個別國家與全球股市超額報酬與風險抵換關係之探討 -以台灣及韓國為例

Abstract

近年來由於市場型式為開放主體，在財務整合，商品區隔的環境下，投資人在進行投資時，應考量全方面的訊息，亦即國家內外部所有會影響股票市場的風險因子。而風險與報酬之間是否存在抵換關係，一直以來皆為備受討論的議題，從過去的文獻當中，研究者多以變異數作為衡量風險的代理，再透過各種不同的研究方法來估計風險報酬係數，但實證上並未獲得一致的結果。本文以1981年1月至2008年7月為研究期間，台灣與韓國之股價指數月資料為樣本，所使用之模型參考Turan G. Bali & Liuren Wu(2010)的研究論文，利用簡化過後的雙變量BEKK-GARCH(1，1)模型進行估計，探討台灣與韓國股票市場跨期收益與風險之關係。本文主要分為三大部分，首先先將台灣及韓國的股價指數以美元計價，針對全球市場觀察其風險以及持續性，並且利用共變異數來判別兩國股市分別為高風險或是低風險，再者，將台灣及韓國的股價指數分別以自己國家之幣別計算，將計算出之殘差估計個別國家股市風險，看是否兩國家內部的非經濟因素，例如:政治及軍事等，會影響股市的表現。最後一部份為前兩部分的整合，比較個別國家風險與全球市場風險對台灣及韓國股市的影響以及超額報酬與風險之間的抵換關係。實證結果顯示，不論就台灣或者是韓國而言，全球市場風險的風險與報酬係數皆為正向顯著，其中又以台灣之係數較為高，透露出若在承擔相同的全球市場風險時，台灣的投資人會較韓國的投資人要求較高的報酬。在匯率風險方面，本文採Turan G. Bali & Liuren Wu(2010)所使用的研究方法，將風險與報酬的抵換關係建立在不同國家的幣別之下進行估計，由結果發現，若以美元為單位來衡量風險報酬係數，則不論是台灣或韓國，在全球市場風險下，係數皆較小；若以個別貨幣來衡量，其台灣的風險與報酬抵換係數較大，韓國之係數則是由正值轉變為負值，代表匯率的確會對市場風險值有所影響，匯率風險是可以被定價的。

In recent years, due to the opening of the markets, there are more and more choices in the investments. Investors should consider all aspects of information in this world with financial market integration but goods market segmentation. The intertemporal relation between risk and return in the stock market has been one of the most extensively studied topics in financial economics. The risk-return coefficients across different currency denomination change when considering different specification for the conditional covariance process. We used the bivariate BEKK-GARCH (1,1) model as the basic used in the reference by Turan G. Bali & Liuren Wu (2010) estimating the risk-return coefficients and measuring how this risk aversion estimate varies with different currency denominations. \nWe started our analysis using monthly data from January 1981 to July 2008 on the Standard & Poor`s 500 index, Taiwan stock exchange corporation and Korea composite stock price index. This article was divided into three parts. First, we computed monthly returns on the indices based on U.S. dollar denomination and calculated the excess returns as the index return minus the short-term interest rate. Second, we estimated the conditional covariances between the excess returns on the world market portfolio and the excess returns on two country indices using a bivariate GARCH specification. Third, we estimated the common relation of the equations implied by the international version of the intertemporal capital asset pricing model between the expected excess returns on those two country indices and the corresponding conditional covariances. After repeating the above procedure and estimating the intertemporal risk-return relation under different currency denomination, the empirical results showed that the risk-return coefficients in the world market portfolio was significantly positive in Taiwan and Korea. We also found that the coefficient was different based on different currency denominations on behalf of the exchange rate risk can be priced.