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研究生:韓宗航
研究生(外文):Zong-Hang Han
論文名稱:台灣股票市場系統風險的平均數復歸現象
指導教授:蕭朝興蕭朝興引用關係
學位類別:碩士
校院名稱:國立東華大學
系所名稱:國際經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:71
中文關鍵詞:貝它係數貝它係數不穩定性系統風險平均數復歸
外文關鍵詞:mean reversionbetabeta instabilitysystematic risk
相關次數:
  • 被引用被引用:12
  • 點閱點閱:1225
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  • 下載下載:319
  • 收藏至我的研究室書目清單書目收藏:0
本論文實證研究了台灣股票市場在1980年到2001年間,系統風險的不穩定性與跨產業間的貝它係數平均數復歸現象。主要實證結果如下:在三個次7年估計期間內,台灣股票市場普遍存在有系統風險的平均數復歸現象,且隨著不同產業有不同的收斂值。其次,普遍但不絕對的,存在有估計期間越長,而貝它係數不穩定性越高的情況。第三,隨著時間經過,台灣股票市場的貝它係數不穩定性比率呈現出逐漸下降的趨勢。最後,我們也測試了貝它係數的預測效率性,結果發現平均數復歸假設的預測效率最佳,而隨機漫步假設的預測效率則是最差的。
In this paper we empirically investigate the issue of beta instability and whether there is a differential tendency for beta risk to mean-revert across industries in the Taiwan stock market from 1980 to 2001. Our key results are as follows. In the three seven-year sub-periods, first, a mean reversion tendency does exist for mostly major industries but varies across them. Second, in selected sub-periods with different lengths, the degree of beta instability is likely higher when the period is longer. Third, the degree of beta instability is diminishing gradually over the three seven-year sub-periods. Finally, we also examine beta forecastability.
目錄
謝詞 2
中文摘要 3
英文摘要 4
目錄本頁 5
1. 緒論
1.1前言 8
1.2研究目的與方法 9
2. 研究架構與相關理論文獻
2.1研究範圍 11
2.1.1資料來源與樣本期間 11
2.1.2研究樣本標準 11
2.1.3估計期間長度 12
2.2相關理論文獻 12
2.2.1貝它係數的估計 12
2.2.2貝它係數不穩定性 17
2.2.3貝它係數平均數復歸模型 20
2.2.4貝式貝它係數假設 23
2.2.5貝它係數之預測能力 24
3. 實證結果
3.1 貝它係數不穩定性 26
3.1.1橫斷面貝它係數不穩定性 26
3.2.2時間序列貝它係數不穩定性 28
3.2 貝它係數的平均數復歸現象 30
3.3 貝它係數的預測能力 33
4. 結論與建議
表格與圖表 37
參考文獻-中文部分 56
參考文獻-英文部分 57
附錄 61
參考文獻-中文部分
1.儲于超,2001,『亞洲股市平均數復歸現象與動態關係之探討』,私立朝陽科技大學財務金融研究所。
2.蔡佳賓,2000,『公司貝他值估計之研究-期別與離群效果』,私立東海大學企業管理研究所。
3.洪淑瑜,2000,『台灣股市平均反轉現象-混合型資料下之實證研究』,國立清華大學經濟學研究所。
4.高銘淞,1999,『利率均數復歸之特性探討與模型建構』,國立台灣大學國際企業學研究所。
5.阮建銘,1995,『二篇有關股票價格平均數復歸的實證研究』,國立政治大學財務管理研究所。
6.丁國玄,1995,『台灣股市的隨機漫步假說與平均反轉現象』,國立清華大學經濟學研究所。
7.林月能,1994,『臺灣股市交易不連續性對系統風險影響之實證研究-調整方法與資本資產訂價模式』,私立淡江大學金融研究所。
8.陳江明,1993,『台灣股票市場報酬率之預測模型:平均數復歸行為之應用』國立中央大學財務管理研究所。

參考文獻-英文部分
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