外匯市場在歐債風暴期間之流動性共變與風險溢酬

Liquidity commonality and risk premiums in the foreign exchange market during Eurozone crisis

孫以青(Yi-ching Sun)

指導教授 ： 高櫻芬

國立中央大學/管理學院/財務金融學系/碩士(2014年)

摘要

本文探討在歐債風暴期間，外匯市場中個別匯率的流動性與市場之流動性共變(liquidity commonality)的關聯程度。由於投資人僅能透過投資組合分散流動性風險，若市場存有流動性共變，也就是系統性的流動性風險時，投資人會要求流動性溢酬作為補償。本文首先分析在歐債風暴期間，流動性共變對個別匯率之影響程度，並且利用流動性風險因子來解釋利差交易報酬。研究結果發現外匯市場存有流動性共變現象，且流動性共變程度與該匯率之流動性有關。再者，本文實證結果流動性風險在利差交易中扮演重要的角色，投資者在操作利差交易時會要求流動性風險溢酬。

關鍵字

流動性共變 ； 利差交易 ； 歐債危機

並列摘要

This thesis studies liquidity commonality in the foreign exchange market during Eurozone crisis. Liquidity commonality can be regarded as systemic risk. Investors cannot avoid this risk with portfolio allocation. If investors need to bear more systemic risk, they would require more risk premium for compensation. This thesis not only investigates liquidity commonality but also analyzes the impact of liquidity risk on carry trades during Eurozone crisis. The empirical results shows that liquidity commonality varies from currencies. Moreover, I present evidence that liquidity risk factor plays an important role in carry trade return.

並列關鍵字

Liquidity commonality ； Carry trade ； Eurozone crisis

參考文獻

32. 謝文良、林苑宜，台灣股市之流動性共變現象，證券市場發展季刊，24(4)，135-186頁，2012

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