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研究生:阮孟雄
研究生(外文):NGUYEN MANH HUNG
論文名稱:主權風險與股票報酬-以台灣股票市場為例
論文名稱(外文):SOVEREIGN RISK AND STOCK RETURN: EVIDENCE FROM TAIWAN STOCK MARKET
指導教授:林 淑 瑛
指導教授(外文):Shu-Ying Lin
口試委員:陳佳信謝佩芳
口試委員(外文):Chia-Hsin Chen
口試日期:2015-01-15
學位類別:碩士
校院名稱:明新科技大學
系所名稱:管理研究所碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:英文
論文頁數:43
中文關鍵詞:41
外文關鍵詞:Sovereign risk, Credit Swap Defaults, Fama-French three-factor model, European Sovereign debt crisis
相關次數:
  • 被引用被引用:0
  • 點閱點閱:141
  • 評分評分:
  • 下載下載:23
  • 收藏至我的研究室書目清單書目收藏:0
The recent financial crises also were derived from sovereign debt such as European sovereign debt crisis was from 2009 that made the Great depreciation for all countries in European area and spread to any countries, have closer link with European contries such as some Asian emerging countries, American Latin.... As experiences of previous research, financial crisis has partly or fully effect to the liquidity of emerging market under checking relationship between trading value (volume) with proxy of CDS index of PIIGS+3 this study find negative relationship, so this inference can effect to the stock market. Conducting research in Taiwan Stock Exchange to use opening Fama-French three-factor model to check, this study find the new perspective of opening Fama-French three factor is to add sovereign risk to structure the stock return within traditional risk.
Abstract
Table of Contents
CHAPTER 1: INTRODUCTION 1
CHAPTER 2: LITERATURE RIVIEW 5
2.1 Fama-French three-factor model and the advantages: 5
2.2 Sovereign Risk and European sovereign debt crisis and the effect of financial crisis on liquidity of stock market: 7
CHAPTER 3: METHODOLOGY 11
3.1 Hypothesis: 11
3.2 Data: 12
3.3 Methodology: 12
3.3.1 Fama-French three-factor model: 12
3.3.2 The relationship between liquidity of individual company with CDS factor: 13
3.3.3 The adding Fama-French three-factor model: 14
CHAPTER 4: EMPIRICAL RESULTS 27
4.1 The Fama-French Three-Factor Model: 27
4.2 The Relationship between trading value, volume with CDS factors: 29
4.3 The Four-Factor Model: 32
4.4 Comparing four factors inside three-factor model: 35
CHAPTER 5: CONCLUSION 39
Reference: 41


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