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研究生：	陳柏翰 Han, Po
論文名稱：	探索匯率風險和權益價格溢酬:以新興國家為主要研究範疇 Exchange Risk and Equity Premium:the Case of the Emerging Countries
指導教授：	王澤世 WANG, ALAN T.
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2007
畢業學年度：	95
語文別：	英文
論文頁數：	54
中文關鍵詞：	國際資產訂價模型、權益價格溢酬、匯率風險
外文關鍵詞：	the International Capital Asset Pricing Model, Exchange risk, Equity premiums
相關次數：	點閱：156 下載：0
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This paper we expend Chiang (1991) model and employ Dumas and Solnik(1995)
model. In this paper, we provide new evidence about the conditional pricing of
exchange rate risk. We conduct the empirical data using GMM method from the
emerging markets to determine whether exchange rate is priced under relevant
countries equity indexes.
The result of our study suggests that there is evidence reveals that specific
country risk and the United States equity risk are priced in some of these emerging
countries. But when using Dumas and Solnik(1995) model in GMM method, we find
that S&P 500, Nikkei 225, and the world index can influence the exchange rates
significantly.

Abstract.......................................................................................................................III
Contents .......................................................................................................................V
List of Tables...............................................................................................................VI
Chapter1 Introduction.................................................................................................1
1.1 Background ....................................................................................................1
1.2 Motivation and Purpose ................................................................................2
1.3 Research Framework.....................................................................................3
Chapter 2 Literature Review ......................................................................................4
2.1 PPP does not hold...........................................................................................4
2.2 Relevant Literature between Exchange Rate and Stock Return ...............5
2.3 Exchange Rates and International Equity Markets ...................................7
2.3.1 The exchange rate is a positive risk factor of the stock index
returns...........................................................................................................7
2.3.2 The international stock market pricing model.................................8
2.3.3 The exchange rate is a negative risk factor of the stock index
returns.........................................................................................................10
2.3.4 The exchange rate return is not priced in the stock market. ........12
2.4 The exchange rate determining model.......................................................13
2.5 The Adoption of Instrument Variable ........................................................14
Chapter3 Methodology..............................................................................................16
3.1 Chiang (1991) Model：................................................................................17
3.2 International Asset Pricing Model of Dumas and Solnik (1995) .............22
3.3 Datasets .........................................................................................................26
Chapter 4 Empirical Result ......................................................................................28
Chapter 5 Conclusion ................................................................................................34
Reference.....................................................................................................................52
                                    

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