Title page for etd-0625112-172503


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URN etd-0625112-172503
Author Pin-yao He
Author's Email Address No Public.
Statistics This thesis had been viewed 5580 times. Download 920 times.
Department Finance
Year 2011
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Effect of Fama and French Three-Factor and Exchange Rate on Stock Market
Date of Defense 2012-06-12
Page Count 54
Keyword
  • Early warning
  • Cluster analysis
  • Stock returns
  • USDX
  • Skewed-t
  • Abstract Due to the financial turmoil in recent years, risk management has become an important issue, investors would like to be fully-prepared to cope with financial crisis before it happen. This research uses the Fama and French three-factor and the U.S. Dollar Index (USDX) as an exchange rate variations indicator to capture the international relations. It constitutes a four-factor model to analyze the S&P100 stock returns changes, and we introduce the skewed-t distribution to simulate the distribution of stock returns and capture the characteristics of skewness and kurtosis. We use cluster analysis to cluster the sample companies by their risk characteristics. And then we observe the explanatory power of each risk factor. The study shows that the S&P100 stocks are subjected to the market premium, and the scale effect is smaller than others.
       At last, in accordance with the GARCH-Skewed-t model to simulate the average, variance, skewness and kurtosis of each cluster. We track the long-term performance of each parameter which are used to observe the unusual changes before financial crisis. The empirical results show that the skewness parameter has perfect warning for financial turmoil. The cluster with warning ability is affected by B/M ratio effect and exchange rate changes. Among the case, the cluster has the best early warning effect when it's influenced by the exchange rate indicator. It displays that by adding an exchange rate risk indicator into the multi-factor model, we will have a better clustering result. It means that the skewness parameter of cluster with influence of exchange rate indicator can be used to observe financial turmoil, which can in turns, be used as an early warning system to determine the occurrence of extreme events.
    Advisory Committee
  • Kuo,Hsiou-jen - chair
  • Lee,Chien-Chiang - co-chair
  • Wang, Chou-Wen - advisor
  • Huang,Jen-Jsung - advisor
  • Files
  • etd-0625112-172503.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2012-06-25

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