推計值比較,其平均絕對百分誤差分別為0.138%,0.156%,顯示時間數列預測模式有相當佳的預測能力。 / In this thesis, we plan to construct various time series models for the total population in Taiwan. The following time series models are considered: ARIMA intervention model, time series regression model, transfers founction intervention model and exponential smoothing method. The input variable considered in the transfer function intervention model include total fertility rate, crude birth rate and crude death rate. We also compare the prediction performance of these models by using mean absolute percentage error (MAPE) and root mean square percentage error (RNSPE). It turns out that the transfer function intervention model with total fertility rate as input is the best model. While the transfer function intervention model with crude birth rate as input ranks the second best. Finally we forecast the total population of the next ten years by using the above two best models and compare with the middle population projection by Manpower Planning Department in Executive YUAN-Council for Economic Planning and Development. The mean absolute percentage error are 0.138% and 0.165% respectively. This result justifies that the time series model has excellent predictive ability and should be considered for total population prediction.
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都市服務設施鄰避效果之研究 / A Study of the NIMBY Effect of the Urban Service Facilities何紀芳, Ho, Chi Fang Unknown Date (has links)
所謂都市服務設施係指「提供社會、文化、經濟、政治與宗教等服務機能之都市設施」。但由於都市服務設施的種類與使用性質的不同,對都市環境或生活品質也產生不同的影響,有些對環境有正面的「迎毗」效果,有些卻會產生負面的「鄰避」效果,而有些則是迎毗效果與鄰避效果同時存在。
以往有關鄰避效果的研究,無論是國內外多只是就個案或是某類設施進行探討,在界定迎毗效果與鄰避效果時也過於主觀,因而對具有鄰避效果之設施的探討未盡完整。因此本研究運用環境行為的研究方法,以台北地方生活圈為研究範圍,自居民的接受意願與鄰避指數來界定鄰避效果,並尋求都市居民為何會對都市服務設施產生鄰避的心理或行為,以及影響鄰避的因素,最後驗證本研究所建立的都市服務設施鄰避效果之概念模式。
根據研究成果所獲得的結論與建議如下:
一、本研究所建立的「都市服務設施鄰避效果」概念模式有資訊、動機、環境態度、經驗、個人屬性、與都市階層等六個概念因子,而中介因子為接受意願。
二、根據都市居民的接受意願可以將都市服務設施劃分為「不願意接受」、「接受意願態度混雜」、與「願意接受」三個層級;而以鄰避指數度量鄰避效果,則可發現都市服務設施的鄰避效果依輕重程度可以劃分為四個等級:「不具鄰避效果」、「輕度鄰避效果」、「中度鄰避效果」、與「高度鄰避效果」。
三、大多數的環境認知與態度不會因受訪者所在的都市階層不同而受影響。而將環境認知與態度經因子分析操作後,各都市階層抽出的因子結構不甚相同,經調整後可得出四個影響都市服務設施接受意願的因子,分別是資訊、環境態度、動機、與經驗。此外,檢驗概念模式中的概念因子與接受意願的互動關係,發現除了經驗與都市階層二個因子與研究假設一致,其餘三個都與假設有所差異。
四、策略建議方面:建議從法規面、規劃者角色定位、土地使用規劃、及都市服務設施管理方面考慮改善鄰避效果之策略。 / Urban service facilities are those that provide "social, cultural, economic, political, and religious functions." Due to different types and functions, these facilities will have varied impacts on environment. Some are positive, and hence "YIMBY" (Yes-ln-My-Back-Yard) facilities; some are negative, and hence "NIMBY" (Not-ln-My-Back-Yard) facilities; some have both effects.
Previous studies dealing with NIMBY effects were mostly case studies or studies that focused on certain types of facilities. In addition, most previous studies were based on subjective concepts to define NIMBY effects. Therefore, this thesis adopts Environment-Behavior research method to study NIMBY effects of urban service facilities in Taipei area. Using the "willingness-to-accept" concept and the "NIMBY indicator," this thesis defines NIMBY effects of urban service facilities. This thesis also seeks to explore why citizens demonstrate NIMBY syndrome, and what factors affect NIMBY syndrome. The conceptual model of NIMBY effects is verified as well.
The conclusion and suggests are as follows:
1. The conceptual model of "NIMBY effects urban service facilities" consists of information, motivation, environmental attitudes, experience, personal attributes, and urban hierarchy. The intervening factor is the willingness to accept.
2. According to the willingness to accept, urban service facilities can be categorized as "not-willing-to-accept," "mixed attitudes," and "willing-to-accept." Using the NIMBY indicator concept to measure NIMBY effects, NIMBY effects can be classified as "no NIMBY effects," "small NIMBY effects," "moderate NIMBY effects," and "serious NIMBY effects."
3. Most environmental attitudes will not vary in different urban hierarchies. The results of factor structures of environmental attitudes are varied in different urban hierarchies. After adjustment, four factors influencing the willingness to accept urban service facilities can be extracted: information, environmental attitudes, motivation, and experience. In addition, in examining the relationships between the conceptual model and the willingness to accept, only experience and hierarchies are consistent with our hypotheses.
4. This thesis suggests four possible directions to mitigate NIMBY effects and the NIMBY syndrome: regulations, planners' roles, land use planning, and urban facility management.
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策略行銷分析: 以匯豐中華投資信託為例 / Strategic marketing analysis: A case study of HSBC Taiwan global asset management何瑞安 Unknown Date (has links)
近年來,在世界各地金融公司所謂的「指數股票型基金」已經成為主流投資標的。指數股票型基金讓投資人能夠將其資金直接投資於國外股市,同時避免匯率問題。目前,台灣投資人藉由所謂的中國指數股票型基金來直接投資中國股市。
身為中國指數股票型基金的先驅者,台灣匯豐中華證券投資信託股份有限公司於2009年夏天創造了第一恆生跨境指數股票型基金。就像其他服務業,匯豐中華必須向投資人推銷該指數股票型基金以及其他金融產品。有鑑於行銷對於資產管理公司的成敗扮演著很重要角色,因此本研究以策略行銷分析為主要研究基礎。並且,藉由公司訪談和邱志聖(2006)的四個成本分析架構(4C Analysis),來探討台灣匯豐中華證券投資信託股份有限公司在台灣的行銷活動。所謂的4C分析包含外顯單外效益成本、資訊搜尋成本、道德危機成本及專屬陷入成本。本研究為台灣匯豐中華提供服務、媒體廣告、品牌形象及行銷策略的改善之道。
關鍵字:策略行銷、四個成本分斯、外顯單外效益成本、資訊搜尋成本、道德危機成本及專屬陷入成本、指數股票型基金 / Since the early 2000's, Exchange Traded Funds (ETFs) have become a mainstream investment product in the portfolios of financial companies across the world. In recent years, ETFs have been created to allow investors to allocate their capital in the stock market of other countries while at the same time avoiding the currency exchange problem. Now, Taiwanese people can invest in the China stock market indexes via China ETFs.
A pioneer in China ETFs, HSBC Global Asset Management Taiwan created the first Heng Seng cross border ETFs in the summer of 2009. As with any service-oriented business, HSBC Taiwan must advertise and promote these new investment products. In light of the fact that marketing plays a large role in the success of asset management companies, hence this thesis adopts strategic marketing analysis as the backbone of the research process.
Utilizing professional interviews and Chiu's (2006) four cost (4C) analysis, this thesis examines HSBC Global Asset Management Taiwan's marketing activities via a constructively critical lens. These four costs include external unit costs, information search costs, moral hazard costs and firm-specific costs. This thesis focuses on providing solutions for enhanced customer service, media advertising, brand image as well as marketing strategies for HSBC Taiwan.
Key Words: strategic marketing, four cost structure, information search costs, moral hazard costs, firm-specific costs, exchange-traded funds
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狀態轉換跳躍相關模型下選擇權定價:股價指數選擇權之實證 / Option pricing under regime-switching jump model with dependent jump sizes: evidence from stock index option李家慶, Lee, Jia-Ching Unknown Date (has links)
Black and Scholes (1973)對於報酬率提出以B-S模型配適,但B-S模型無法有效解釋報酬率不對稱高狹峰、波動度微笑、波動度叢聚、長記憶性的性質。Merton (1976)認為不尋常的訊息來臨會影響股價不連續跳躍,因此發展B-S模型加入不連續跳躍風險項的跳躍擴散模型,該模型可同時描述報酬率不對稱高狹峰和波動度微笑兩性質。Charles, Fuh and Lin (2011)加以考慮市場狀態提出狀態轉換跳躍模型,除了保留跳躍擴散模型可描述報酬率不對稱高狹峰和波動度微笑,更可以敘述報酬率的波動度叢聚和長記憶性。本文進一步拓展狀態轉換跳躍模型,考慮不連續跳躍風險項的帄均數與市場狀態相關,提出狀態轉換跳躍相關模型。並以道瓊工業指數與S&P 500指數1999年至2010年股價指數資料,採用EM和SEM分別估計參數與估計參數共變異數矩陣。使用概似比檢定結果顯示狀態轉換跳躍相關模型比狀態轉換跳躍獨立模型更適合描述股價指數報酬率。並驗證狀態轉換跳躍相關模型也可同時描述報酬率不對稱高狹峰、波動度微笑、波動度叢聚、長記憶性。最後利用Esscher轉換法計算股價指數選擇權定價公式,以敏感度分析模型參數對於定價結果的影響,並且市場驗證顯示狀態轉換跳躍相關模型會有最小的定價誤差。 / Black and Scholes (1973) proposed B-S model to fit asset return, but B-S model can’t effectively explain some asset return properties, such as leptokurtic, volatility smile, volatility clustering and long memory. Merton (1976) develop jump diffusion model (JDM) that consider abnormal information of market will affect the stock price, and this model can explain leptokurtic and volatility smile of asset return at the same time. Charles, Fuh and Lin (2011) extended the JDM and proposed regime-switching jump independent model (RSJIM) that consider jump rate is related to market states. RSJIM not only retains JDM properties but describes volatility clustering and long memory. In this paper, we extend RSJIM to regime-switching jump dependent model (RSJDM) which consider jump size and jump rate are both related to market states. We use EM and SEM algorithm to estimate parameters and covariance matrix, and use LR test to compare RSJIM and RSJDM. By using 1999 to 2010 Dow-Jones industrial average index and S&P 500 index as empirical evidence, RSJDM can explain index return properties said before. Finally, we calculate index option price formulation by Esscher transformation and do sensitivity analysis and market validation which give the smallest error of option prices by RSJDM.
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兩個組合數學的主題: Hadamard 矩陣的建構及有關森林的研究 / Two Combinatorial Topics: Constructions of Hadamard Matrices and Studies of Forests施耀振, Shih,Yaio-Zhern Unknown Date (has links)
在這篇論文,我們主要探討兩個獨立的組合數學主題:一個是Hadamard矩陣的建構,一個是有關森林的研究。在第一個主題,所得者又分為二,其一,我們從一個已知的Hadamard矩陣,利用Sylvester的方法去建構名為Jm-Hadamard矩陣。從這個矩陣裡,藉由在Sm上適當的排列,可以獲致其他2mm!-1個Hadamard矩陣。另外,我們引進Jm-class的概念, 將之寫成CJm,並探討當n整除n'時,CJn'是否包含於CJn。關於這個問題,我們得到最初的結論是CJ8 CJ4 CJ2。其二,在已知的t個階數分別是4m1,4m2,…,4mt的Hadamard矩陣,希望獲得一個階數是2km1m2… mt的Hadamard矩陣,使得k值愈小愈好。我們可以找到最小指數的上界,這個數稍好於Craigen及de Launey所得到的值。在第二個主題裡,我們致力於三個目標,首先,我們將平面樹上的一些結果,推廣到平面森林上,諸如Shapiro的結果,葉子的偶數、奇數問題,Catalan數與類似數之間的恒等式。其二,我們用了一個很簡潔的方法去證明Chung-Feller定理,也獲致相關的結果及應用。最後,我們以研究數種n-caterpillars的優美標法,作為本文的結束,最特別的是我們可藉用拉丁方陣去建構2n-caterpillars的優美標法。
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