The Effect of Stock Market on The Return Rate of US Dollar Index Futures

• Main Authors: CAI, YI-LIANG, 蔡沂良
• Other Authors: Lee, Hsiu-Chuan
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/17846787768004729306

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 105 === Since the United States has been world leader, the dollar's long-term guide to World financial Goods has also reflected the current state of the domestic economy, and for investors who want to invest in dollar-related financial goods, predicting the dollar's trend is an important advance in investment preparation. And if you want to predict the dollar's trend, the dollar index will help you know the dollar is currently in international relations, and because of the market window for the economy, the study also uses the Dow Jones Industrial Index and the S&P500 index to represent the economic reference. On the other hand reference Li and Yu (2012) based on anchoring effect and investor limited attention hypothesis, using the Dow Jones 52-week high index and the Dow Jones Historical High Index to measure the investor's response and overreaction as an empirical method for the study of the impact of the stock market on the dollar index futures returns, this study is to explore the impact of stock markets on the US dollar index futures. The data collection sources of the study were compiled from the Stook. com database web site, the study was conducted from January 1971 to September 2016, the method used the most square method (Ordinary Least Squares, OLS) to analyze and make the descriptive statistical chart, the empirical results show that the dollar index futures in the future 6, 9, The 12-month rate of return is positively correlated with the S&P500 index and the historical high index of Dow Jones Industrial Index, and is based on this correlation and can be used as a reference for homeopathy investment, that is, as the S&P500 index and the Dow Jones Industrial Index Two index climbed, the forecast for the next 6, 9, and 12 months of the dollar index futures trend also tended to move up the same upward expectation and buy the dollar index futures.