國際貨幣投資組合與星期效應研究

The Study of Currency Portfolios and day-of-the-week effects

鄭玄宜(Hsuan-Yi Cheng)

指導教授 ： 謝俊宏

國立臺中科技大學/資訊學群/資訊科技與應用研究所/碩士(2006年)

摘要

近年來亞洲地區所展現的經濟實力逐漸受到國際間重視，因此亞洲各國貨幣市場與全球貨幣市場之間的共移關係，也成為國際多角化投資組合重要的研究方向。本研究的重點即是要以一個台灣投資者的觀點，調查十六個與台灣經貿往來密切的國家，找出彼此之間貨幣漲跌的共移關係，以做為投資者進行投資組合時的依據。貨幣市場星期效應研究的目的，則是希望能為最佳化投資組合中的各種貨幣，分別尋找出最佳的投資交易日，以提高投資者的投資收益。
多變量統計方法中的因素分析技術與Markowitz的投資組合理論，是本研究中尋找最佳化投資組合的研究方法。因素分析技術可用來降低變項的維度，Markowitz效率前緣理論則是用來找出投資組合中各項投資標的最佳化之投資比例。而無母數統計檢定方法中的Kruskal–Wallis test及Wilcoxon test技術則是本研究中用來檢定投資交易日是否具星期效應的主要研究方法。經由本研究發現，對台灣投資者而言最佳的國際貨幣投資組合為英鎊、新加坡幣、澳幣、日元及人民幣，而這五種貨幣皆不存在星期效應。
此外有鑒於1997年中的亞洲金融風暴，及1999年歐元進入國際貨幣市場的因素，對全球貨幣市場所造成的影響與衝擊，本研究也將對此項影響進行評估，希望提供更全面的資訊給台灣的投資者。而經由本研究的分析也發現，亞洲金融風暴及歐元因素對各國貨幣價格的共移關係，及星期效應皆無顯著性影響。

關鍵字

投資組合 ； 共移關係 ； 因素分析 ； Markowitz理論 ； Kruskal–Wallis檢定 ； Wilcoxon 符號等級檢定 ； 星期效應

並列摘要

In recent years, the worlds attach more and more importance to the economic strength of Asia. So the co-moment relationship between currency markets in various countries of Asia and global currency market has become an important research direction of international diversification portfolio.
We investigate 16 countries which have close economic relationships and trade contacts of Taiwan and find out co-moment relationship between currency raise and fall from a perspective of a Taiwanese investor. According to the co-moment, the investor can make decision on portfolio. The purpose of research into the day-of-the-week effects on currency market is to find out best portfolio and best trading day of transaction from different currency to raise investors' investment income.
In the various multivariate statistical methods, the factor analysis technology and Markowitz theory are the research methods to find out the best portfolio. To reduce the variables dimension is the fundamental purpose of factor analysis technology. Markowitz’s Efficient Frontier Method theory is to find out best ratio between various Asset targets on portfolio. Kruskal-Wallis test and Wilcoxon test which in nonparametric statistical method are main research approaches to analyze on Day-of-the-Week effects of currency market.
In this study, the best foreign currency portfolio for Taiwan investors is Pound, Australia coin, Singapore coin, yen and Renminbi. And these five currencies have not exist Day-of-the-Week effects.
According to the reason of Asian Financial Crisis in 1997, and afflux of Euro into international currency market in 1999, this study will estimate the effect and impact on global currency market, meanwhile it would offer comprehensive information to the Taiwan investors. The readers also can find insignificant impacts on the co-moment and Day-of-the-Week effects.

並列關鍵字

Portfolio ； co-moment ； Factor analysis ； Markowits theory ； Kruskal-Wallis test ； Wilconxon test ； the day-of-the-week effects

參考文獻

[1]Arshanapalli, B. and Doukas, J. (1993). International stock market linkages: evidence from the pre- and post-October 1987 period. Journal of Banking and Finance, 17, 93–208.

[2]Bailey, W. and Stulz, R. M. (1990). Benefits of international diversification: the case of Pacific Basin stock markets. Journal of Portfolio Management, 17, 57–61.

[3]Board JLC, Sutcliffe CMS (1988). The Weekend Effect in UK stock market returns. Journal of Business Finance and Accounting, 15, 119–213.

[4]Cross, F. (1973). The Behavior of Stock Prices on Fridays and Mondays, Financial Analysts Journal, 29, 67-69.

[5]DeFusco, R. A., Geppert, J. M. and Tsetsekos, G. P. (1996). Long-run diversification potential in emerging stock markets. Financial Review, 31, 343–464.