- 學位論文
運用技術分析探討廠商外匯資產配置-以新幣與韓圜為例
Usefulness of Technical Analysis in Foreign Exchange Market: Empirical Analysis of SGD and KRW
若您是本文的作者，可授權文章由華藝線上圖書館中協助推廣。
摘要
台灣中小企業透過國際貿易累積外匯資產，常因美元兌換新台幣的匯率波動，加上主管機關對於各種外幣兌換新台幣的外匯管制，包含文件及時間點等外匯管制，造成企業無法即時兌換，產生外匯資產的減損。以往的研究，大多由直接避險角度出發，探討避險工具如遠匯或外幣選擇權等；本次研究主要從資產配置的角度切入，透過外匯資產在適當時間點轉換，提高外匯資產報酬率，達到間接避險效果。 本研究利用新台幣及與新台幣相關係數最高的韓圜與新幣，共三種貨幣，運用計量技術分析工具，以客觀的計量方式進行分析，研究期間為1998年1月5日至2012年1月20日，透過比較四種計量技術分析指標 - 移動平均指標(MA)、隨機指標(Stochastic Line)、指數平滑異同移動平均線(Moving Average Convergence and Divergence,，MACD)與相對強弱指標(Relative Strength Index，RSI)-比較絕對報酬績效，尋找報酬率最佳技術指標。 實證結果顯示，利用技術分析指標可以獲得正報酬，四種技術指標中以移動平均指標(MA)績效最佳。分別比較三種貨幣移動平均指標績效，結果顯示，三種貨幣中，韓圜之投資績效最佳，其次為新台幣，新幣最差；若比較經風險調整後之年平均報酬率，結果顯示三種貨幣中，新台幣之風險調整報酬最佳，韓圜次之，新幣最差。可能原因為韓圜在亞洲金融風暴後管制大幅放寬，韓圜匯價波動率較高，造成韓圜經風險調整後報酬略低於新台幣。
並列摘要
The SMEs of Taiwan cumulate foreign exchange through international trade, but they sometimes suffered from foreign exchange loss due to the fluctuations of the market, severe control on foreign exchange of the Central Bank of Taiwan. Those restrictions made SMEs unable to exchange their own US dollar-denominated assets on appropriate timing. According to the previous studies, the analyses focused on direct hedge effect, including using forward or foreign exchange options. This paper will start from SMEs viewpoint, and target on asset allocation. We select four most common-used technical indicators, to find out the applicable indicator which would make the best performance. This paper will conduct technical analysis on New Taiwan Dollar, Korean Won and Singapore Dollar, and analyze the performance on these three currencies. The technical analyses which we apply are Moving Average (MA), Stochastic Line (KD), Relative Strength Index (RSI), and Moving Average Convergence Divergence Indicator (MACD). We collect the daily close price from Jan 15, 1998 to Jan 20, 2012. The empirical result shows that the MA indicator has the best performance among three currencies. Korean Won has the best average rate of return in MA indicator; New Taiwan Dollar is the second to Korean Won. The Singapore has the worst performance. If we adjust the performance by risk factor, New Taiwan Dollar has the best performance than Korea Won and Singapore Dollar. This may be due to South Korea Government implemented Big Bang after Asian Financial Crisis, and Korea Won was freely exchanged which produced highest volatility than New Taiwan Dollar.
參考文獻
2. 林昆良，外匯市場技術分析之研究，國立台灣大學國際企業所碩士論文(2007)。
10. 賈魯道，外匯干預與出口依賴程度之實證分析，國立台灣大學經濟所碩士論文(2010)。
7. 黃光廷，技術分析、基本分析與投資組合避險績效之研究，國立成功大學會計所碩士論文(2002)。
9. 張家瑋，外匯技術分析可否產生超額報酬? 台灣外匯市場的證據，國立政治大學國際經營與貿易所碩士論文(2009)。
1. Bessembinder, H. and Chan, K., “The profitability of technical trading rules in the asian stock markets,” Pacific-Basin Finance Journal 3 (1995), 257-284.