臺灣博碩士論文加值系統

系統風險(B )與投資組合管理、資本預算與績效評估等財務決策息息相關，系統風險亦是學術領域中的關鍵變數。系統風險作為風險調整報酬的基礎，不論是在理論或實務上，都扮演著重要的角色，如何獲得有效率的系統風險值即是關鍵因素。然而，近年來許多實證均顯示股票報酬變異數會隨時間而改變，亦即 值會時間變動，因此若假設 為固定不變的值，將對理論報酬的估計產生誤差。
本研究主要探討亞洲金融危機前後，台灣股票市場結構改變，公司規模與隨時間變化系統性風險之關係，利用Schwert and Seguin (1990)的異質市場模式，將市場條件波動與殘差項分別考慮了GJR與GARCH模型，以比較市場模式所估計之固定 及Schwert and Seguin異質市場模式之Time-varying 差異與估計績效。資料選取的期間是從民國80年1月1日至民國90年12月31日為止的日資料進行分析，以公司市場價值劃分公司規模。根據本研究樣本資料所獲得之重要實證結果如下：(1)發現台灣股票市場的系統風險並非固定值，而是會隨時間的經過而改變，且規模愈大的公司其平均系統風險愈高；(2)金融危機前時期，小規模投資組合之與時變異係數 為負，大規模投資組合之 係數為正；在金融危機後時期，大規模與小規模之 差異擴增，因此，當市場發生劇烈波動時，小規模與大規模投資組合之系統風險值差異擴大。實證結果與Schwert & Seguin(1990)的理論結果相同。(3) 大規模公司的波動與大盤呈同方向變動，投資人可藉此判斷風險與報酬之抵換關係。在財務研究的領域中，事件研究法的應用非常廣泛，為避免異常報酬估計的偏誤，本研究建議應加入系統風險的時間變異因素，才不會導致錯誤的決策。

The purpose of this study is to estimate the time-varying behavior of beta in Taiwan stock market. In particular we examine the relationship between firm size and time-varying betas in the periods before and after Asia financial crisis. We use the GJR, EGARCH model and modified Schwert and Seguin (1990) to estimate time-varying betas. Before the financial crisis period, the time-varying coefficients are not statistically significant for both small and large portfolios except medium portfolio. But after financial crisis period, our results show that time-varying behavior of systematic risk for all portfolios. This finding is consistent with the empirical results reported by Schwert and Seguin (1990), who found significant negative time-varying coefficient estimates for small firms and positive estimates for large firms. This result verifies that the spread between the systematic risk of smallest and largest portfolio is higher during periods of high market volatility. Furthermore, we find that ignoring the time-varying beta will overestimate the systematic risk. Future research, particularly those examining the impact of information events on stock volatility, should carefully account for the time-varying component and conditional heteroscedasticity in the market model.

中文摘要……………………………………………………………………………….i
英文摘要…………………………………………………………………………….…ii
誌謝………………………………………………………………………………….…iii
目錄…………………………………………………………………………………….iv
表目錄………………………………………………………………………………….vi
圖目錄…………………………………………………………………………………vii
第一章緒論…………………………………………………………………………..1
第一節 研究動機…………………………………………………………………..1
第二節 研究目的…………………………………………………………………..3
第三節 研究架構…………………………………………………………………..4
第二章文獻探討……………………………………………………………………..6
第一節 系統性風險與非系統性風險……………………………………………..6
第二節 與時變動系統風險(Time-Varying )之文獻探討……………………….7
第三節 與時變動系統風險之估計模型…………………………………………13
第三章研究設計與方法……………………………………………………………21
第一節 研究架構…………………………………………………………………21
第二節 樣本選取與資料來源……………………………………………………22
第三節 研究方法…………………………………………………………………25
第四章實證結果與分析……………………………………………………………36
第一節 實證資料之基料分析……………………………………………………36
第二節 模型之實證結果與診斷檢定分析………………………………………38
第三節 與時變動系統風險(Time-Varying )之估計.…………………………..52
第四節 與時變動系統風險與公司規模關係之探討……………………………59
第五章結論與建議…………………………………………………………………60
第一節 結論………………………………………………………………………60
第二節 建議………………………………………………………………………63
第三節 研究限制…………………………………………………………………63
參考文獻……………………………………………………………………………..64
中文部份…………………………………………………………………………..64
英文部份…………………………………………………………………………..64



表目錄
表 3-1 研究期間各年選取之上市公司樣本數……..………………………………23
表 4-1 每日報酬序列之敘述統計量……….……………………………………….37
表 4-2 台灣加權股價指數AR(4)-EGARCH模型與診斷結果…………………….40
表 4-3 台灣加權股價指數AR(4)-GJR模型與診斷結果…………………………..41
表 4-4 市場模式-EGARCH模型……………………………………………………44
表 4-5 SS市場模式-GJR模型………………………………………………………45
表 4-6 修正SS市場模式-殘差項考慮EGARCH模型……………………………47
表 4-7 修正SS市場模式-殘差項考慮GJR模型…………………….……………48
表 4-8 市場模式之估計與診斷檢定結果…………………………………………..50
表 4-9 調整市場模式-GARCH(1,1)之估計與診斷檢定結果……………………...51
表 4-10 固定β與平均Time-Varying β之估計結果……………………………….53
表 4-11 模型估計之均方誤差……….………………………………………..…..….59
表 4-12 平均Time-Varying β與公司規模：SS-EGARCH模型…………………..60


圖目錄
圖 1-1 研究流程圖 …………………………………………………………………..5
圖 4-1 小規模投資組合固定beta與Time-Varying beta之序列……………..……55
圖 4-2 小規模投資組合固定beta與Time-Varying beta之序列…………………..56
圖 4-3 大規模投資組合固定beta與Time-Varying beta之序列…………………..57

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