本研究探討外匯市場的流動性、流動性外溢效果，及其受需求面、供給面和市場面因素的影響。接著再研究動態調整套利交易的報酬率，及其受流動性外溢效果、市場面因素的影響。在近年來全球政治經濟不確定性增加的背景下，如英國脫歐、中美貿易戰、Covid-19疫情和俄烏戰爭等事件接連發生，對外匯市場的流動性產生衝擊，代表各貨幣之間流動性連動的外溢效果也隨事件發生而變化。
本研究利用G-10貨幣的即期報價和Corwin and Schultz（2012）的方法計算外匯流動性，並使用Diebold and Yilmaz（2009）的向量自我回歸（VAR）模型、Diebold and Yilmaz（2012）的廣義向量自我回歸（GVAR）模型來衡量流動性外溢效果。需求面因素包括美國出口額、美聯儲外匯存底、VIX恐慌指數、全球及美國經濟政策不確定性。供給面因素則關注金融中介機構的資金流動性約束，包括美國TED利差和M2貨幣供給量。市場面因素則使用MSCI World Index報酬率、MSCI World Index波動率、J.P. Morgan's Global FX Volatility Index和CRB商品指數報酬率。
結果顯示，美國出口額和全球經濟政策不確定性對外匯流動性總外溢效果有顯著負面影響，而TED利差、MSCI World Index波動率、J.P. Morgan's Global FX Volatility Index和CRB商品指數報酬率對流動性總外溢效果有顯著正面影響。
此外，本文還探討動態調整套利交易策略，相較於傳統固定貨幣對的套利交易，動態調整策略有更高的報酬率。該策略利用遠期貼水（forward discount, FD）動態調整決定每周哪些貨幣為做多（投資）或做空（融資）。本研究發現MSCI World Index波動率和CRB商品指數報酬率對動態調整套利交易報酬率有顯著正向影響，而外匯流動性總外溢效果對其影響不顯著。

This study investigates the liquidity of the foreign exchange market, liquidity connectedness, and their dependencies on demand-side, supply-side, and market factors. It then examines the returns of dynamic adjustment arbitrage trading and their sensitivity to liquidity connectedness and market factors. Against the backdrop of increased global political and economic uncertainties in recent years, such as Brexit, US-China trade war, Covid-19 pandemic, and the Russia-Ukraine conflict, impacts on foreign exchange market liquidity have been notable, reflecting changes in liquidity interlinkages among currencies due to these events.

The study employs spot quotes of G-10 currencies and calculates FX liquidity using the methodology of Corwin and Schultz (2012). And then utilizes Diebold and Yilmaz (2009) VAR model and Diebold and Yilmaz (2012) GVAR model to measure liquidity connectedness. Demand-side factors include US exports, US Foreign Exchange Reserves, VIX index, global and US economic policy uncertainties. Supply-side factors focus on financial intermediaries' funding liquidity constraints, including US TED spread and US M2 money supply. Market factors include MSCI World Index returns, MSCI World Index volatility, J.P. Morgan's Global FX Volatility Index, and CRB commodity index returns.

Results indicate significant negative impacts of US exports and global economic policy uncertainty on total liquidity connectedness index in the FX market. Conversely, TED spread, MSCI World Index volatility, J.P. Morgan's Global FX Volatility Index, and CRB commodity index returns have significant positive effects on total liquidity connectedness index. Additionally, the study explores dynamic adjustment arbitrage trading strategies, which demonstrate higher returns compared to traditional fixed currency pairs arbitrage. This strategy dynamically adjusts based on forward discounts (FD) to decide weekly long (investment) or short (financing) positions in specific currencies. The study finds significant positive impacts of MSCI World Index volatility and CRB commodity index returns on dynamic adjustment arbitrage trading returns, while the influence of total liquidity connectedness index is found to be insignificant.

論文審定書 i
摘要 ii
Abstract iii
目 錄 iv
圖次 v
表次 vi
第一章 緒論 1
第一節 研究動機與背景 1
第二章 文獻回顧 4
第一節 外匯流動性 4
第二節 外匯流動性外溢效果及其影響因素 5
第三節 外匯套利交易報酬及其影響因素 7
第三章 研究方法 9
第一節 資料來源 9
第二節 衡量外匯流動性 9
第三節 衡量外匯流動性外溢效果 11
第四章 實證結果 18
第一節 影響外匯流動性外溢效果的多變量分析 18
第二節 影響動態調整套利報酬的多變量分析 24
第五章 結論與建議 26
參考文獻 41
附錄 46
附錄一、變數說明 46

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