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    題名: 臺幣、日幣、澳幣、新加坡四國匯率關聯結構-應用Mixed Copula
    其他題名: Using Mixed Copula to investigate the structure of dependence in NTD、JPY、SGD、AUD
    台幣、日幣、澳幣、新加坡四國匯率關聯結構-應用
    作者: 王文正;Wang, Wen-jeng
    貢獻者: 淡江大學財務金融學系碩士班
    黃文光;Wong, Woon-kong
    關鍵詞: 匯率;單根檢定;Copula;基因遺傳演算法;適合度檢定;Foreign exchange;Unit root test;Copula;Genetic Algorithms;Goodness of fit test
    日期: 2008
    上傳時間: 2010-01-11 01:07:00 (UTC+8)
    摘要: 金融市場間的關聯性已被廣泛的研究,但是之前大部分的經濟分析都將焦點
    放在關聯性的程度上(degree of dependence),然而另一個重要的觀點,關聯性的結構(structure of dependence)卻常被省略去分析與討論。本研究針對台灣、日本、新加坡、澳洲等四國匯率市場, 以2000年至2007年匯率日資料為分析頻率,由於匯率的實際資料往往不符合常態分配,因此本研究運用單根檢定、ARCH效果檢定等計量方法,進一步透過GARCH(1,1)模型、Copula方法與基因遺傳演算法、適合度檢定等方法來探討四國匯率間關聯性的結構。研究結果發現:1.匯率市場中大多呈現Frank Copulas U型與Gumbel Copulas J型。2. 一般的投資人認為當匯率市場呈現空頭時,大眾都認為所有市場會隨著下跌;而當市場呈現多頭時,投資人會害怕是暫時性的呈現多頭,因而保持著觀望的態度,使得市場為多頭時,共同上漲的程度較小。
    The Dependence among the Financial Markets has been widespread studied and the focus of economical analysis was on the degree of dependence;but not the structure of dependence,another significant point of view but neglected generally。 This research targets the Currency Exchange Markets in Taiwan, Japan, Singapore, and Australia, based on the report of daily exchange rate, to analyze the frequency from 2000 to 2007; however, the actual data extracted from the report don’t match the normal allocation。 Accordingly, this research applies quantitative method such as Unit root test、Arch test。
    Further, this research studies structure of dependence of rate of foreign exchange between these four countries through GARCH(1,1) model、the method of copula、genetic algorithms、Goodness of Fit Test。
    This research found the following results: 1. Exchange Markets exhibit Frank Copula U Model & Gumbel Copula J Mode。2. From the most of investors’ point of view, all markets will drop when Exchange Rate is under Bear Market; however, they will be conservative and take prospective response to the Bull Market; meanwhile,the appreciation range is rather slight because investors will regard it as a temporary bullish phenomenon。
    顯示於類別:[財務金融學系暨研究所] 學位論文

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