跳到主要內容

臺灣博碩士論文加值系統

(44.201.99.222) 您好!臺灣時間:2022/12/04 01:16
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:蘇億蓮
研究生(外文):I-Lien Su
論文名稱:國際資本資產訂價模型之實證研究
論文名稱(外文):The Evidence of the International Capital Asset Pricing Model
指導教授:徐辜元宏徐辜元宏引用關係
指導教授(外文):Yuan-Hung Hsu Ku
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
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:2007
畢業學年度:95
語文別:中文
論文頁數:73
中文關鍵詞:ICAPMDCC模型國際多角化利益GARCH-in-Mean
外文關鍵詞:DCC modelGARCH-in-Meaninternational diversificationInternational Capital Asset Pricing Model (ICAPM
相關次數:
  • 被引用被引用:0
  • 點閱點閱:416
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
隨著投資的全球化與投資組合的風險管理需要,投資人不再僅僅關心單一市場之波動風險,市場間彼此的相關性更是一個重要的考慮因素,因此本文採用Engle(2002)所提出之動態條件相關模型(DCC模型)並加入不對稱效果,作為國際資本資產訂價模型的實證模型,探討美國、日本、德國及英國四國股市與世界市場間的動態條件相關性與波動程度,並進一步利用所估出之條件相關係數去觀察各國投資人實行國際多角化所獲得之利益大小。本文實證結果顯示,國家與世界之間的動態條件相關係數顯著受到前一期的動態條件相關係數所影響,表示國家與世界間的動態相關係數具有高度持續性與高度正向關係;在國際多角化利益方面,四國之投資人均擁有顯著國際多角化利益,但當中以美國之多角化利益最低,主要由於其與世界市場之間的動態相關係數最高所導致。
In this paper, we test the conditional Capital Asset Pricing Model (CAPM) applying the Dynamic Conditional Correlation Multivariate GARCH (DCC MV-GARCH) model which is proposed by Engle (2002). Our purpose is to investigate the conditional correlation between countries (US, Japan, Germany, UK) and the World market and use the estimated conditional correlation to analyze the benefits from the international portfolio diversification.
Our empirical evidence shows that dynamic conditional correlation is significant influenced by the lagged dynamic conditional correlation, which means that there is a high persistent and high positive relation in the conditional correlation between countries and the world market. Moreover, we find that investors from all countries could expect statistically significant benefits from international diversification which is mainly resulted from low conditional correlation, but that benefits are larger for Germany and UK investors than for US and Japanese investors.
目錄
摘要……………………………………………………………………………... i
英文摘要………………………………………………………..………………. ii
誌謝………………..……………………………………...…………………….. iii
目錄……………...……………………………………...………………………. iv
表目錄……………...…………………………………………………................ v
圖目錄……………...……………………………………...……………………. vi
第壹章 緒論……...……………………………………...……………………. 1
第一節 研究背景與動機…………………………...……………................ 1
第二節 研究方法與目的…………………………………………………... 3
第三節 研究架構……………………...…………........................................ 4
第貳章 文獻探討……………………...…………............................................ 6
第一節 國際多角化利益之相關文獻..…………......................................... 6
第二節 資本資產訂價模型(CAPM)相關文獻..…….................................... 10
第三節 實證模型(DCC模型)之相關文獻...…………................................. 15
第叁章 研究方法…………............................................................................... 19
第一節 相關檢定........................................................................................... 19
第二節 國際資本資產訂價模型(ICAPM)與國際多角化利益.................... 22
第三節 實證模型........................................................................................... 25
第四節 單變量GARCH-M模型................................................................... 27
第五節 動態條件相關係數(DCC)-GARCH-M模型................................. 29
第六節 概似比檢定(LR test) ........................................................................ 33
第肆章 實證結果與分析................................................................................... 34
第一節 資料來源及資料處理方式............................................................... 34
第二節 敘述統計及相關檢定....................................................................... 36
第三節 實證結果與分析............................................................................... 41
第四節 資產訂價檢定................................................................................... 55
第伍章 結論與建議........................................................................................... 57
第一節 結論................................................................................................... 57
第二節 後續研究建議................................................................................... 59
參考文獻............................................................................................................... 60


表目錄
表 4-1 股市超額報酬率之敘述統計................................................................ 36
表 4-2 各國股市超額報酬率之相關係數矩陣................................................ 37
表 4-3 無風險利率之敘述統計........................................................................ 38
表 4-4 資訊變數之敘述統計............................................................................ 38
表 4-5 資訊變數之相關係數矩陣.................................................................... 39
表 4-6 股市超額報酬率之ADF單根檢定....................................................... 39
表 4-7 LM統計量(標準化殘差平方檢定) ...................................................... 40
表 4-8 單變量GARCH-M(1,1)模型.................................................................. 43
表 4-9 DCC GARCH-M(1,1)模型...................................................................... 46
表 4-10 各國 值、相關係數與多角化利益之平均數....................................
50
表 4-11 資產訂價檢定........................................................................................ 71
圖目錄
圖 1-1 研究流程圖............................................................................................ 5
圖 4-1 美國股價報酬趨勢圖............................................................................ 35
圖 4-2 日本股價報酬趨勢圖............................................................................ 35
圖 4-3 德國股價報酬趨勢圖............................................................................ 35
圖 4-4 英國股價報酬趨勢圖............................................................................ 35
圖 4-5 世界股價報酬趨勢圖............................................................................ 35
圖 4-6 美國與世界市場之條件 值...............................................................
51
圖 4-7 美國與世界市場之條件相關係數........................................................ 51
圖 4-8 美國投資人之預期多角化利益............................................................ 51
圖 4-9 日本與世界市場之條件 值...............................................................
52
圖 4-10 日本與世界市場之條件相關係數........................................................ 52
圖 4-11 日本投資人之預期多角化利益............................................................ 52
圖 4-12 德國與世界市場之條件 值...............................................................
53
圖 4-13 德國與世界市場之條件相關係數........................................................ 53
圖 4-14 德國投資人之預期多角化利益............................................................ 53
圖 4-15 英國與世界市場之條件 值...............................................................
54
圖 4-16 英國與世界市場之條件相關係數........................................................ 54
圖 4-17 英國投資人之預期多角化利益............................................................ 54
一、中文部份
方文碩、張倉耀、賴奕豪(2007),「實質匯率變動與出口收益:亞洲證據」Journal of Economics and Management, Vol. 3, No. 1, 67-96
吳清豐(2006),「東亞各國家地區股市價量關係之研究」,國立雲林科技大學管理研究所博士論文
張維敉(2002),「金融危機與風險外溢-DCC 模型之應用」,國立中央大學財務金融研究所碩士論文
郭憲鍾(2004),「國際股市之動態關連」,暨南國際大學國際企業研究所碩士論文
葉宗穎(1999),「國際資本資產訂價模型:多變量FIGARCH-in-Mean模型的應用」,國立台灣大學經濟學研究所碩士論文
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」,暨南國際大學經濟研究所碩士論文

二、英文部份
Black, F. (1972) Capital market equilibrium with restricted borrowing, Journal of Business, 45, 444-455.
Bollerslev, T., Engle, R. F. and Wooldredge, J. M. (1988) A Capital Asset Pricing Model with Time-varying Covariances, Journal of Political Economy, 96, 116-131.
Bollerslev, T. and Engle, R. F. (1993) Common Persistence in Conditional Variances, Econometrica, 61, 167-186.
Bekaert, G. and Harvey, C.R. (1995a) Emerging equity market volatility. Working paper, NBER no.5307.

Bekaert, G. and Harvey, C.R. (1995b) Time-varying world market integration, Journal of Finance, 50, 403-444.
Beckers, Stan, Connor, Gragory, Curds, and Ross (1996) National versus global influences on equity returns, Financial Analysts Journal, 31-39.
Baca, S. P., Garbe, B. L. and Weiss, R. A. (2000) The rise of sector effects in major equity markets, Financial Analysts Journal, 35-40.
Battle, C. and Barquin, J. (2004) Fuel Prices Scenario Generation Based on a Multivariate GARCH Model for Risk Analysis in a Wholesale Electricity Market, International Journal of Electrical Power and Energy Systems, 26, 273-280.
Claessens, S. (1995) The emergence of equity investment in developing countries : overview, World Bank Economic Review, 9, 1-17.
Cavaglia, S., Brightman, C. and Aked, M. (2000) The increasing importance of industry factors, Financial Analysts Journal, 56, 41-54.
Chelley-Steeley, P. L. (2000) Exchange control and transmission of equity market volatility: The case of the U.K. Applied Financial Economics, 10, 317-322.
Campa, J. M. and Fernandes, N. (2006) Sources of gains from international portfolio diversification, Journal of Empirical Finance, 13, 417-443.
Cuaresma, J. C. and Wojcik, C. (2006) Measuring Monetary Independence: Evidence from a Group of New EU Member Countries, Journal of Comparative Economics, 34, 24-43.
Chuang, I. Y., Lu, J. R. and Chen, C. F. (2006) Estimating the Systematic Risk of Airlines: A Methodological Comparison, Journal of Air Transport Management, 12, 103-105.
Douglas, G. W. (1969) Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency, Yale Economic Essays, 9, 3–45 Dumas, B. and Solnik, B. (1995) The world price of foreign exchange risk, Journal of Finance, 50, 445-479.
De Santis, G. and Gérard, B. (1997) International Asset Pricing and Portfolio Diversification with Time-Varying Risk, Journal of Finance, 52, 1881-1912.
De Santis, G. and Imrohoroglu, S. (1997) Stock returns and volatility in emerging financial markets, Journal of International Money and Finance, 16, 561-579.
De Santis, G. and Gérard, B. (1998) How Big is the Premium for Currency Risk, Journal of Financial Economics, 49, 375-412.
Diermeier, J. and Solnik, B. (2001) Global pricing of equity, Financial Analysts Journal, 56, 37-47.
Dimson, E., Marsh, P. and Staunton, M. (2002) Triumph of the Optimists: 101 Years of Global Investment Return, Princeton University Press.
Engle, R. F., Lilien, D. M. and Robins, R. P. (1987) Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica , 55, 391-407.
Errunza et al. (1999) Have the gains from international diversification disappeared?, Journal of Finance, 54, 2075-2107.
Ferson, W.E. and Harvey, C.R. (1994) Sources of risk and expected returns in global equity markets, Journal of Banking and Finance, 18, 775-803.
Fletcher, J. and Marshall, A. (2005) An empirical examination of the benefits of international diversification, Journal of International Financial Markets, Institutions and Money, 15, 455-468.
Ferreira, Miguel, Gama and Paulo (2005) Have World, Country and Industry Risk Changed Over Time? An Investigation of the Developed Stock Markets Volatility, Journal of Financial and Quantitative Analysis, 40(1), 195-222.
Grubel, H. (1968) Internationally diversified portfolios: welfare gains and capital flows, American Economic Review, 58, 1299-1314.
Griffin, J. M. and Karolyi, A. G. (1998) Another look at the role of industrial structure of market for international diversification strategies, Journal of Financial Economics, 50, 351-373.
Gérard, B., Thanyalakpark, K. and Batten, J. A. (2003) Are the East Asian markets integrated? Journal of Economics and Business, 55, 585-607.
Gökçe A. Soydemir (2005) Differences in the price of risk and the resulting response to shocks: an analysis of Asian markets, Journal of International Financial Markets, Institutions and Money, 15, 285-313
Heston, S. L. and Rouwenhorst, G. K. (1994) Does industrial structure explain the benefits of international diversification? Journal of Financial Economics, 36, 3-27.
Hanssan, B. and H¨ordahl, P. (1998) Testing the Conditional CAPM Using Multivariate GARCH-M, Applied Financial Economics , 8, 377-388.
Hentschel, L. and Long, J. (2004) Numeraire portfolio measures of the size and source of gains from international diversification, Working Paper, University of Rochester.
Jana Y. C., Choub S. R. and Hung M.W. (2000) Pacific Basin stock markets and international capital asset pricing, Global Finance Journal, 11, 1-16.
Kroner, K. F. and Lastrapes,W. D. (1993) The Impact of Exchange Rate Volatility on International Trade : Reduced Form Estimates Using the GARCH-in-Mean Model, Journal of International Money and Finance , 12 ,298-318.
Kandel, S., McCulloch, R. and Stambaugh, R. (1995) Bayesian inference and portfolio efficiency, Review of Financial Studies, 8, 1-53.
Kim, S. J., Moshirian, F. and Wu, E. (2005) Dynamic Stock Market Integration Driven by the European Monetary Union: An Empirical Analysis, Journal of Banking and Finance, 29, 2475-2502.
Kim, S. J., Moshirian, F. and Wu, E. (2006) Evolution of International Stock and Bond Market Integration: Influence of the European Monetary Union, Journal of Banking and Finance, 30, 1507-1534.
Lintner, J. (1965) Security Prices and Risk: The Theory and Comparative Analysis of A.T.&T. and Leading Industrials, presented at the Conference on The Economics of Regulated Public Utilities at the University of Chicago Business School.
Levy, H. and Sarnat, M. (1970) International diversification in investment portfolios, American Economic Review, 60, 668-675.
Lessard, D. R. (1974) World, national and industry factors in equity returns, Journal of Finance, 29, 379-391.
Lehmann, B. N. (1990) Residual Risk Revisited, Journal of Econometrics, 45, 71-97
Liu, Y. A., Pan, M. S., Chan, K. C., and Shieh, J. C. P. (1993) International transmission of stock market movements: Evidence on the U.S. and five Asian stock markets, Journal of Economics and Finance, 22(1), 59-69.
Longin, F. and Solnik, B. (1995) Is Correlation in International Equity Returns Constant : 1960-1990?, Journal of International Money and Finance, 3-26.
Li, K., Sarkar, A. and Wang, Z. (2003) Diversification benefits of emerging markets subject to portfolio constraints, Journal of Empirical Finance, 10, 57-80.
Lee, J. (2006) The Comovement between Output and Prices: Evidence from a Dynamic Conditional Correlation GARCH Model, Economics Letters, 91, 110-116.
Malkiel, B. G. and Xu, Y. (1997) Risk and Return Revisited, Journal of Portfolio
Management, 23, 9-14.
Ng, L. (1991) Tests of the CAPM with Time-Varying Covariances : A Multivariate GARCH Approach, Journal of Finance, 4 , 1507-1521.

Nilsson, B.(2002) International Asset Pricing and the Benefits from World Market Diversification, Working Papers, Department of Economics, Lund University.
Ng, D. T. (2004) The international CAPM when expected returns are time-varying, Journal of International Money and Finance, 23, 189-230.
Phylaktisa, K. and Ravazzolob, F. (2004) Currency risk in emerging equity markets, Emerging Markets Review, 5, 317-339.
Reilly, F. K. and Akhtar, R. A. (1995) The benchmark error problem with global capital markets, Journal of Portfolio Management, 21, 33-52.
Solnik, B. H. (1991) International investments (2nd ed.) Reading: Addison-Wesley.
Su, Y. C. and Tsai, J.S. (1996) The dynamic spillovers among Asian emerging markets, Review of Securities and Futures Markets, 8(1), 67-86.
Serra, A. P. (2000) Country and industry factors in returns: evidence from emerging markets'' stocks, Emerging Markets Review, 1, 127-151.
Shohreh, V. (2004) Optimal dynamic hedging and conditional correlations: moment linkages in the international equity and currency markets, Financial Management Association International, FMA European Conference.
Turtle, H., Buse, A. and Korkie, B. (1994) Tests of Conditional Asset Pricing with Time-Varying Moments and Risk Prices, Journal of Financial and Quantitative Analysis , 29, 1, 15-29.
Wang, Z. (1998) Efficiency loss and constraints on portfolio holdings, Journal of Financial Economics, 48, 359-375.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top