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國際財管期末考:投資機會集合、繪製PPP與IFE的圖示、迴歸分析

Word: 03154150 Excel: 03154150

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Week10 HW每週摘錄6個重點 total48

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week8

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美元兌人民幣期貨

reference: 台灣期貨交易所 http://www.

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Yen exchange rate, interest rate, and inflation rate

1.上網找任何一下銀行的兌日圓報價,說明這些報價的意義,以交

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國際財管期末考:投資機會集合、繪製PPP與IFE的圖示、迴歸分析

Word:

03154150

Excel:

03154150

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Week10 HW每週摘錄6個重點 total48

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week8

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美元兌人民幣期貨

reference: 台灣期貨交易所

http://www.taifex.com.tw/chinese/9/9_7.asp#q1

http://www.taifex.com.tw/chinese/5/FutSetPrice.asp

貨幣期貨契約 currency futures contract載明某一貨幣在某一特定交割日,以某一特定標準數量進行外匯買賣的契約。所謂標準化,就是將交易標的物之品質、數量、交割日期與地點等要件在契約中訂清楚,以增加交易的方便性與時效性。

1.名詞解釋:

a. 契約規模:就是契約值多少錢,下表為交易人部位限制,單位為契約數。選擇權的槓桿較小,所以限制也較小,以期交所為例,可交易部位為期貨契約數的兩倍。

b.契約到期交割月份:交易人可於契約到期前作反向的買賣,沖銷原來的履約義務(買方交錢、賣方交貨),就不須再交錢或交貨。

c.每日結算價:收盤前1分鐘內所有交易之成交量加權平均價。若當日收盤前一分鐘內無成交價時,以收盤時未成交之買、賣報價中,申報買價最高者與申報賣價最低者之平均價位為當日結算價。無申報買價時,以申報賣價最低者為當日結算價;無申報賣價時,則以申報買價最高者為當日結算價。當遠月份期貨契約無申報買價及申報賣價時,則取前營業日現月份期貨契約之結算價與該期貨契約之結算價間差價為計算基礎,而當日現月份期貨契約之結算價加此差價之所得價格為該期貨契約當日結算價。倘前述之計算方式皆無法決定當日結算價,或其結算價顯不合理時,由期交所決定之。

d.漲跌幅限制:採前一一般交易時段每日結算價±3%、±5%、±7%三階段漲跌幅度限制,指期貨合約在一個交易日中的成交價格不能高於或低於以該合約上一交易日結算價為基準的某一漲跌幅度,超過該範圍的報價將視為無效,不能成交。分階段是指,不同時段依情勢判定逐漸放寬漲跌幅限制。

reference:https://read01.com/KQNnRO.html

e.報價方式:以此為例,既然交易標的是美元兌人民幣匯率,那就是交易人用一美元換多少人民幣。下表為4/3匯率及期貨價格。最後成交價6.3147>匯率6.2915 

f.最小升降單位:以此為例,人民幣0.0001元/美元(人民幣10元),指買美元兌人民幣期貨上漲0.0001點,賺10元人民幣。

g.最後交易日:最後交易日為各該契約交割月份第三個星期三,也就是最後結算日。

h.最後結算日:同上。要注意的是,結算日為每月第三個星期三,而非第三週的星期三。舉例:上個月(三月),三月一日在星期四,所以最後結算日,也就是第三個星期三應為3/21而非3/14。

i.最後結算價:結算日當天香港財資市場公會上午11:30公布美元兌人民幣(香港)即期匯率。

例如:上個月的最後交易日3/21,結算價為6.329。

j.交割方式:期貨交易僅須支付契約價值一定百分比之保證金即可。如果保證金是契約價值的百分之十,等於十塊錢的商品拿一塊錢便可以交易(原價值*槓桿%)。因此,期貨交易具有以小搏大的高槓桿特性。

k.部位限制:請見a.之說明。

l.保證金:高槓桿可放大獲利,但也可能損失倍增。為控制風險,規定每天要計算保證金是否足夠(每日結算)。如果發現保證金不足,交易人必須在期貨商規定時間,補足保證金,否則期貨商有權結清交易人的部位。保證金分為「原始保證金」與「維持保證金」,交易前必須繳交原始保證金至指定的銀行帳戶,如果保證金低於維持保證金,則交易人必須補足保證金至原始保證金水準。

另外,交易人因人民幣保證金追繳及虧損,應繳交之保證金得依其與期貨商之約定,以新臺幣或其他本公司公告之外幣收付,並由期貨商代為結匯為之。簡言之,就是雖然買的是外匯期貨,但補足保證金時,可以用台幣或其他外幣,請期貨商幫你結匯。

臺灣期貨交易所股份有限公司結算保證金收取方式及標準:

※本公司公告之保證金收取金額按各商品計價幣別訂定

「第四條之七    匯率類期貨契約結算保證金金額為期貨價格乘以契約規模乘以風險價格係數。

前項所稱風險價格係數,係參考一段期間內期貨契約之價格變動幅度及其他可能因素,估算至少可涵蓋一日價格變動幅度百分之九十九信賴區間之值。

第一項收取標準,人民幣報價期貨契約以百元為整數,百元以下部分無條件進位至百元;美元報價期貨契約以拾元為整數,拾元以下部分無條件進位至拾元;日圓報價期貨契約以千元為整數,千元以下部分無條件進位至千元。」

From the line chart we could see that the settlement price and the exchange rate have positive correlation. The disparity between two indexes include procedure fee and other procession cost.

original file:

futures_exrate3

 

 

 

 

 

 

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Yen exchange rate, interest rate, and inflation rate

1.上網找任何一下銀行的兌日圓報價,說明這些報價的意義,以交易會發生的任何費用是多少,並舉例,(1)記得要連結該網頁,(2)呈現該銀行的資訊網頁截圖,(3)引用資料來源

Cathay bank

Reference:Cathay Bank

現金匯率:兌換外幣現金的價格,現鈔買入價及賣出價通常較即期匯率前者低,後者高。
即期匯率:兌換外幣的價格,如外幣存款、旅支等。
買入價bid:銀行以新臺幣買外幣的價格。以國泰世華銀行即期匯率為例,銀行用0.2721元新臺幣跟你買1日幣,日幣換新臺幣時看「買入」。
賣出價ask:銀行以新臺幣賣外幣的價格。銀行用0.2761元新臺幣賣1日幣給你,新臺幣換日幣時看「賣出」。

2.請選擇一個國家的金融市場,說明該市場相關的匯率、匯率變化、利率、利率變化、通貨膨脹率與其變化走勢。頁面呈現同1所示。

1.Exchange rate:JPY/TWD=0.2762 TWD/JPY=3.6475

Reference: Cathay

1.2 Variations of exchange rate

Followings are the charts of exchange rate with different length of time.

The range within a year is in between 3.5568 to 3.8421, the interest rate today is 3.6475 which is just little higher than the lowest point 3.8421.Japanese Yen has been appreciating  since January 2018. If you want to go to Kyoto to enjoy the beauty of cherry blossom, it’s better to exchange for Yen before January  this year or would be more “expensive “.

6m

1y3y

5y

2.interest rate & variations

The followings are the chart and the table of Japan yields. The interest rates are included in the calculation of yields. The formula is:

Yield curve indicates how much return you get from lending money. From the chart, we could see it as two parts separated by the 7.5y time break. Before 7.5y the 1 month curve gets lowest yields than the other two which indicates lending money lately profits more than 1 month ago. Vice versa if you are lending for more than 7.5years. Also, from the table we could see that within 5 years the yields are negative. As we know the higher the yields are the cheaper the bonds would be vice versa. But what if the yields are negative? Negative  yields implies negative interest rate:

In order to have a negative annual percentage yield, r/n should be negative and because n as the number of times is positive therefore r interest rate should be negative.

So why would anyone buy bonds whose interest rate is negative?

Well, the lenders in financial markets are usually banks, and if the lenders lose money the borrowers earn the spread. Japanese government hopes to boost the economy by setting negative interest rate as an incentive for investors to borrow money. These monetary policies are called quantitative easing.

Theoretically, quantitative easing should help stimulate bank loans and customer consumption. Nonetheless, enterprises show little interest in borrowing money since there aren’t many investing opportunities. The result of monetary policy seems to do little on Japan’s economy, the structural changes perhaps will be more useful.

3. Inflation rate and variations

The formula of inflation rate:

The rate of inflation formula measures the percentage change in purchasing power of a particular currency. As the cost of prices increase, the purchasing power of the currency decreases.

The rate of inflation formula shown uses the Consumer Price Index which is released by the Bureau of Labor Statistics in the US. However, other similar indices may be used at times.

Japan’s inflation rate averaged 3.02 percent from 1958 until 2018, reaching an all time high of 24.9 percent in 1974 and record low of -2.5 percent in 2009. Recently the inflation rate has risen by 1.4% the highest since 2016 though the number is still lower than the goal of Bank of Japan’s 2%.

The price of power source surged contributed mostly to the raise of CPI because the raise of the oil price lead to the the raise of electricity and gasoline price. During the same time, the price battles between communication service dealers gave the opposite on the index.

references: trading economics Bloomberg Finance formulas 

Financial times

 

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U.S. And Canadian Metal Execs Burke Byer And Scott Jones Face-Off On Trump Tariffs(Mar 6th)

Through CNBC: Burke Byer, Byer Metal CEO, and Scott Jones, Nova Metal president, talk about the potential effect on each the U.S. and Canadian economies in addition to their companies ought to President Trump enact the proposed metal and aluminum tariffs.
“We have been in international commerce struggle for years now that individuals are simply beginning to speak about, we have seen metal dumped of all different types and from all totally different international locations coming in at prices which might be simply not a good enjoying area for us domestically to have the ability to present sufficient margin to make use of folks and do what our business must do,” Byer, the American, mentioned.

The Canadian, Jones, mentioned that Trump’s tariff may create loads of “uncertainties” and will “damage each side.”

“The issue is metal getting shipped by boat, not by truck,” Jones mentioned. “The international locations Burke is attempting to decelerate: The Turks, the Taiwanese, and the Japanese, that is… a special a part of the financial system.”

reference: CNBC

The raise of steel import taxes by 25% and aluminum by 10% could not only damage the industries directly, but also construction firms like car makers who use raw materials.

Though Japan and EU are hoping to be excluded from new tariffs, Trump decided that the tariffs would be the best way to tackle overcapacity in metal industry and improve national security.

These are some consequences:

1.Though claiming the measures are directly to China,but in fact it’s affecting Canada, Japan, South Korea, which are allies of the U.S.

2.The import of metal surges because of the expectation of steel block.

U.S. as a member and founder of WTO, if the tariffs are surely to be executed, it will not be difficult to imagine how the contradiction would lead to a inner chaotic situation between member countries, but also opens Pandora’s box as other member nations are more likely to place  external force among trade agreement as long as they have America as a pioneer example.

On the other hand, the U.S. steel company confirmed if the tariffs are to put into practice, it will surely be benefited. Futher, from the interview, the reaction of new tariffs from the Canadian steel firm seemed to be less intense than what media or public thought it would be. So maybe the tariff is not that bad after all.

video source: CNBC

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Week 14

1.筆記上傳1464594396408-87662058014645944374751839384287

2.上課小考2題,以EXCEL做一遍,(1)交EXCEL ,(2)截圖上傳

P.106 3.60

141week14

P.138 4.12

142week14part2

3.針對上課的單元Ch 16 ANOVA,自己編制數據,可以是2、3、4組,每組人數4-6人,自己選擇,自己虛擬一個調查,如上學期的飲料或報紙調查,不可以是課本上的例子,參考課本646與645頁公式, 手算出ANOVA Summary table1464594487415-826192469

 

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Week13

1.筆記上傳

1463910109841-87662058014639101596971839384287

2.上網蒐集有關迴歸分析與卡方檢定的相關報導,可以是學術論文,可以是市場調查,可以是調查報告..,請截圖相關重要的圖表上傳,並利用自己的話說明這些截圖的意義。

http://www.nature.com/articles/srep24136

The correlation between LDH serum levels and clinical outcome in advanced biliary tract cancer patients treated with first line chemotherapy

LDH may represent an indirect marker of neo-angiogenesis and worse prognosis in many tumor types. We assessed the correlation between LDH and clinical outcome for biliary tract cancer (BTC) patients treated with first-line chemotherapy. Overall, 114 advanced BTC patients treated with first-line gemcitabine and cisplatin were included. Patients were divided into two groups (low vs. high LDH), according to pre-treatment LDH values. Patients were also classified according to pre- and post-treatment variation in LDH serum levels (increased vs. decreased). Median progression free survival (PFS) was 5.0 and 2.6 months respectively in patients with low and high pre-treatment LDH levels (p = 0.0042, HR = 0.56, 95% CI: 0.37–0.87). Median overall survival (OS) was 7.7 and 5.6 months (low vs. high LDH) (p = 0.324, HR = 0.81, 95% CI: 0.54–1.24). DCR was 71% vs. 43% (low vs. high LDH) (p = 0.002). In 38 patients with decreased LDH values after treatment, PFS and OS were respectively 6.2 and 12.1 months, whereas in 76 patients with post-treatment increased LDH levels, PFS and OS were respectively 3.0 and 5.1 months (PFS: p = 0.0009; HR = 0.49; 95% IC: 0.33–0.74; OS: p < 0.0001; HR = 0.42; 95% IC: 0.27–0.63). Our data seem to suggest that LDH serum level may predict clinical outcome in BTC patients receiving first-line chemotherapy.

Introduction

Biliary tract cancer (BTC) is a rare group of tumors including gallbladder carcinomas and cholangiocarcinomas (extra hepatic cholangiocarcinoma, intrahepatic cholangiocarcinoma and Klatskin tumor). In Western Countries, BTC has an incidence of 1–2 cases/100.0001.

Patients diagnosed with BTC usually have a dismal prognosis with a median overall as poor as 10–12 months for metastatic or locally

Results

Globally 114 patients with advanced BTC receiving a first line chemotherapy were available for our analysis. The cut-off point with the highest sensitivity and specificity for estimating pre-treatment LDH serum levels as a function of treatment clinical activity was set at 0.89 times the upper normal range (UNR) after ROC curve analysis (Fig. 1). Consequently patients showing a pre-treatment LDH serum level <0.89 UNR were classified as LDH-low patients (56 patients, 49%, group A) whereas patients with pre-treatment LDH serum level ≥0.89 UNR were classified as LDH-high patients (58 patients, 51%, group B).

Figure 1
srep24136-f1LDH pre-treatment serum levels according to objective response to first line chemotherapy (responders vs. not responders): (a) Mann-Whitney test (p = 0.0155); (b) ROC curve analysis (p = 0.0112, cut off: ≥0.89).

3.(1)計算以下20個樣本資料的平均數與變異數

4 3 5 2
5 4 6 3
4 4 6 3
6 5 5 2
5 5 5 3

121

(2)計算每一個品牌下各5個樣本的平均數與變異數

Brand A Brand B Brand C Brand D
4 3 5 2
5 4 6 3
4 4 6 3
6 5 5 2
5 5 5 3

132

(3)計算下面4個樣本的平均數與變異數

4.8 4.2 5.4 2.6

133

week13

 

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Week 12

1.筆記上傳1463247803977-7053809341463247854387-246609398

2資料如下

請按照課本p.585 的In summary去一一檢測1-4點,參考課本14.5節

  1. Linear relation ? Yes1
  2. No outliers? One outlier.
  3. Constant variance? 20 to -202
  4. Normal Distribution X~N(0,1) do not follow normal distribution since X~(0,179)3

3.參考課本Chapter 15或是Chapter 4完成p.625頁15.17。

a.4

b.

Ho: Age is unrelated to the frequency of reading newspapers in the populations.

H1: Age is related to the frequency of reading newspapers in the populations.

c.6

chi-square value: 98.48766483

p-value=1.35463579359821E-18~=0

level of significance:0.05

conclusion: Reject the null hypothesis i.e. age is related to the frequency of reading newspapers in the populations.

 
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Week 11

1.筆記上傳

1462983406178-7053809341462983486159-2466093981462983533224-2048995961

2.自行選擇X與Y資料11筆,如p.956的14.53例題,但數字不可一模一樣。
利用上課示範的方式與EXCEL或PHStat的迴歸分析,看您可以複製出來與迴歸分析相同的數據,請用黃色填滿色彩標示。參考課本569, 571, 573, 574, 81, 88, 您要自行完成的部分,範例如下:
0505

(1)平台放截您的分析和軟體的迴歸分析結果圖

12

(2)另外上傳EXCEL檔

week11

3.根據影片教學,將您這次作業標示幾個標籤出來

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