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題名 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)
作者 魏武興
Wei, Wu Shing
貢獻者 饒秀華<br>徐士勛
魏武興
Wei, Wu Shing
關鍵詞 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
日期 2011
上傳時間 30-Oct-2012 11:32:07 (UTC+8)
摘要 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.
參考文獻 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
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between the expected value and the volatility of the
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all,NBER Working Paper No.10913
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in the Stock Market ,The Federal Reserve Bank of ST.
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For Active Portfolio Management,Swiss Society for
Financial Market Research,pp.201-211
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equity markets,Emerging Markets Review 5,317-339
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at Risk Evaluation for the MSCI North America
Index,Studies in Classification, Data Analysis, and
Knowledge Organization, Part VI, 482-489
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Series and Related Topics,Vol.52,210-222
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portfolio diversification with time-varying risk,Journal
of Finance,Vol.52,No.5,pp.1881-1912
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models for risk management,Journal of Forecasting,26,479-
526
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Overreact?,The Journal of Finance,Vol.40,No.3,pp.793-805
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US and Australia, Lecture Notes in Computer Science,
Volume 3578, 95-102
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expectation and volatility of stock market returns,The
Journal of Finance,Vol.49,515-541
描述 碩士
國立政治大學
經濟學系
99258023
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099258023
資料類型 thesis
dc.contributor.advisor 饒秀華<br>徐士勛zh_TW
dc.contributor.author (Authors) 魏武興zh_TW
dc.contributor.author (Authors) Wei, Wu Shingen_US
dc.creator (作者) 魏武興zh_TW
dc.creator (作者) Wei, Wu Shingen_US
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 11:32:07 (UTC+8)-
dc.date.available 30-Oct-2012 11:32:07 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 11:32:07 (UTC+8)-
dc.identifier (Other Identifiers) G0099258023en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54701-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 99258023zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 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。		zh_TW
dc.description.abstract (摘要) 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.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 4
第三節 研究流程架構 5
第二章 文獻回顧 6
第一節 資本資產訂價模型的文獻探討 6
第二節 多變量GARCH的文獻探討 11
第三節 股票市場風險報酬關係的文獻探討 18
第三章 模型與研究方法 22
第一節 模型介紹 22
第二節 研究方法 26
第四章 資料簡介與來源 30
第一節 八大類股簡介 30
第二節 資料來源 37
第五章 實證結果與分析 39
第一節 基本統計量分析 39
第二節 實證結果分析 51
第六章 結論與建議 64
第一節 結論 64
第二節 建議 68
參考文獻 69
附錄 72		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099258023en_US
dc.subject (關鍵詞) 對角BEKKzh_TW
dc.subject (關鍵詞) 台灣各類股zh_TW
dc.subject (關鍵詞) 風險報酬zh_TW
dc.subject (關鍵詞) 匯率風險zh_TW
dc.subject (關鍵詞) diagonal BEKKen_US
dc.subject (關鍵詞) stocken_US
dc.subject (關鍵詞) risk and returnen_US
dc.subject (關鍵詞) exchange-rate risken_US
dc.title (題名) 市場風險與個別國家風險對台灣股市的影響(按產業分)zh_TW
dc.title (題名) A study of the market risk and the country specific risk impacts on Taiwan stock market (by industry)en_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 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
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