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系統識別號 U0002-0606200711313800
中文論文名稱 台灣上市公司股票報酬波動性之探討
英文論文名稱 The Investigation on The Volatility of Stock Returns in Taiwan Stock Market
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 林瑋娟
研究生英文姓名 Wei-Chuan Lin
學號 694490441
學位類別 碩士
語文別 中文
口試日期 2007-05-27
論文頁數 62頁
口試委員 指導教授-林允永
共同指導教授-邱忠榮
委員-謝文良
委員-李進生
委員-林忠機
中文關鍵字 三因子模型  公司規模  淨值市價比  獨特性風險 
英文關鍵字 GARCH(1,1)  Fama & French three-factor model  Beta  market value  book-to-market value  Idiosyncratic Volatility  Panel data 
學科別分類 學科別社會科學商學
中文摘要 本研究以GARCH(1,1)估計股票報酬波動,並將”個別風險佔市場風險比率”加入Farm & Franch三因子模型作為第四因子。探討Beta、公司規模、淨值市價比及新加入的個別風險佔市場風險比率因子與股票報酬之關係。並且,本研究依獨特性風險(Idiosyncratic Volatility)將樣本資料由小到大分為5個投資組合,觀察是否在不同獨特性風險下,各因子對報酬解釋能力有不同的改變。
本研究以panel data模型進行分析研究,實證結果得到:
1. 由三因子模型觀察,Beta與淨值市價比對股票報酬為顯著負相關,公司規模為顯著正相關。
2. 由四因子模型觀察,新加入第四因子-個別風險佔市場風險比
率,與報酬呈顯著正相關,Beta與淨值市價比對股票報酬為顯著負相關,公司規模為顯著正相關。
3. 依獨特性風險分類後觀察四因子模型,Beta與淨值市價比在所有投資組合下,對股票報酬皆為顯著負相關;公司規模僅於最小及最大獨特性風險(portfolio 1、portfolio 5)時顯著正相關,其餘則不顯著;個別風險佔市場風險比率因子在最小獨特性風險下時,對報酬關係顯著負相關,在portfolio 2時對報酬沒有顯著解釋能力,而在portfolio 3 ~ portfolio 5則為顯著正相關。
英文摘要 In this study, we estimate the volatility of return by GARCH(1,1). We use the ratio of the volatility of each stock return to TAIEX proxy for aggregate volatility risk, and we add Fama & French three-factor model as the fourth risk factor-ratio. Here we are going to discuss the relationship among these four risk factors (Beta, ln(ME), BE/ME, ratio) and the stock return. And, we sort stocks based on idiosyncratic volatility into 5 portfolios. Portfolio 1(5) is the portfolio of stocks with the lowest (highest) idiosyncratic volatility. We want to know if these four factors are still significant in explaining stock returns in different portfolios.
We analyze our empirical data with Panel data model. The empirical results show that:
1. From the three factors model: We find there is negative relation between Beta(or BE/ME) and stock return and positive relation between market value and stock return.
2. From the four factors model: We find there is negative relation between Beta(or BE/ME)and stock return and positive relation between market value(or ratio)and stock return.
3. After sort stocks based on idiosyncratic volatility into 5 portfolios. We find there is also negative relation between Beta(or BE/ME)in all portfolios but market value is only significant in the portfolio 1 and portfolio 5. The fourth risk factor-ratio is negative relation to return in the portfolio 1 and positive in portfolio 3,4 and 5. But the factor-ratio has no significant explanation power of return in portfolio 2.
論文目次 目 錄
第一章 緒論...............................................1
第一節 研究背景與動機.....................................1
第二節 研究目的......................................2
第三節 研究流程......................................3
第四節 研究架構......................................4
第二章 文獻回顧...........................................5
第一節 風險因子相關文獻探討..........................5
第二節 股票報酬波動相關文獻探討.....................14
第三章 研究方法..........................................20
第一節 Panel data模型...............................20
第二節 GARCH模型....................................30
第三節 獨特性風險之估計..................................34
第四章 實證結果..........................................36
第一節 資料來源與變數定義...........................36
第二節 Panel data模型分析...........................39
第五章 結論與建議........................................51
第一節 研究結論.....................................51
第二節 研究限制.....................................53
第三節 建議.........................................54
參考文獻.................................................55
附錄: portfolio 1~ portfolio 5之成分股...................58

表次
【表一】三因子-Hausman Test.............................41
【表二】三因子- F Test..................................41
【表三】三因子-Panel data模型...........................41
【表四】因子間相關係數...................................42
【表五】四因子-Hausman Test.............................43
【表六】四因子- F Test..................................43
【表七】四因子-Panel data模型...........................43
【表八】各投資組合之Hausman Test及F Test.................47
【表九】各投資組合之Panel data分析.......................49
【表十】各投資組合之敘述統計.............................50

參考文獻 英文部分

Ang, A. , R. J. Hodrick, Y. Xing and X. Zhang,(2006),“The Cross-Section of Volatility and Expected Returns”,The Journal of Finance. VOL.LXI.NO.1

Ali A., Hwang L., Trombley M., (2003)“Arbitrage risks and the book-to-market anomaly”, Journal of Financial Economics 69 , 355-373

Banz, R. W., “The relationship between return and market value of common stocks,” Journal of Financial Economics, 9, pp3-18.

Basu, Sanjoy, (1983), “The realationship between earnings yield, market value and return or NYSE common stocks:Further evidence”, Journal of Financial Economics 12,pp 129-156.

Bollerslev, T. (1987),“A conditional heteroscedastic time series model for Speculative prices and rates of returns,"Review of Economics and Statistics, 69,542-547.

Bollerslev, T., and Engle, R. F. (1986),“Modeling the persistence of conditional variance,"Econometric Review, 5, 1-50.

Chiang, Kevin C.H., and Ashley W.P. Kung, (2003), Idiosyncratic Risk and Returns in International Equity Markets. unpublished manuscript, University of Alaska Fairbanks.

Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, (2001),Have Individual Stocks Become more Volatile? An Empirical Exploration of Idiosyncratic Risk, Journal of Finance, 56:1-43.

Chan,K.,C.,Nai-fu chen,(1991),Structural and return characteristics of small and large firms,Journal of Finance 46,1467-14

Dempsey, M., M. E. Drew, and M. Veeraraghavan, (2003), Idiosyncratic Risk and Australian Equity Returns. unpublished manuscript, Griffith University.

Durnev, A., R. Morck, B. Yeung, and P. Zarowin, (2002), Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Trading?unpublished manuscript, New York University.

Fama , Eugene F. , and Kenneth R. French , (1992) ”The Cross-Section of Expected Stock Returns” The Journal of Finance , vol.47 , No.2 , p427-465.

Fama , Eugene F. , and Kenneth R. French , Mar., (1996)" Multifactor Explanations of Asset Pricing Anomalies”The Journal of Finance , vol.51 , No.1 , p55-84.

French, K. R., Schwert, G. W., and Stambaugh, R. (1987),“Expected stock return and volatility,"Journal of Financial Economics, 19, 3-29

Hamao, Y., J. Mei, and Y. Xu, (2002), Idiosyncratic Risk and Creative Destruction in Japan. unpublished manuscript, New York University.

Malkiel, Burton G., and Yexiao Xu, (2002), Idiosyncratic risk and security returns,Working paper,University of Texas at Dallas.

Malkiel, Burton G. and Yexiao Xu, (2003), Investigating the Behavior of Idiosyncratic Volatility, Journal of Business,76:613-644.

Reinganum, M. R., (1981), “ Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values,” Journal of Financial Economics, 9, pp 19-46.

Rosenberg, Barr,Kenneth Reid, and Ronald Lanstein,(1985),"Persuasive evidence of market inefficiency",Journal of Portfolio Management 11,9-17.

Shleifer, Andrei, and Robert W. Vishny, (1997), The Limits of Arbitrage,Journal of Finance, 52:35–55.

Tinic, Seha M., and Richard R. West, (1986), Risk,return and equilibrium: A revisit,Journal of Political Economy 94, 126–147.


中文部份

林天中(民87),「台灣股票市場三因子:系統風險、公司規模及淨值市價比實證研究」,國立清華大學經濟研所碩士論文。

林德華和王珄(民84),「台灣股市成交量對股價波動的影響1986-1994 GARCH修正 模型之應用」,台北市銀行月刊,第十九卷第七期,頁50-48

李春旺(民78),「股價行為與規模效應:台灣股票市場實證研究」,國立政治大學企業管理研究所博士論文。

李命志、林苑宜 (2000),「臺灣股市規模效應與淨值市價比效應實證研究」,台灣經濟金融月刊,(9月),頁88 -98。

陳嘉惠(民86),「台灣股票報酬率決定性因素」,國立成功大學碩士論文。

郭明鍚(民78),「套利理論應用於規模效應之研究─台灣地區股票上市公司實證」,國立台灣大學商學研究所碩士論文。

張尊悌(民85),「具它、公司規模及淨值市價比三因子評價模型之研究:以台灣股市為例」,國立清華大學經濟研究所碩士論文。

劉亞秋、黃理哲和劉維琪(民85),「國內股市系統風險之探討」,證券發展季刑,第八卷第一期。
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