外匯市場之價值交易與套利機會分析

近十年來隨著電腦科技與電子網絡的快速發展，金融市場亦逐漸邁向國際化與自由化，使得各市場間交易得以零時差、無空間障礙的緊密結合。財務工程迅速的發展，各種金融商品創新的速度也大幅邁進，外匯市場中各種金融衍生性商品也蔚為主流，亦是金融產業在獲利能力上的主要工具。本研究主要的目的在於研究以境外公司實務操作外匯市場中各種交易，並以公司基本面做SWOT 分析，然後以技術面資訊與總體經濟面資訊來分析是否存在價值交易與套利機會。本文先對於外匯市場中各類型交易做概略的說明，再以承做比率較高的匯率衍生性商品，做詳細的說明並針對案例做深入的分析與探討。如此，除了可供同業與金融業在未來衍生性金融商品設計方向之參考，亦可提供投資決策之參考、匯率趨勢之判斷、與匯率避險操作之靈活度，為公司創造穩定收益。本研究即以此為動機，探討以境外公司實務操作現況，於外匯市場從事價值交易與套利交易時，對公司自身風險控管、銀行業與外匯經紀商之專業知識與職業道德其建議歸納如下：一、對於交易人員、業務人員、與交易員進行外匯相關專業的教育訓練，並且設立考核制度，已確保第一線人員擁有外匯領域的專業知識、瞭解外匯風險控管的基本條件、以及金融從業人員的職業道德。二、對於金融交易室人員除了相關的專業訓練與考核制度外，更應該建立風險管理的認知與避險管理策略的訓練，避免將業績導向凌駕於職業道德。三、對於一般客戶的交易策略報價，應以實質需求為主，避免承作複雜難懂且難以估算可能發生虧損之產品。若是對於專業客戶的交易策略報價，應以客戶的風險屬性為主，避免以過於積極的投資策略或操作方式。

關鍵字

匯率波動度；指數平滑異同移動平均線；外匯價值交易；套利機會

並列摘要

In nearly decades, following the rapid development of compute-tech and internetwork, the regional markets are able to be combined in a whole without any concern of the time difference or barrier, therefore, the financial market is moving forward to globalized and liberalization. Furthermore, under the evolution of the financial engineering, all kinds of financial products and derivatives are innovated promptly. Thus, those products and derivatives are prompted to all clients, and surely the main stream in profit making among all financial industries. By interpreting the actual cases of offshore banking, applicable derivatives, and relative trading transactions made within the foreign exchange market, this research is divided into three steps, - introducing the capability of offshore company’s investments by SWOT analysis, - evaluating the financial instruments with scenario analysis, - determining the opportunities of value trading and arbitrage by generating the information from the markets. Therefore, in order to ensure the profit making from FX investments, all reliable suggestions from technical analysis, momentums, and hedging activities should be considered into the decision making process of investing strategy. Under the consideration of risk control management, all market participators, such as company itself, banks, and FX brokers should be able to create the professions and certified the moral standards by following opinions. - For traders, sale representatives, auditors, and anyone who involves the trading transactions, the understandings of risk and professional ethics should be well trained and take into a checking system. - For all counterparties and FX traders, the concepts of risk management and the standards of professional ethics should be enforced and executed. - For sale representatives, the pricing models and the strategy of investments should rely on the actual needs from clients under serious consideration of risks and returns. All complicated products should be avoided, and aggressive strategy should be made based on clients’ potentials and risks taken.

並列關鍵字

FX volatility ； MACD ； FX value trading ； arbitrage

參考文獻

洪冠文（2012），「外匯風險管理策略研究-以個案電子公司為例」，台北大學企業管

黃見利（2011），「利差交易報酬之非線性關聯研究」，台北大學國際財務金融碩士在

Andrei Shleifer and Robert Vishny（ 1997 ） , “The Limits of Arbitrage”, Journal of

Donald Markwel（l 2006）, John Maynard Keynes and International Relations: Economic Paths

Laurence S, Copeland（2008）, “Exchange Rates and International Finance”, Pearson

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外匯市場之價值交易與套利機會分析

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