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研究生:蔣智安
研究生(外文):Chih-an Chiang
論文名稱:國際風險因子對新興市場股票價格的衝擊:以潛在因子模型為例
論文名稱(外文):Impacts of Global Risk Factors on Stock Prices of Emerging Markets: Evidence from the latent factor model
指導教授:何宗武何宗武引用關係
指導教授(外文):Tsung-wu Ho
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:2009
畢業學年度:97
語文別:英文
論文頁數:57
中文關鍵詞:國際風險因子潛在因子模型資產定價新興市場
外文關鍵詞:Global risk factorLatent factor modelAsset pricingEmerging Market
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本文旨在討論國際風險因子對於新興市場資產報酬率的影響。根據Harvey (1995) and Aggarwal et al. (1999):在以往,新興市場被認為是一個與世界分割的市場,而本土性的風險因子對於新興市場資產報酬率之影響,較國際風險因子來的深。然而隨著國際貿易逐漸的開放,各國之間的貿易活動日趨頻繁,各國之間的相互影響性也越來越高,國際風險因子在資產定價模型裡面也越來越重要。根據Pavlova and Rigobon (2007)所建立的兩國兩貨物的資產定價模型,我們可以得知總體變數會受到外部風險因子所影響(亦即國際風險因子)。本文引用此外部風險因子(亦即國際風險因子),與探討國際風險因子是否影響新興市場的股票報酬率。本文考慮以下兩種管道:一、國際風險因子對於新興市場的股票報酬率有直接的影響,二、國際風險因子藉由波動性的傳遞來影響新興市場報酬率。實證結果發現,在樣本內的所有新興市場國家,其股票報酬率都會受到國際風險因子所影響。無論是直接或是間接的影響,其結果均相當顯著,因此國際風險因子著實影響到新興市場的股票報酬率。而本文實證結果也發現,壞的資訊對於新興市場的資產報酬影響,其效果較好的資訊來的大。因此本文主要目的,在於說明新興市場的股票報酬率會受到國際風險因子的影響,進而,當我們對於新興市場的資產做評價時,因該要考量國際風險因子的影響。
There are lots of new markets of security emerged around the world and the correlations of these equity prices with developed countries’ returns are quite low at the beginning. In the past, emerging markets have been known as segment markets, and local risk factors are more important than global risk factors; for instance, Harvey (1995) and Aggarwal et al. (1999). Standard global asset pricing models assume complete integration of capital markets, but it does not work in emerging financial markets, as demonstrated by Harvey (1995). The influence on asset pricing of emerging financial markets is mostly from domestic risk factors rather than global risk factors. As time goes by, however, the global risk factors are playing more and more substantial roles in the asset pricing of emerging financial markets, thus we cannot ignore the impact of global risk factors to these equity returns of emerging financial markets. Pavlova and Rigobon (2007) develop a two-country, two-good asset pricing model which the exchange rate plays an important role because of terms of trade. They introduce demand shocks and terms of trade into an asset pricing model, and point out that the macro-variable is affected by the external shocks. Further, this research aims at the effects of external shocks on the asset pricing of emerging financial markets. The equity returns of emerging countries are not only affected by local risk factors but also by global risk factors. The propose of this paper is to reevaluate the asset prices of emerging financial markets and examine the external shocks (global risk factors) actually affect the equity returns of emerging countries.
1. INTRODUCTION 1
1.1. MOTIVATION 1
1.2. MACRO-ECONOMY DISCUSSION 4
2. LITERATURE 6
2.1 ASSET PRICING MODEL 6
2.2 TIME-VARYING VOLATILITY 9
3. METHODOLOGY 11
3.1 THE ECONOMIC SETTING 12
3.2 CHARACTERIZATION OF WORLD EQUILIBRIUM 13
3.3 LATENT FACTOR MODEL AND DEMAND SHOCKS 17
4. DATA 19
5. EMPIRICAL RESULTS 22
5.1 IMPACTS TO ASSET PRICES BY GLOBAL RISK FACTORS IN DIRECTION 23
5.2 IMPACTS TO ASSET PRICES BY GLOBAL RISK FACTORS TRANSPORTED BY VOLATILITY 27
6. CONCLUSION 32
REFERENCE 34
APPENDIX 37
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