外匯選擇權隱含資訊及其預測能力之實證研究

Abstract

隨著全球化的發展，跨國投資活動頻繁，外匯避險日趨重要，對於匯率的有效預測能力將有助於降低避險成本，甚至於近一步利用外匯操作增加獲利，本研究利用外匯選擇權能反映投資人預期的特性，以自2003年10月至2007年7月一個月到期的選擇權每日交易資料，針對六種不同的幣別：日幣(JPY)、澳幣(AUD)、紐幣(NZD)、英鎊(GBP)、歐元(EUR)、台幣(TWD)，由市場報價利用Shimko (1993)提出之方法進行插補求出背後隱含投資人對於未來價格之預期分配，藉此研究分配中各特徵統計量變動對於未來匯率變動的影響，進而嘗試建立簡單的技術指標以進行匯率變動方向預測。 實證結果顯示對於大部分的幣別，偏態(skewness)、以及報價的區間(range)的變動對於下一期匯率變動量以及變動方向具有顯著的解釋能力。依據回歸分析結果建立的技術指標整體而言對於下一期匯率的變動方向預測準確度並不高，惟獨對日幣變動準確度達到約六成，此外在調整判斷規則後指標的預測能力對於澳幣、英鎊亦有顯著提升。

With the characteristic of forward-looking, the prices of options are able to reflect the expectation of market participants. The aim of this paper is to exam the relationship between changes in the risk neutral probability implied by the option market prices and changes in the future exchange rate and try to construct simple indicators to predict the future direction of exchange rates. This paper uses plenty daily foreign exchange market quotes from October, 2003 to July, 2007. These quotes are all FX options with maturity of one month on six different currency pairs: USDJPY, AUDUSD, NZDUSD, GBPUSD, EURUSD and USDTWD. I use the method introduced by Shimko (1993) to derive the risk neutral probability implied from the market quotes and further calculate the characteristic statistics of distributions. The results show the changes in skewness and range (defined as the range of quotes) have significant explanatory power on the changes and directions of future exchange rate for most currency pairs. Though for most currency pairs, the hit rate of the indicator is not ideal. However the average hit rate of USDJPY is about 60%. Also, with the modifications of judgment rules, the accuracy is somewhat improved, especially on the AUD and GBP.