外匯市場技術分析之有效性-新興市場國家之實證分析

The Use of Technical Analysis in the Foreign Exchange Market of Emerging Market Countries

邱如玉(Ju-Yu Chiu)

指導教授 ： 高櫻芬

國立暨南國際大學/管理學院/國際企業學系/碩士(2007年)

https://doi.org/10.6837/NCNU.2007.00082

摘要

本研究主要是透過技術分析(technical analysis)方法來驗證新興市場國家(emerging markets countries)之外匯市場(foreign exchange markets)是否具有效率性。知道外匯市場是否具有效率性，不但可以提供政府穩定外匯市場的依據，另一方面也可以提供外匯市場投資者投資的參考指標。

新興市場國家中，外匯市場採用浮動(free-floating)匯率制度與管理浮動(managed-floating)匯率制度的國家較施行固定(fixed)匯率制度國家更能被利用移動平均之技術分析方法來賺取超額報酬，也就是說固定匯率制度國家之外匯市場相對於採用浮動匯率與管理浮動匯率制度國家之外匯市場更具有弱勢效率。再者，利用移動平均之技術分析方法買賣管理浮動匯率制度國家之貨幣所賺取之報酬有隨時間而遞減之趨勢。

關鍵字

外匯市場, 新興市場, 技術分析, 效率市場假說

並列摘要

The study particularly focuses on the efficacy tests of the foreign exchange markets of the emerging markets. Knowing the market efficiency not only can provide governments a target of stabilizing their foreign exchange markets but also can offer investors guides to make investment decisions. The study mainly stresses on testing the profitability earned by using moving average rules. If traders can get excess returns by applying moving average rules, then it means that the market exists weak inefficiency; adversely, it is weakly efficient. The results show that, in the emerging markets, excess returns from free-floating and managed-floating currency portfolios are greater than those of fixed-peg portfolios. That is, the foreign exchange markets with fixed-peg policies are more weakly efficient than those with free-floating and managed-floating policies. Furthermore, excess returns in the managed-floating currencies portfolio decline over time. It connotes that emerging markets foreign exchange markets countries with managed-floating policy recover their market efficiency over time.

並列關鍵字

Foreign Exchange Markets, Emerging Markets, Technical Analysis, Efficient Markets Hypothesis

參考文獻

[1] Bradford, Cornell W. and J. Kimball Dietrich, 1978, The Efficiency of The Market for Foreign Exchange under Floating Exchange Rates, The Review of Economics and Statistics, Vol. 60, No. 1, p111-p120.

[2] Cheung, Yin-Wong and Clement Yuk-Pang Wong, 1997, The Performance of Trading Rules on Four Asian Currency Exchange Rates, Multinational Finance Journal, Vol. 1, No. 1, p1-p22.

[3] Fama Eugene F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, Vol. 25, p383-p417.

[4] Kho, Bong-Chan, 1996, Time-Varying Risk Premia, Volatility, and Technical Trading Rule Profits: Evidence from Foreign Currency Futures Markets, Journal of Financial Economics, Vol. 41, p249-p290.

[5] LeBaron, Blake, 1999, Technical Trading Rule Profitability and Foreign Exchange Intervention, Journal of International Economics, Vol. 49, p125-p143.