Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market

碩士 === 國立政治大學 === 金融學系 === 106 === This paper is research the relationship between factors and liquidity risks in the foreign exchange market. First, we use 37 currencies and factor indexes to build up four portfolios by High minus Low method in the sample period from 1985/02 to 2017/08.Then we find...

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Main Authors: TSAO, MENG-RU, 操孟儒
Other Authors: Lin, Chien-Hsiu
Format: Others
Language:zh-TW
Published: 2018
Online Access:http://ndltd.ncl.edu.tw/handle/757nkf
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spelling ndltd-TW-106NCCU52140192019-05-16T00:37:22Z http://ndltd.ncl.edu.tw/handle/757nkf Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market 外匯市場因子與流動性風險之關係 TSAO, MENG-RU 操孟儒 碩士 國立政治大學 金融學系 106 This paper is research the relationship between factors and liquidity risks in the foreign exchange market. First, we use 37 currencies and factor indexes to build up four portfolios by High minus Low method in the sample period from 1985/02 to 2017/08.Then we find out each factor has significant excess return and the relationship between Momentum and Value factors is obviously negative. Second, we explore if five liquidity risks can explain the excess returns in Carry trade, Momentum strategy and Value strategy factor. Otherwise, if the factors above can explain the negative relationship between Momentum factor and Value factor. So, we use the simple regression to testify those relations and find out that funding liquidity risk factors are more significant than market liquidity risk factors in the regression. When the funding liquidity risk falls, excess returns of Carry and Momentum factors will rise and excess return of Value factor will rise. In this study opinion, the negative relationship between Momentum and Value factors may be caused by their opposite relationship with funding liquidity risk. In the end, we use Fama-Macbeth two-step regression to testify the asset pricing ability. We find out that the asset pricing ability of funding liquidity risk factor is better than market liquidity risk factor regardless in every Fama-Macbeth two-step regression. Lin, Chien-Hsiu 林建秀 2018 學位論文 ; thesis 69 zh-TW
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language zh-TW
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description 碩士 === 國立政治大學 === 金融學系 === 106 === This paper is research the relationship between factors and liquidity risks in the foreign exchange market. First, we use 37 currencies and factor indexes to build up four portfolios by High minus Low method in the sample period from 1985/02 to 2017/08.Then we find out each factor has significant excess return and the relationship between Momentum and Value factors is obviously negative. Second, we explore if five liquidity risks can explain the excess returns in Carry trade, Momentum strategy and Value strategy factor. Otherwise, if the factors above can explain the negative relationship between Momentum factor and Value factor. So, we use the simple regression to testify those relations and find out that funding liquidity risk factors are more significant than market liquidity risk factors in the regression. When the funding liquidity risk falls, excess returns of Carry and Momentum factors will rise and excess return of Value factor will rise. In this study opinion, the negative relationship between Momentum and Value factors may be caused by their opposite relationship with funding liquidity risk. In the end, we use Fama-Macbeth two-step regression to testify the asset pricing ability. We find out that the asset pricing ability of funding liquidity risk factor is better than market liquidity risk factor regardless in every Fama-Macbeth two-step regression.
author2 Lin, Chien-Hsiu
author_facet Lin, Chien-Hsiu
TSAO, MENG-RU
操孟儒
author TSAO, MENG-RU
操孟儒
spellingShingle TSAO, MENG-RU
操孟儒
Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market
author_sort TSAO, MENG-RU
title Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market
title_short Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market
title_full Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market
title_fullStr Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market
title_full_unstemmed Research of the Relationship between Factors and Liquidity Risks in the Foreign Exchange Market
title_sort research of the relationship between factors and liquidity risks in the foreign exchange market
publishDate 2018
url http://ndltd.ncl.edu.tw/handle/757nkf
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