题名

影響匯率反轉因素之分析：未預期總體訊息與技術指標

并列篇名

Analysis of the Exchange Rate Trend Reversion Factors: Unexpected Macroeconomic News and Technical Indices

DOI

10.29698/FJMR.201201.0001

作者

莊瑞珠(Rwei-Ju Chuang)；陳秀淋(Show-Lin Chen)；陳能靜(Nen-Jing Chen)

关键词

羅吉斯迴歸 ； 未預期總體訊息 ； 技術分析指標 ； 匯率反轉點 ； Multi-nominal Logistic Regression Model ； unexpected macroeconomic news ； technical analysis indices ； foreign exchange rates ； trend reversion

期刊名称

輔仁管理評論

卷期/出版年月

19卷1期（2012 / 01 / 01）

页次

1 - 25

内容语文

繁體中文
中文摘要

本文應用非預期之總體訊息指標與技術分析指標於多分類羅吉斯迴歸模型，以探討影響歐元、英鎊、加幣與日圓走勢反轉的因素。本文研究的主要結論為：1.不論是美國聯準會或是歐洲央行的訊息對於解釋匯率的反轉影響都非常重要，其它指標例如美國的銷售及國際收支情形，以及歐元區通膨、製造業及銷售狀況或有影響力，但其重要性均遠不如央行指標；2.在技術面指標方面，除了歐元反轉可由MACD與KD來解釋外，其它三種貨幣的反轉是被開收盤價差（OP／CL）所解釋。
英文摘要

This research studies the dominant trend reversion factors of exchange rate by Multi-nominal Logistic Regression model. Unexpected U.S. and Euro zone macroeconomic news and technical analysis indices are tested on four exchange rates, EUR/USD, GBP/USD, USD/CAD, and USD/JPY. The results indicate that the unexpected central bank news is by far the most important factors among all the macroeconomic news tested. In respect of the technical indices, only KD and MACD have slight impact on EUR/USD's reversion, while the difference of close and open prices has significant explanatory power on the trend reverse of GBP/USD, USD/CAD, and USD/JPY.
主题分类 社會科學 > 管理學
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被引用次数
  1. 盧嘉梧、林志軒(2016)。類神經網路投資組合策略績效之實證研究：以台灣中型100電子股為例。輔仁管理評論，23(3)，29-50。
  2. 温淑梅,陳秀淋,莊瑞珠,周靖秦(2019)。兩階段TREE/LOGIT短期匯率反轉門檻值模型。經濟研究，55(2)，247-277。
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