An Investigation of Likelihood of Extreme Returns Between Taiwan and International Foreign Exchange Markets

[[abstract]]在國際金融環境之整合趨勢下，國內投資人進行國際投資組合的比重逐漸增加，因此匯兌風險將成為投資人必須考量的風險之一，藉由對國際匯市相關性之了解，可作為投資人進行投資決策之依據，以降低匯兌風險。本文以極端值理論為基礎，並參考Longin and Solnik (2001)的研究方法，對台幣與日圓、人民幣、歐元、德國馬克、英鎊及瑞士法郎等六個幣別，在週報酬及月報酬資料型態下，進行台灣與國際匯市之間的匯率報酬相關性分析。實證顯示不論是哪種資料型態，除日圓外的其他幣別，在正門檻值水準下，當門檻值水準越高，台幣與各幣別間之相關性逐漸降低；在負門檻值水準下，當門檻值水準之絕對值越高，台幣與各幣別間之相關性越高。此顯示好壞消息所帶來的衝擊對於台幣所造成的影響並不一致，且隨著壞消息的嚴重程度增加，對於台灣匯市造成的影響越大。[[abstract]]Facing the increasing tendency of integration of international financial market the domestic investors face the risk of exchange rate fluctuations when they include the foreign assets into their international investment portfolio Therefore the exchange rate risk has become one of the unavoidable risks If the domestic investors can understand the correlation among international foreign exchange markets as a reference for setting their investment portfolio then it can efficiently decrease the exchange rate risk This study uses the extreme value theory proposed by Longin and the Solnik (2001) to investigate the likelihood between Taiwan and the international foreign exchange markets The exchange rate data used in this study are the new Taiwan dollar the Japanese yen the Renminbi Yuan the German Mark the Euro the pound the Swiss franc The empirical results show that in both weekly and monthly data when the positive threshold is higher the extreme correlation among Taiwan and most of international foreign exchange markets is decreasing; however when the negative threshold is higher the correlation among Taiwan and international foreign exchange markets is increasing We conclude that the good news impact to the Taiwan currency market is not consistent with the bad news In addition it will have a stronger effect to the currency market when the bad news is considered more sever