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研究生:曹淑娟
研究生(外文):Shu-Chuan Tsao
論文名稱:市場波動度與資產相關性的探討-以台灣股票市場為例
論文名稱(外文):The Relationship between Market Volatility and Asset Correlations-In Taiwan Stock Market
指導教授:李進生李進生引用關係陳琪龍陳琪龍引用關係
指導教授(外文):Chin-Shen LeeMax Chen
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:91
中文關鍵詞:市場指數模型市場波動度資產間的相關性
外文關鍵詞:Market Index ModelMarket VolatilityAsset Correlations
相關次數:
  • 被引用被引用:3
  • 點閱點閱:329
  • 評分評分:
  • 下載下載:47
  • 收藏至我的研究室書目清單書目收藏:1
投資組合的理論一直以資產配置與分散風險為重心,而資產相關性結構是風險分散的主要中心,因此,當資產的相關性在投資期間為穩定的狀態下,投資人可以透過風險的預測進行資產配置,協助投資決策的擬定。然而有釵h的資產配置與風險管理模型,將資產報酬之間的相關性假設在短期內是穩定,但是實際上的情況卻並非如此,資產間的相關性在近期的研究中發現有增加的趨勢,所以當資產間的相關性並非如我們所預期中的穩定,勢必會減弱資產的風險分散效果。
本研究主要利用Jacquier和Marcus (2001)的資產相關性的預測模型結構,導出資產間的關係是受到市場因子報酬的影響。假若市場波動性是資產相關性結構變動的主要來源,就可利用市場波動度對未來的資產間的關係作預測。本篇係以台灣股票市場的類股資料為樣本,並將期間劃分成二階段,其一為1987年至1994年的八大類股,另一為1995年至2004年的十九大類股,得到的實證結果發現,(1)八大類股的資產關係利用市場波動度的預測效果較好,該模型對八大類股來說其適用性佳。(2)十九類股的預測效果則較差,實證結果顯示隨著時間的變化資產間相關性的變動劇烈增加,也使得該模型的適用性降低。
Asset allocation and risk diversification are the heart of investment theory. And asset correlation structure is at the heart of risk diversification. When that structure is stable over an investment horizon, the portfolio construction problem is well understood. However, actual covariance structure of asset return is not stable as asset allocation and risk management models assume. Moreover, correlations tend to increase in recent years, which reduces the power of diversification when it might most be desired.
This study used the model developed by Jacquier and Marcus (2001) who propose a framework to predict changes in correlation structure. They model correlations between assets as resulting from the common dependence of returns on a market factor. If a large portion of the variation in correlation structure can be attributed to variation in market volatility, we can use market volatility to predict correlations between assets. This study covers periods from January 1987 to September 2004. In this study we divide the period of Taiwan stock market into two parts: one is from 1987 to 1994 classified Eight Industry Portfolio Groups, the other is from 1995 to 2004 classified Nineteen Industry Portfolio Groups. The main findings are (1) The market index return volatility has better predictability to construct useful forecasts of covariance in Eight Industry Portfolio Groups. (2) The result of the model for Nineteen Industry Portfolio Groups is not good. The evidence indicates that correlation and covariance structures vary dramatically over time in Taiwan stock market which reduces the applicability of this model.
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究問題 2
第三節 研究目的 3
第貳章 文獻探討 5
第一節 投資組合的介紹 5
第二節 資產相關性的文獻 6
第三節 資產配置的文獻 8
第參章 研究方法與內容 10
第一節 資料來源與簡介 10
第二節 模型介紹 14
第三節 研究方法 19
第肆章 實證結果與分析 25
第一節 股票報酬的統計分析 25
第二節 市場波動度對資產相關性的解釋 29
第三節 整體市場波動來源的分解 45
第伍章 結論與建議 53
第一節 結論 53
第二節 建議 55
附錄 56
參考文獻 82
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2.Black, A., R. Buckland, and P. Fraser (2002), “Changing UK Stock Market Sector and Sub-Sector Volatilities, 1968-2000,” Managerial Finance. vol.28, no.8, pp.26-43.
3.Brinson, G.P., L.R. Hood, and G.L. Beebower (1986), ”Determinants of Portfolio Performance,” Financial Analysis Journal, vol.42, no.4, July/August, pp.39-44.
4.Brinson, G.P., B.D. Singer, and G.L. Beebower (1991), ”Determinants of Portfolio Performance II: An Update,” Financial Analysis Journal, vol.47, no.3, May/June, pp.40-48.
5.Campbell, J.Y., M. Lettau, B.G.. Malkiel, and Y. Xu (2001), “Have Individual Stock Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,” The Journal of Finance, vol.56, no.1., February, pp.1-43
6.Erb, C.B. ,C.R. Harvey, and T.E. Viskanta (1994), “Forecasting International Correlation,” Financial Analysis Journal, vol.50, no.6, November/December, pp.32-45.
7.Jacquier, E. and A.J. Marcus (2001), “Asset Allocation Models and Market Volatility”, Financial Analysis Journal, vol.57, no.2, March/April, pp.16-30.
8.Johnson, R. and P. Young (2002), “Papers Bond Market Volatility Compared to Stock Market Volatility: Evidence from the UK, ”Journal of Assets Management, vol.3, no.2, September, pp.101-111.
9.Reilly, F.K., D. J. Wright and K. C. Chan (2000), “Bond Market Volatility Compared to Stock Marker Volatility,” Journal of Portfolio Management, vol.27, no.1, Fall, pp.82-92.
10.Solnik, B., C. Boucrelle, and Y. Le Fur. (1996), “International Market Correlation and Volatility,” Financial Analysis Journal, vol.52, no.5, September/October, pp.17-34.
11.Wainscott, C.B. (1990) “The Stock-Bond Correlation and Its Implications for Asset Allocation,” Financial Analysis Journal, vol.46, no.4, July/August, pp.55-60.
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