台灣外匯市場效率性研究-資產收益性檢測法之應用

Abstract

本文針對新台幣兌美元、 日幣、 英鎊、 瑞郎、 澳幣、 加幣 6 種貨幣之外匯市場, 研究期間為1989 年 4 月至 2012 年 8 月之月資料 (加幣由於資料限制, 研究期間為 1990 年 5 月至2012 年 8 月), 進行有關效率市場假說的檢定。 傳統 uncovered interest rate parity (UIP) 的線性迴歸模型, 可能因為自變數與應變數變異數過大的差距, 造成 ordinary least squares (OLS) 估計式的偏誤; 另外在自變數單根檢定的部份, 也由於單根檢定之檢定力不足的先天缺陷, 讓傳統 UIP 線性迴歸模型 存在爭議空間。 本文除了考慮傳統 UIP 線性迴歸模型外, 另外從均數定態 (mean stationary) 來衡量 deviation from UIP (DUIP) , 當成傳統 UIP 線性迴歸模型的穩健性檢測。 針對台灣的外匯市場而言, 從上述 2 種模型中, 均得出新台幣兌美元、日幣、英鎊、瑞郎、澳幣、加幣 6 種貨幣之外匯市場, 不違反效率市場假說。 另外, 有別傳統 UIP 線性迴歸模型, 本文從直觀上外匯市場套利的投資策略, 提出 5 種資產收益性檢測法 (profitability tests), 藉由該 5 種資產收益性的檢測, 從外匯市場超額報酬的存在與否, 來評估市場效率假說的成立性。 從資產收益性檢測法之結果發現, 雖然新台幣兌日幣、英鎊、瑞郎、加幣之外匯市場,無論運用資產收益性檢測法之各種策略, 均無法得到超額報酬。 但於新台幣兌美元、澳幣之外匯市場卻存在套利空間。

This paper uses exchange rates of the U.S. dollar (USD)、 Japanese yen (JPY)、British pound (GBP)、Swiss franc (SFr)、Australian dollar (AUD) and Canadian dollar (CAD), relative to new Taiwan dollar (NTD), to test the efficient market hypothesis. The period of study is from April 1989 to August 2012 (NTD-CAD rate is from May 1990 to August 2012 due to data limitations). Traditional approach to testing the uncovered interest rate parity (UIP) by ordinary least squares (OLS) regression could result in omitted variable bias because of the significant differences in volatility between the change in the log of the exchange rates and the change in the interest rates. Besides, the controversy of the OLS regression model also arises from the low power of the unit root tests to the change in the interest rates. In addition to considering the traditional UIP OLS regression model, we examine the deviation from UIP (DUIP) in the view of mean stationary, which serves as the robust test of the traditional UIP OLS regression model. The results show that both in the traditional UIP OLS model and in the DUIP model, the six currencies studied do not reject the efficient market hypothesis. Moreover, different from the traditional UIP OLS regression model, we propose five intuitional profitability tests from the arbitrage strategies in foreign exchange markets to detect the efficient market hypothesis from the perspective of excess return. From the profitability tests results, we find investors can not receive the excess return in the foreign exchange markets of NTD against JPY、 GBP、 SFr and CAD. However, there exists the room for arbitrage in the foreign exchange markets of NTD against USD and AUD.