政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54701

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54701

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113822/144841 (79%)
Visitors : 51782818 Online Users : 541

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/54701

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54701

Title:	市場風險與個別國家風險對台灣股市的影響(按產業分) A study of the market risk and the country specific risk impacts on Taiwan stock market (by industry)
Authors:	魏武興 Wei, Wu Shing
Contributors:	饒秀華徐士勛魏武興 Wei, Wu Shing
Keywords:	對角BEKK 台灣各類股風險報酬匯率風險 diagonal BEKK stock risk and return exchange-rate risk
Date:	2011
Issue Date:	2012-10-30 11:32:07 (UTC+8)
Abstract:	本研究主要探討台灣各類股在不同貨幣單位之下，風險報酬之間的抵換關係，以此來探討台灣各類股在面對風險情況下的特性。我們考慮的有市場風險與國家特殊風險的影響，其中市場風險為整體經濟情勢帶來的風險；而國家風險代表一個地區的獨有風險，像是政治、經濟、社會等因素所帶來的風險。在衡量風險報酬抵換關係方面，我們藉由資本資產訂價模型的概念來做實證研究，並且藉由對角BEKK模型來做報酬與風險的條件共變異數的估計。我們先估計出市場風險與報酬之間的關係，爾後再加入國家風險因子的影響，並比較在不同貨幣單位之下的估計結果，而此結果亦能代表匯率風險的影響。實證結果顯示，各大類股在面對風險的反應不一致，其中金融類股為受風險影響最大的類股，且其市場風險係數為顯著的負值，跟理論上風險報酬為正向關係不同。而其他類股在風險與報酬關係上，有正也有負向的結果出現，故我們可得知在面對相同風險之下，各類股有其不同的反應，且在不同的貨幣單位下得到的結果也有所差異，表示匯率的確會對風險報酬關係造成影響，甚至讓風險係數從負值轉為正值，故也顯示了匯率風險的存在。研究也顯示了國家風險對於各類股的影響係數皆不大，表示台灣地區的風險尚屬穩定。而本研究或許可幫助投資人在面對風險時，能藉由各類股風險報酬關係的反應來選擇最適的投資組合。 This study investigates the various types of stock in Taiwan under the different monetary unit, between risk and return trade-off relations, in order to investigate the characteristics of various types of shares in Taiwan in the face of risk situations. We consider the impact of market risk and country-special risk, the risks of market risk for the economic situation; country risk represents a country risk, the risks such as political, economic, social and other factors . We have empirical research done by the concept of the capital asset pricing model, and the conditions covariance estimated by the diagonal BEKK model.We first estimate the relationship between market risk , and then add the impact of country risk factors, and compare the estimation results under different monetary unit, and this results in representing the exchange-rate risk. The empirical results show that the various stocks in the face of risk response is inconsistent, which financial stocks for the greatest impact on stocks are subject to risks, and the market risk coefficient is significantly negative, difference the theory. Other stocks in the relationship between risk and returns, positive and negative results, so we can learn to face the same risks under various types of shares have different reactions, and in a different currency unit the results also different, it also shows the existence of exchange-rate risk. The study also shows the country risk coefficient of various types of shares were weak effects. This research to help investors in the face of risk, by the reactions of all kinds shares the risk and return relationship to select the optimal portfolio.
Reference:	中文文獻王冠閔,2004,台灣股匯市與美國股市關聯性探討,台灣經濟預測與政策 ,34:2,31-72 李家如,2007,拉丁美洲和東亞新興資本市場之開放、整合與風險-多變量 GARCH-in-Mean之應用,中原大學國際貿易系碩士論文李美樺,杜玉振,涂登才,2007,以橫斷面跨期資本資產訂價模型衡量台灣股市報酬與風險之動態關係,銘傳大學2008年國際學術研討會邱建良,吳佩珊,姜淑美,林佩蓉,2004,與時變動系統性風險之研究:台灣股票多頭與空頭市場之實證,華岡經濟論叢第三捲第二期何世宗,2006,台灣股市之多空市場及資產訂價因子之實證研究,國立中央大學產業經濟研究所碩士論文林庭瑄,2009,風險報酬之關係-台灣加權股價指數實證,政治大學國際經營與貿易學系碩士論文林淑瑜,2009,不對稱條件共變異數矩陣對資產配置與風險控管的意涵,國立中山大學財務管理研究所博士論文柯博倫,2010,風險值之估計-GARCH模型之應用,臺灣大學農業經濟學研究所碩士論文陳榮昌,2002,台灣股票報酬之結構分析,國立中山大學財務管理學系碩士論文陳依婷,林澄政,胡惟喻,2010,台灣與中國大陸股,匯市場價各報酬與波動傳遞效果之研究,Journal of China University of Science and Technology,Vol.43-2010.04 曹淑娟,2005,市場波動度與資產相關性的探討-以台灣股票市場為例,銘傳大學財務金融學系碩士論文曾莞瑩,2008,台灣上市股票類股報酬率動態相關之探討,國立臺北大學統計系碩士論文詹前浩,2002,類股報酬不對稱性及報酬波動之比較,東海大學經濟系碩士論文楊麗玲,2005,跨期資本資產訂價-台灣股市實證分析,Journal of China Institute of Technology , Vol 32-2005.5 蔡佳宏,1998,台灣股市與匯市間報酬及波動性之外溢效果-GARCH及GMM之應用, 政治大學企業管理學系碩士論文謝明霖,雷立芬,2009,臺灣上市公司隨時間變動系統風險之結構性轉變研究,台灣銀行季刊第六十一卷第四期英文文獻 Bollerslev T.,1986,Generalized autoregressive conditional heteroskedasticity,Journal of Econometrics 31,307-327 Bollerslev T.1987, A conditionally heteroskedastic time series model for speculative prices and rates of return,The Review of Economics and Statistics,Vol.69,No.3, 542-547 Bollerslev T.,Engle R.F.,Wooldridge J.M.,1988,A capital asset pricing model with time-varying covariances,Journal of Political Economy,Vol.96.No.1,pp.116-131 Baillie R.T.,DeGennaro R.P.,1990,Stock returns and volatility,The Journal of Financial and Quantitative Analysis,Vol.25,No.2,pp.203-214 Bekaert G., Hodrick R.J.,1991,Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets,NBER working papers series,No.3790 Bekaert G.,1995,The time variation of risk and return in foreign exchange markets.,Review of Financial Studies,Vol.9,pp.427-470 Brandt M.W.,Kang Q.,2004,On the relationship between the conditional mean and volatility of stock returns,Journal of Financial Economics 72,217-257 Bali,T.G.,2008, The intertemporal relation between expected returns and risk, Journal of Financial Economics 87,101- 131 Bali T.G.,Wu Liuren, 2010, The role of exchange rates in intertemporal risk-return relations, Journal of International Money and Finance 29,1670-1686 Campbell J.Y.,1987,Stock returns and the term structure,Journal of Financial Economics 18,No.2,373-399 Chou R.Y.,1988,Volatility persistence and stock valuations,Some empirical evidence using GARCH,Journal of Applied Econometrics,Vol.3,279-294 Campbell R.H.,1989,Time-varying conditional covariances in tests of asset pricing models,Journal of Financial Economics 24,289-317 Campbell R.H.,1991,,The world price of covariance risk,The Journal of Finance,Vol.XLVI,No.1 Chou R.,1992,Measuring risk aversion from excess returns on a stock index,Journal of Econometrics 52,201-224 Campbell R.H.,2001,The specification of conditional expectations,Journal of Empirical Finance 8,573-637 Engle R.F.,Kroner K.F.,1995,Multivariate simultaneous generalized ARCH,Econometric Theory,11,pp.122-150 French K.R.,Schwert G.M.,Robert F.S.,1987,Expected stock returns and volatility,Journal of Financial Economics 19,3-29 Glosten L.R.,Jaganathan R.,Runkle D.E.,1993,On the relation between the expected value and the volatility of the nominal excess return on stocks,The Journal of Finance,Vol.48,1779-1801 Gerard B.,Thanyalakpark K.,Batten J.A.,2003,Are the East Asian markets integrated? Evidence from the ICAPM,Journal of Economics and Business 55,585-607 Ghyselsa,2005,There is a risk-return trade-off after all,NBER Working Paper No.10913 Guo Hui,Whitelaw R.F., 2005, Uncovering the Risk-Relation in the Stock Market ,The Federal Reserve Bank of ST. Louis,Working Paper 2001-001C Merton,R.C.,1973,An intertemporal capital asset pricing model, Econometrica 41,867-887 Malliaropulos D.,1997,A multivariate GARCH model of risk premia in foreign exchange markets,Economic Modelling 14,61-79 Polasek W.,2001,Applying Multivariate Time Series Forecasts For Active Portfolio Management,Swiss Society for Financial Market Research,pp.201-211 Phylaktis K.,Ravazzolo F., 2004,Currency risk in emerging equity markets,Emerging Markets Review 5,317-339 Pojarliev M.,Polasek W.,2005,Volatility Forecasts and Value at Risk Evaluation for the MSCI North America Index,Studies in Classification, Data Analysis, and Knowledge Organization, Part VI, 482-489 Ruey S. Tsay,2006,Multivariate volatility models,Time Series and Related Topics,Vol.52,210-222 Santis G.D.,Gerard B.,1997,International asset pricing and portfolio diversification with time-varying risk,Journal of Finance,Vol.52,No.5,pp.1881-1912 Skintzi V.D., 2007,Evaluation of correlation forecasting models for risk management,Journal of Forecasting,26,479- 526 Thaler R.,Werner F.M.,De Bondt,1985,Does the Stock Market Overreact?,The Journal of Finance,Vol.40,No.3,pp.793-805 Victor Fang,Vincent C.S.Lee,Yee Choon Lim,2005,Volatility Transmission Between Stock and Bond Markets:Evidence from US and Australia, Lecture Notes in Computer Science, Volume 3578, 95-102 Whitelaw R.F.,1994,Time variations and covariations in the expectation and volatility of stock market returns,The Journal of Finance,Vol.49,515-541
Description:	碩士國立政治大學經濟學系 99258023 100
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0099258023
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

Files in This Item:

File	Size	Format
802301.pdf	1061Kb	Adobe PDF2	569	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback