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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110804

    Title: 主要貨幣投資價值之研究
    Other Titles: A study on investment value of major currencies
    Authors: 李浩華;Lee, Hao-Hua
    Contributors: 淡江大學國際企業學系碩士班
    賴錦璋;Lai, Chin-Chang
    Keywords: 幣性評估;貨幣投資價值;量化寬鬆貨幣政策;Currency characteristics;Currency investment value;Quantitative easing
    Date: 2016
    Issue Date: 2017-08-24 23:36:24 (UTC+8)
    Abstract: 自從台灣解除及放寬外匯管制以來,一般投資人可以自由投資及運用外匯,乃至大企業外匯資產的投資及避險一直是重要的課題,但無可避免的是必須面對匯兌的風險,然而自金融海嘯以來這波全球景氣的寒冬,美國、日本和歐元區更是競相祭出貨幣量化寬鬆政策,像是人民幣因著美國QE退場,許多人民幣定存族,賺了利差卻賠了匯差,令投資人不可不慎外匯的投資風險,我們欲知在這期間,各外匯的投資風險是否會竄升以及各貨幣之投資價值。
    Understanding the value and risk of money is very important for all investors. They have taken advantage of foreign exchange freely since foreign exchange control was relaxed in Taiwan. However, they still have to face a wider size of exchange-rate fluctuation. Therefore, hedging strategy is an important issue for many large companies. In addition, The Fed, Bank of Japan and The European Central Bank ran QE successively due to the economic depression caused by the financial crisis of 2007–08. In this thesis, we mainly want to show whether the negative index still have significant effect on the values of major-country currencies during QE and choose the best strategy.
    Therefore, we utilize four evaluative indexes which include rate of return, investment risk, speculative risk and continual change of exchange to assess the characteristics of currencies (TWD, KRW, JPY, CNY, AUD, GBP, EUR) from 2009 to 2015. Finally, we put those indexes into modified mean-variance utility together to decide which currency is the best target.
    Besides, there are still some interesting results in this thesis. First, our research indicates that the negative index do not fluctuate consistently during QE. Second, the positive index highly correlates to the investment value. Finally, JPY and GBP are more stable than the other currencies during the past seven years. Consequently, investors could control the investment risk more easily.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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