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研究生:鄭斐文
研究生(外文):Fei-wen Cheng
論文名稱:動態系統風險之研究─以台灣上市電子產業為例
論文名稱(外文):The Research of Time-varying Systematic Risk: Evidence from Taiwan Electronic Stock Portfolios
指導教授:胥愛琦胥愛琦引用關係
指導教授(外文):Ai-Chi Hsu
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
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:74
中文關鍵詞:DCC系統風險平均數復歸模型DM檢定
外文關鍵詞:DM testmean-revertingbetaDCC
相關次數:
  • 被引用被引用:1
  • 點閱點閱:215
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
過去許多文獻已能充分證明股票市場的系統風險確實存在不穩定性,且市場模式並無法充分估計出系統風險的隨時性,而為了估計台灣電子產業之投資組合的動態系統風險序列,本研究採用雙變量DCC-GARCH(1,1)模型並加入GJR的波動不對稱效果,與市場模式相比較,並預期雙變量DCC-GARCH(1,1)模型能更精確的衡量出條件系統風險。另加入規模投資組合以及考慮2000年發生DOT-COM網路泡沫化與總統大選等事件,分析2000年前後台灣股票市場結構可能產生變化對系統風險之影響。
本研究之研究期間為1995年1月1日至2004年12月31日為止,共計10年之日報酬資料,並以台灣證券交易所上市之電子產業為研究對象,依市值區分為三大群組,再以2000年1月1日劃分為兩研究子期間與全期間。實證研究結果如下:(1)系統風險確實存在不穩定性。(2)雙變量DCC-GARCH(1,1)模型的預測能力顯著優於市場模式。(3)公司規模越大的投資組合,其beta序列的波動程度越大。
This paper aims to model the time-varying systematic risk of Taiwan electronic stock portfolios by using the bivariate DCC-GARCH(1,1) model introduced by Engle(2001). This model allows the variance, covariance and the correlation coefficients to be dynamic so that to estimate the beta serials. We also suggest using the mean-reverting model to observe the behavior of dynamic beta serials.
We have found that there is evidence of instability in betas. In addition, the result of DM statistic indicates that the bivariate DCC-GARCH(1,1) model provides a better explanation of time-varying beta than the market model. Finally, we also found the larger size of the portfolios, the greater volatility of the beta serials.
中 文 摘 要 i
英 文 摘 要 ii
誌 謝 iii
目 錄 iv
圖表目錄 vi
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第三節 研究架構 6
第二章 文獻探討 8
第一節 市場模式(MARKET MODEL) 8
第二節 系統風險 9
第三節 隨時性系統風險之估計模型 15
第三章 研究方法 20
第一節 常態分配檢定 20
第二節 單根檢定 20
第三節 市場模式估計之非條件系統風險 24
第四節 動態條件相關-多變量GARCH模型 25
第五節 平均數復歸模型 31
第六節 DIEBOLD-MARIANO TEST 32
第七節 診斷性檢定 34
第四章 研究期間與資料處理 36
第一節 樣本選取 36
第二節 資料來源 36
第三節 投資組合之劃分 37
第四節 報酬率之計算 38
第五章 實證結果與分析 41
第一節 資料分析 41
第二節 基本統計量分析 44
第三節 單根檢定 48
第四節 市場模式估計之非條件系統風險 48
第五節 隨時性系統風險之估計 51
第六節 BETA的平均數復歸模型 56
第七節 DIEBOLD-MARIANO TEST 58
第六章 結論 61
英文部分
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中文部分
1.李俊緯,2000,台灣股市β係數穩定性之研究,實踐大學企業管理研究所,碩士論文。
2.李俊龍,1990,公司規模、負債權益比與股票報酬關係之證實研究,東海大學企業管理研究所,碩士論文。
3.呂寶珍,2002,與時變動市場系統風險之估計-台灣股票市場之實證,國立高雄第一科技大學財務管理研究所,碩士論文。
4.林佩蓉,2002,動態貝它質估計模型之研究,淡江大學財務金融研究所,碩士論文。
5.許振明、林建甫、林樹明,2002,“政黨輪替前後貨幣政策之檢討”,國政研究報告,財團法人國家政策研究基金會。
6.黃一祥、王元章、許嘉惠,2003,“台灣股市系統風險之估計及橫斷面預期報酬之分析”,財務金融學刊,11卷,3期,頁1-33。
7.葉銀華、蔡麗茹,1999,“不同波動期間之期望報酬與風險關係的實證研究─不對稱GARCH-M模型之應用”,輔仁管理評論,7卷,2期,頁161-180。
8.廖千慧,2002,雙重狀態貝它係數之國際資本資產訂價模式建構與檢測-國際主要股價指數報酬實證研究,國立暨南國際大學經濟研究所,碩士論文。
9.鄧文斌,2004,台灣股票市場時變系統風險最適估計模型之實證研究,國立中正大學財務金融研究所,碩士論文。
10.韓宗航,2002,台灣股票市場系統風險的平均數復歸現象,國立東華大學國立經濟研究所財務經濟組,碩士論文。
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