以資產為基礎的方法對國際風險分散之實證分析

Abstract

本文研究目的是在探討跨國的投資者在面對國際投資日益開放的同時，是否充分的利用國際上的資產市場以分散投資者所面對的風險。本文參考Brandt, Cochrane, and Santa-Clara（2006），建立一種衡量國際間風險分散程度的風險分散指數，並以台灣為本國基準，取台灣前三大貿易夥伴：美國、日本、中國為外國基準，以分析此四國的國際風險分散指數，衡量的標的為各國資產市場中的主要股票交易市場指數報酬率，以分析各國風險分散的情形。此外我們亦嘗試解釋國際間風險分散的情形並解釋我們所計算出的結果，並進行一些模型參數的演算，以分析在面對其他總體變化時將會遇到的情形。經由本文的實證研究發現，對於台灣而言，在國際間的風險分散程度是偏高的，亦即，面對此四國的資產市場，台灣投資者的投資配置符合風險分散的趨勢，當匯率波動愈小時，國際風險分散程度亦將愈高，大致上與Brandt et al.(2006)之以美國為本國基準所得之國際風險分散程度結果相似。

This thesis tries to discuss if risks are shared internationally by the international asset markets. This study refers to the Brandt, Cochrane, and Santa-Clara (2006) which built an international risk sharing index to measure the degree of international risk sharing. We set up a international risk sharing indices between Taiwan and its important trading partners, US, Japan and China by the asset returns composed by the main stock indices in each country. Furthermore, we try to explain the empirical results and to show how the degree of international risk sharing will different with the changes of the macro-variables. Our empirical analyses find that the degree of the international risk sharing for Taiwan using asset-based method is better than we think. In addition, the empirical results of this thesis are similar to Brandt et al. (2006) that if the volatility of exchange rates declines, the degree of the international risk sharing will be better.