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題名 國際證券組合系統性風險之研究
作者 丁瑞九
貢獻者 林炯垚
丁瑞九
日期 1987
上傳時間 4-May-2016 17:07:37 (UTC+8)
參考文獻 參考書目及期刊
中文部份:
1.行政院經濟建設委員會編"國際經濟情勢"，"經濟研究處編印"1977，1978,1979，1980，1981,1982，1983，1984,1985年。
2.林芸萱，"台灣地區油品價格調整對證券市場股票價格影響之實證研究"，(國立政治大學，碩士論文，1987)


二、英文部份:
1. ARTICLES
Agmon, Tamir. "The relationships among Equity Markets: A study of Share Price Co-Movements in The United States, United Kingdom, Germany, and Japan." Journal of Finance (September 1972): 839-855.
Agmon, Tamir. "Country Risk: The Significance of the Country Factor for share Price Movements in the u. K., Germany and Japan." Journal of Business (January 1973): 24-32.
Bertonenche, Marc L. "Spectral analysis of Stock Market Prices." Journal of Banking and Finance 3 (1979): 201-208.
Bertonenche, Marc L. “An Emperical Analysis of the Interrelationships Among Equity Markets Under changing Exchange Rate systems." Journal of Banking and Finance 3 (1979): 201-208.
Brada, Josef C. , and Mendez Jose A. "Economic Intergration Among Developed and Developing and Centrally Planned Economies: A Comparative Analysis." The Review of Economics and Statistics (1985): 549-556.
Chamberlain, Gary and Rothschild Micheal. "Arbitrage, Factor Structure, and Mean Variance Analysis of Large Asset Markets." Econometrica. 51, no. 5. (September 1983): 1281-1304.
Cho, D. Chinhyung. "On Testing the Arbitrage Pricing. Theory: Inter-Battery Factor Analysis." Journal of Finance XXXIX, no, 5. (December 1984) : 1485-1502.
Cho, D. Chinhyung; Eun S. Choel; and Senbet Lemma S. "International Arbitrage Pr?cing Theory: An Emperical Investigation." Journal of Finance XLI, no. 2. (June 1986): 313-328.
Errunza, Vihang R. "Gains from Portofolio Diversification into Less Developed Countries` Securities." Journal of International Business Studies (Vinter 1977) : 55-65,
Errunza, Vihang R. "Gains from Portofolio Diversification into Less Developed countries` Securities: A Reply" Journal of international Business Studies (Winter 1977): 117-123.
Eun, Cheol S. , and Resnick Bruce G. "Estimating the Corre1ation structure of International Share Frices. " Journal of Finance xxxix, no. 5. (December 19842; 1311-1324.
Friend, Irwin, and Losq. Etienne. "Advantages and Limitations of International Portofolio Diversification. " In International Finance and Trade, Vol II. pp. 3-15. Edited by Marshall Sarnat and Giorgio P. Szego. Massachusets: Ballinger. , 1979.
George, A. M. and Ittoop V. M. "International Portofolfo Diversification: Risks and Returns, " In International Finance Handbook," Vol II. 8. 3. 5. Editied by George and Giddy. John Wiley, 1983.
Grubel, Herbert G. "Internationally Diversified Portofolios: Welfare Gains and Capital FIows." Journal of Finance The American Economic review 58 (December 1968): 89-94.
Hilliard, Jimmy E. "The Relationship Between Equity Indices on World Exchanges." Journal of Finance XXXIX no. 1. (March 1979): 103-114.
Kryzanowski, Lawrence and To chau Minh. "General Factor Models and the structure of Security Returns." Journal of Financial and Quantitative Analysts 18, no. 1. (1983): 31-51.
Lessard, R. Donald. "International Portofolio Diversificaton: A Multivariate Analysis for a Group of Latin American countries." Journal of Finance (1973): 619-633.
Lessard, R. Donald. “World, National, and Industry Factors in Equity Returns." Journal of Finance. XXIX, 1. (1974) : 379-398.
Levy, Haim and Sarnat Marshall. "International Diversification of Investment Portofolios, " The American Economic Review (September 1970): 668–675.
Levy, Haim and Sarnat Marshall. "Devaluation risk and the Portoflio Analysis of International Investment." In International capital Markets, Vol 1. pp. 177-206. Edited by Edwin J. Elton, and Martin J. Gruber, Oxford: North-Holland. , 1975.
Liang, K. S. and Liang C. I. H. "Trade Strategy and Industrial Policy in Taiwan, " Paper presented at "U.S. Policy Toward the Emerging Industrial countries," N. Y., November, 1985.
MacCallum, Robert. "A comparison of Factor Analysis Programs in SPSS, BMDP, and SAS." Psychometrika. 48, no. 2. (June 1983): 223-231.
Maldonado, Rita, and Saunders Anthony. “International Portofolio Diversification and the Inter-Temporal Stability of International stock Market Reltionships, 1957-78. " Financial Management 10, no. 4. (Autumn 1931): 54-63.
McDonald, John G. "French Mutual Fund Performance: Evaluation of Internationally-Diversified Portofolios." Journal of Finance (December 1973): 1161-1180.
Panton, Don B. : Lessig V. Parker; and Joy O. Maurice. “Comovement of International Equity Markets: A Taxonomic Approach." Journal of Financial and Quantitative Analysts (September 1976): 415-432.
Philippatos, G. C. : Christofi A.; and Christofi P. "The Inter-Temporal Stability of International stock Market Relationships: Another view.” Financial Management. (Winter 1933) : 63-69.
Reilly, Frank K. "Evidence Regarding A Segmented Stock Market." Journal of Finance (June 1972): 607-624.
Ripley, Duncan M. "Systematic Elements in the linkage of National stock Market indices.” The Review of Economic and Statistics 55. (1973): 356-361.
Wade, Robert. "East Asian Financial Systems as a challenge to Economics: Lessons from Taiwan.” California Management Review XXVII, 4. (Summer 1985): 106-127.

2. BOOKS
Cureton, Edward E., and D`agostino Ralph B. FACTOR ANALYSIS: An Applied Approach, New Jersey: Lawrence Erlbaum Associates, 1983.
Dillon, William R. , and Goldstein Matthew. MULTIVARIATE ANALYSIS: Methods and Applications, New York: Wiley, 1984.
Dunteman, George H. Introduction to Multivariate Analysts, California: Sage, 1984.
Eiteman, David K., and Stonehill Arthur I. Multinational Business Finance, IV ed. California: Addison-Wesley, 1986.
Harman, Harry H. Modern Factor analysis, III ed. Chicago: University of Chicago, 1976.
Jacob, Nancy L. , and Petit R. Richardson. Investments. Illinois: Richard D. Irwin, 1985.
Kendall, Sir Maurice., and Stuart Alan. The Advanced Theory of Statistics. IV ed, III vol. 1977.
Solnik, Bruno H. EUROPEAN CAPITAL MARKETS: Toward a General Theory of International Investment. Massachusetts: Lexington Books, 1973.
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002006137
資料類型 thesis
dc.contributor.advisor 林炯垚zh_TW
dc.contributor.author (Authors) 丁瑞九zh_TW
dc.creator (作者) 丁瑞九zh_TW
dc.date (日期) 1987en_US
dc.date.accessioned 4-May-2016 17:07:37 (UTC+8)-
dc.date.available 4-May-2016 17:07:37 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 17:07:37 (UTC+8)-
dc.identifier (Other Identifiers) B2002006137en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90851-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.tableofcontents 目錄
第一章 緒論
第一節 研究動機………1
第二節 研究目的………5
第三節 研究範圍與對像………7
第四節 研究假設與限制………8
第二章 文獻探討
第一節 區隔學派………12
第二節 整合學流………15
第三師 實證學派………17
第四節 總結………19
第三章 研究方法
第一節 研究設計………22
(一)研究方法簡介………22
(二)資料特性………22
(三)操作性變數的定義………23
第二節 研究模式………23
第三節 統計方法………25
(一)相關係數………25
(二)主成份分析法………26
第四章 研究結果
第一節 世界資本市場的檢定與分析………32
(一)相關矩陣………32
(二)主成份分析檢定………36
(三)結果分析………46
第二節 中華民國台灣市場的檢定與分析………57
第五章 結論
第一節 世界資本市場的總結………61
第二節 中華民國台灣市場的總結………62



圖表目錄
圖2-1:Gurbel的國際效率前緣………13
圖2-2:Levy and Sarnat比較五種效率前緣………14
圖2-3:Errunza效率前緣的比較………16
表1-1:資料來源………7
表2-1:Solnik各國指標對國際指標的時間序列迴歸模式(1963，3月至1971，4月) ………16
表2-2:Lessard南美卅四個各別市場與主成份分析法中各因的共變矩陣………17
表4-1:Maldonado and Shunders(1957-1967)與(1968-1978) 二期之相關係數及Z值檢定………33
表4-2:本研究(77-81)與(81-85)兩期之相關係數及Z值檢定………34
表4-3:本研究(77-85)九年的相關矩陣………36
表4-3a:本研究(77-79)三年的相關矩陣………36
表4-3b:本研究(80-82)三年的相關矩陣………37
表4-3c:本研究(83-35)三年的相關矩陣………37
表4-4:本研究(77-81)及(81-85)兩期之成份分析及其因之一致性檢定………40
表4-5:Philippatos et al.(59-68)及(69-78)兩期之主成分析及其因素之一致性檢定………41
表4-6:Phi1ippatos et al.(69-78)及本研究(77-85)兩期主成份分析及其因素之一致性檢定………42
表4-7a:本研究(77-79)及(80-82)兩期之主成份分析及其因之一致檢定………43
表4-7b:本研究(80-82)及(83-85)兩期之主成份分析及其因之一致檢定………44
表4-8a:本研究(77-84)兩年一期涵蓋十五個市場主成份因素的致性檢定………47
表4-8b:本研究(77-4)兩年一期涵蓋十一個市場主成份因素的致性檢定………48
表4-9a:本研究(78-85)兩年一期涵蓋十五個市場主成份因素的致性檢定………49
表4-9b:本研究(78-85)兩年一期涵蓋十一個市場主成份因素的致性檢定………50
表4-10:Philippatos et al.(69-78)及本研究(77-85)之資涵蓋十一個市場一致性檢定………51
表4-11:本研究(78-80)及(81-82)兩期十五個市場的一致性檢定………51
表4-12:本研究(76-77)及(77-85)之資料，涵蓋十一個市場的致性檢定人………52
表4-13a:本研究(77-85)十五市場主成份分析結果………56
表4-13b:本研究(77-85)十五市場主成份分析結果中前四個因素導出的再生相關矩陣(下方)及殘差相關矩陣(上方) ………56
表4-14:利用綜合世界指數對中華民國台灣市場進行市場檢定………58
表4-15:利用貿易指數對中華民國台灣市場進行市場檢定-------58
表4-16:Lessard(l959,1月至1973，10月)的世界指數模式檢視:Rmj=α+βRwm+εmj………59		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002006137en_US
dc.title (題名) 國際證券組合系統性風險之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目及期刊
中文部份:
1.行政院經濟建設委員會編"國際經濟情勢"，"經濟研究處編印"1977，1978,1979，1980，1981,1982，1983，1984,1985年。
2.林芸萱，"台灣地區油品價格調整對證券市場股票價格影響之實證研究"，(國立政治大學，碩士論文，1987)


二、英文部份:
1. ARTICLES
Agmon, Tamir. "The relationships among Equity Markets: A study of Share Price Co-Movements in The United States, United Kingdom, Germany, and Japan." Journal of Finance (September 1972): 839-855.
Agmon, Tamir. "Country Risk: The Significance of the Country Factor for share Price Movements in the u. K., Germany and Japan." Journal of Business (January 1973): 24-32.
Bertonenche, Marc L. "Spectral analysis of Stock Market Prices." Journal of Banking and Finance 3 (1979): 201-208.
Bertonenche, Marc L. “An Emperical Analysis of the Interrelationships Among Equity Markets Under changing Exchange Rate systems." Journal of Banking and Finance 3 (1979): 201-208.
Brada, Josef C. , and Mendez Jose A. "Economic Intergration Among Developed and Developing and Centrally Planned Economies: A Comparative Analysis." The Review of Economics and Statistics (1985): 549-556.
Chamberlain, Gary and Rothschild Micheal. "Arbitrage, Factor Structure, and Mean Variance Analysis of Large Asset Markets." Econometrica. 51, no. 5. (September 1983): 1281-1304.
Cho, D. Chinhyung. "On Testing the Arbitrage Pricing. Theory: Inter-Battery Factor Analysis." Journal of Finance XXXIX, no, 5. (December 1984) : 1485-1502.
Cho, D. Chinhyung; Eun S. Choel; and Senbet Lemma S. "International Arbitrage Pr?cing Theory: An Emperical Investigation." Journal of Finance XLI, no. 2. (June 1986): 313-328.
Errunza, Vihang R. "Gains from Portofolio Diversification into Less Developed Countries` Securities." Journal of International Business Studies (Vinter 1977) : 55-65,
Errunza, Vihang R. "Gains from Portofolio Diversification into Less Developed countries` Securities: A Reply" Journal of international Business Studies (Winter 1977): 117-123.
Eun, Cheol S. , and Resnick Bruce G. "Estimating the Corre1ation structure of International Share Frices. " Journal of Finance xxxix, no. 5. (December 19842; 1311-1324.
Friend, Irwin, and Losq. Etienne. "Advantages and Limitations of International Portofolio Diversification. " In International Finance and Trade, Vol II. pp. 3-15. Edited by Marshall Sarnat and Giorgio P. Szego. Massachusets: Ballinger. , 1979.
George, A. M. and Ittoop V. M. "International Portofolfo Diversification: Risks and Returns, " In International Finance Handbook," Vol II. 8. 3. 5. Editied by George and Giddy. John Wiley, 1983.
Grubel, Herbert G. "Internationally Diversified Portofolios: Welfare Gains and Capital FIows." Journal of Finance The American Economic review 58 (December 1968): 89-94.
Hilliard, Jimmy E. "The Relationship Between Equity Indices on World Exchanges." Journal of Finance XXXIX no. 1. (March 1979): 103-114.
Kryzanowski, Lawrence and To chau Minh. "General Factor Models and the structure of Security Returns." Journal of Financial and Quantitative Analysts 18, no. 1. (1983): 31-51.
Lessard, R. Donald. "International Portofolio Diversificaton: A Multivariate Analysis for a Group of Latin American countries." Journal of Finance (1973): 619-633.
Lessard, R. Donald. “World, National, and Industry Factors in Equity Returns." Journal of Finance. XXIX, 1. (1974) : 379-398.
Levy, Haim and Sarnat Marshall. "International Diversification of Investment Portofolios, " The American Economic Review (September 1970): 668–675.
Levy, Haim and Sarnat Marshall. "Devaluation risk and the Portoflio Analysis of International Investment." In International capital Markets, Vol 1. pp. 177-206. Edited by Edwin J. Elton, and Martin J. Gruber, Oxford: North-Holland. , 1975.
Liang, K. S. and Liang C. I. H. "Trade Strategy and Industrial Policy in Taiwan, " Paper presented at "U.S. Policy Toward the Emerging Industrial countries," N. Y., November, 1985.
MacCallum, Robert. "A comparison of Factor Analysis Programs in SPSS, BMDP, and SAS." Psychometrika. 48, no. 2. (June 1983): 223-231.
Maldonado, Rita, and Saunders Anthony. “International Portofolio Diversification and the Inter-Temporal Stability of International stock Market Reltionships, 1957-78. " Financial Management 10, no. 4. (Autumn 1931): 54-63.
McDonald, John G. "French Mutual Fund Performance: Evaluation of Internationally-Diversified Portofolios." Journal of Finance (December 1973): 1161-1180.
Panton, Don B. : Lessig V. Parker; and Joy O. Maurice. “Comovement of International Equity Markets: A Taxonomic Approach." Journal of Financial and Quantitative Analysts (September 1976): 415-432.
Philippatos, G. C. : Christofi A.; and Christofi P. "The Inter-Temporal Stability of International stock Market Relationships: Another view.” Financial Management. (Winter 1933) : 63-69.
Reilly, Frank K. "Evidence Regarding A Segmented Stock Market." Journal of Finance (June 1972): 607-624.
Ripley, Duncan M. "Systematic Elements in the linkage of National stock Market indices.” The Review of Economic and Statistics 55. (1973): 356-361.
Wade, Robert. "East Asian Financial Systems as a challenge to Economics: Lessons from Taiwan.” California Management Review XXVII, 4. (Summer 1985): 106-127.

2. BOOKS
Cureton, Edward E., and D`agostino Ralph B. FACTOR ANALYSIS: An Applied Approach, New Jersey: Lawrence Erlbaum Associates, 1983.
Dillon, William R. , and Goldstein Matthew. MULTIVARIATE ANALYSIS: Methods and Applications, New York: Wiley, 1984.
Dunteman, George H. Introduction to Multivariate Analysts, California: Sage, 1984.
Eiteman, David K., and Stonehill Arthur I. Multinational Business Finance, IV ed. California: Addison-Wesley, 1986.
Harman, Harry H. Modern Factor analysis, III ed. Chicago: University of Chicago, 1976.
Jacob, Nancy L. , and Petit R. Richardson. Investments. Illinois: Richard D. Irwin, 1985.
Kendall, Sir Maurice., and Stuart Alan. The Advanced Theory of Statistics. IV ed, III vol. 1977.
Solnik, Bruno H. EUROPEAN CAPITAL MARKETS: Toward a General Theory of International Investment. Massachusetts: Lexington Books, 1973.		zh_TW