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.