利差交易是近年來相當熱門的投資策略之一，其交易模式廣為人知，即借入低利貨幣轉而投資以高利貨幣計價的相關資產。值得注意的是，因日本央行多年來採行低利率政策，使得日元成為熱門的融資貨幣，繼而帶動日圓利差交易的蓬勃發展，許多文獻因而探討日圓利差交易的成因及其獲利能力。然而，本篇論文將關注於隨機優勢的探討，即以隨機優勢法與幾乎隨機優勢法探討日圓利差交易與基準標的(股市，以標普500指數為代表)間是否存在隨機優勢。研究結果指出，在我們設定的樣本資料期間內(2001年3月到2016 年12月)，股市績效相對優於日圓利差交易，且投資期間愈長此佔優的結果愈強烈。

Carry trade is an attractive trading strategy for speculators with the concept involving borrowing low interest rate currency and investing in high interest rate currency. Besides, as the Bank of Japan (BOJ) adopted the “zero interest rate” policy for a long time, carry trades funding with yen turn to be very popular. However, while some paper focus on the profitability of yen carry trades, this paper investigates the dominance among yen carry trades and the chosen benchmark (i.e. the S&P500 Index). The dominance will be examined by employing famous Stochastic Dominance (SD) and Almost Stochastic Dominance (ASD) methods over the sample period Mar.2001~Dec.2016. As a result, during our sample period, we find that the S&P500 Index could dominate yen carry trades under the ASD method. Moreover, the power of the dominance will be stronger while increasing investment horizons.

1.Introduction ---1
2.Related Literature ---3
3.Methodology ---7
4.Data ---16
5.Empirical Results ---22
6.Conclusion ---28
Reference ---29

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