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    Title: 風險貼水與技術交易報酬-台幣/美元之實証分析
    Risk premium and technical trading return-ntd/usd empirical study
    Authors: 邱怡璇
    Chiu, Yi Hsuan
    Contributors: 郭炳伸
    Kuo, Biing Shen
    邱怡璇
    Chiu, Yi Hsuan
    Keywords: 技術交易
    超額報酬
    風險貼水
    資本資產定價模型
    technical trading
    excess return
    risk premium
    capm
    Date: 2012
    Issue Date: 2013-07-22 10:11:03 (UTC+8)
    Abstract: 本文主要針對台幣兌換美元的匯價,採用移動平均法則給定的交易訊號模擬交易,透過模擬交易得到顯著異於零的超額報酬,試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示:在傳統資本資產定價模型下,超額報酬無法透過承擔風險所獲得風險貼水來解釋,但加入金融危機事件的影響後,發現在金融危機期間,市場風險係數下降,異常報酬增加,表示在此期間,即使市場大盤表現不佳,技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢,使金融危機期間的技術交易報酬平均高於金融危機前後。
    Reference: 中文文獻
    [1]蔡宗岸,「簡單技術分析交易法則」,國立政治大學國際經營與貿易研究所未出版碩士論文,2006年。
    [2]謝明霖、雷立芬,「台灣上市公司隨時間變動系統風險之結構性轉變研究」,台灣銀行季刊,第61卷第4期,第244-256頁2009年。
    [3]莊珮玲、林信助、郭炳伸,「技術交易策略在外匯市場無往不利?」,台灣經濟預測與政策,中央研究院經濟研究所,第41卷第2期,第95-126頁,2011年。

    國外文獻
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    100351032
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100351032
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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