A Study on the Return and Risk of the Foreign Currency Time Deposits in Taiwan: A Case of U.S. Dollar and Australian Dollar

• Main Authors: LIN YU CHUN, 林郁純
• Other Authors: 呂瑞秋
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/45sy3p

碩士 === 逢甲大學 === 金融碩士在職專班 === 103 === This thesis analyzes the investment return and risk of U.S. dollar and Australian dollar time deposits in Taiwan. The monthly interest rate and daily exchange rate data of Bank of Taiwan from January 2008 to January 2015 are used for the analysis. The return is calculated by considering the interest, exchange gain or loss, and bid-ask spread. The descriptive statistics show that the mean returns of both one-month and three-month time deposits of both currencies are negative, but the mean returns are all positive for the time deposit over three months. The mean return difference between the U.S. dollar and Australian dollar time deposits is examined by using t-test. The results show that except for one-month and three-month time deposits, the mean return of the Australian dollar is higher than the U.S. dollars, but only one-year time deposit is statistically significant. By using standard deviation as the risk measure and F-test, it is found that the risk of the Australian dollar is significantly higher than the U.S. dollar. Thus, except for the very short term, there is some evidence suggesting the Australian dollar has higher mean return and higher risk. Also, the above results are almost the same no matter when the deposits start in the beginning, in the middle or in the end of the month.