- 學位論文
國際資本移動型態對匯率影響之熱錢及聰明錢效應
Hot Money and Smart Money Effect in International Capital Flows on the Volatility of Foreign Exchange Market
摘要
本研究主要探討國際資本移動的影響，採用ICSS運算法找出匯率的波動區間及穩定區間，之後使用因果檢定分別在股票市場及匯率市場領先落後關係中，辨別熱錢效應及聰明錢效應。熱錢效應指匯率市場會領先股票市場，當國際資本流入市場時會先影響匯率市場進而提升股票市場。聰明錢效應表示國際資本會投資在有價值的股票市場中，因此股市前景好時會吸引國際資本流入市場，進而影響匯率市場。除此之外，我們分別把國際資本移動分成三類，外人直接投資(FDI)、其他投資(OI)、證劵投資(PI)，分別探討國際資本移動變動對匯率市場的影響。實證結果中發現，在穩定期間大多皆為聰明錢效應存在，且對匯率是負向效果。在波動期間大多皆為熱錢效應存在，變數皆對匯率會有大幅波動的正向效果。
並列摘要
This study investigates the impact of international capital flows. We apply the ICSS algorithm to identify the volatile periods and stable periods of foreign exchange market, and then distinguish the hot money effect and the smart effect by analyzing the causality relation between stock market and foreign exchange market. The hot money effect implies that foreign exchange market leads stock market. Since international capital flow into the market can impact the foreign exchange market, and then raise the stock market. The smart money effect implies the capital can invest the valuable stock market. Therefore, once the stock market raise can attract the international capital flow into the market, and then influence the foreign exchange market. Moreover, we separate the international capital flows into three category, foreign directly investment (FDI), other investment (OI), and security investment (PI), to explore the effect of international capital flows on the volatility of foreign exchange market. The empirical results show that the smart money effect exists on the stable periods and has the negative effect on the foreign exchange rates. In the volatile periods, we find the hot money effect and the impact of the international capital flows on the foreign exchange rates is positive.