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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳思寬 | |
dc.contributor.author | Liu-Chuan Chang | en |
dc.contributor.author | 張劉權 | zh_TW |
dc.date.accessioned | 2021-06-16T16:16:20Z | - |
dc.date.available | 2013-02-21 | |
dc.date.copyright | 2013-02-21 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2013-02-05 | |
dc.identifier.citation | 【中文文獻】
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62955 | - |
dc.description.abstract | 金融市場是否為一個效率市場,在近幾十年來,不斷的有學者發展了不同的模型來探討其效率性。Hurst(1951)發展了R/S分析法,此法最初是運用於分析洪水和乾旱的程度,隨後Mandelbrot將此方法運用在金融市場的分析,其對於碎形理論的貢獻甚大,而有「碎形之父」之稱。
本研究將利用R/S分析法,分析從2001年1月1日到2011年12月31日的歐元、日圓、英鎊、澳幣、瑞士法郎、加拿大幣、港幣、瑞典克朗、紐西蘭元、韓元、新加坡元及新台幣等12個貨幣兌美元的匯率,利用此長達12年的日匯率資料先取其日報酬率,再將觀測期間分成3年期、6年期及12年期,來探討外匯的長期記憶性,可得以下幾點結論: 1.將此12個外匯的報酬率,進行Kolmogorov-Smirnov檢定及觀察其峰態係數,結果發所有外匯皆拒絕常態分配的假設,且外匯報酬率皆呈現高狹峰的形態,與過去文獻所探討的報酬率具有厚尾分配之現象相符。 2.外匯報酬率無論是3年期、6年期及12年期,大部份的Hurst指數顯著不等於0.5,表示外匯市場為一種碎形市場,今日的價格將對未來的價格有某程度的影響,效率市場的論點在此並不成立。 3.利用Mann-Whitney U來檢定歐美區域與非歐美區域的外匯報酬率,其Hurst指數與循環週期天數之檢定結果皆不拒絕虛無假設,意謂此兩個區域的Hurst指數與循環週期天數,並不會因為區域的差異而有不同。 | zh_TW |
dc.description.abstract | Scholars have developed numerous models to investigate the efficiency of financial market for several years. Hurst(1951) developed Rescaled Range Analysis (R/S analysis), and was initially used to analyze flood and drought. Mandelbrot applied R/S Analysis on financial market, and his contribution made him called the Father of Fractal.
This research analyzes the exchange rate of 12 currrencies to USD from 2001.1.1 to 2011.12.31 by R/S Analysis. By observing daily rate of return in 12 years and seperated observation period into 3 years, 6 years and 12 years, to discuss long memory in Foreign Exchange Market. The results are as follows: 1. Using Kolmogorov-Smirnov Test to observe the kurtosis of the rate of return (12 currencies), and found all currencies reject normal distribution hypothesis; furthermore, leptokurtosis was found in all the exchange rate of return, which fit past experience. 2. The Hurst Index of all the exchange rate of return in each period (3 years, 6 years and 12 years) are significant. 3. Index equal to 0.5 means foreign exchange market is a fractal market, there are some relations between markets in different time, hypothesis of efficiency market can't be established. 4. Testing Euro and American area to non-Euro and non-American area's exchange rate of return by Mann-Whitney U, and figures out that both Hurst Index and non-periodic cycle test are not reject null hypothesis, which means Hurst Index and non-periodic cycle don't vary because different areas. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T16:16:20Z (GMT). No. of bitstreams: 1 ntu-101-R98724056-1.pdf: 5586850 bytes, checksum: c1aea4908e1bb402ef39cf9a5f033468 (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 第一章 緒論 1
第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構 4 第二章 全球外匯市場概述及文獻回顧 6 第一節 全球外匯市場概述 6 第二節 效率市場假說 8 第三節 碎形市場假說 11 第四節 文獻回顧 14 第三章 研究方法與實證模型 18 第一節 R/S分析法 18 第二節 Hurst指數的意義 20 第四章 實證分析與結果 24 第一節 研究樣本與相關統計量 24 第二節 外匯報酬率的長期記憶性 27 第三節 長期記憶的循環週期探討 31 第四節 不同區域性外匯的長期記憶探討 42 第五章 結論與未來研究之建議 44 第一節 結論 44 第二節 研究限制與建議 45 參考文獻 47 | |
dc.language.iso | zh-TW | |
dc.title | 外匯市場之長期記憶性探討-以Hurst指數分析 | zh_TW |
dc.title | Discuss the Long Memory of the Foreign Exchange Market - Hurst Index Analysis | en |
dc.type | Thesis | |
dc.date.schoolyear | 101-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 萬哲鈺,張銘仁 | |
dc.subject.keyword | Hurst指數,R/S分析法,碎形理論,效率市場,長期記憶性, | zh_TW |
dc.subject.keyword | Hurst index,R/S analysis,Fractal theory,Efficient market,Long memory, | en |
dc.relation.page | 49 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2013-02-05 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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