南華大學機構典藏系統:Item 987654321/17599
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 18278/19583 (93%)
Visitors : 969111      Online Users : 549
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/17599


    Title: 價值型、成長型、大公司、小公司之隨時間變動系統風險：全球股市證據之驗證
    Other Titles: Time variation in systematic risk for value, growth, big and small stocks: Evidence from global stock markets
    Authors: 劉昱君
    Liou, Yu-jyun
    Contributors: 財務金融學系財務管理碩士班
    廖永熙
    Yung-shi Liau
    Keywords: 帳面市值比;系統風險;DCC-TGARCH模型;規模效應;金融危機
    Size effect;Systematic risk;DCC-TGARCH model;Book/market ratio;Financial crisis
    Date: 2013
    Issue Date: 2015-01-05 10:56:06 (UTC+8)
    Abstract: 　　本文使用雙變量DCC-TGARCH模型探討七大工業國(G7)與非七大工業國(非G7)的價值型投資組合、成長型投資組合、大公司、小公司隨時間變動的系統風險及這些投資組合對大盤指數報酬是否存在抗跌性。研究時間由1993年1月1日至2010年12月31日，並以亞洲金融風暴、網路泡沫化、金融海嘯三個危機點加入探討。研究結果發現，G7與非G7國家的價值型投資組合、成長型投資組合、大公司、小公司皆存在波動不對稱現象。再者，在G7國家中顯示成長型投資組合較價值型投資組合具有抗跌性，而小公司較大公司具有抗跌性；非G7國家方面則是價值型投資組合較成長型投資組合具有抗跌性，而小公司較大公司具有抗跌性。最後，當金融危機發生時，在G7國家中僅有日本的成長型投資組合與小公司具有抗跌性；非G7方面，僅有馬來西亞的價值型投資組合與小公司、台灣的價值型投資組合、香港的價值型投資組合及大公司、泰國的大公司具有抗跌性。
    　　This study uses DCC-GARCH model to examine time variation in systematic risk and defensive characteristics for value, growth, big and small portfolios in G7 and in non-G7stock markets. The study period is from January 1, 1993 to December 31, 2010. Moreover, this study focuses on the impact of Asian financial crisis, the Internet bubble and the financial tsunami to explore systematic risk and defensive characteristics. The result indicates that value, growth, big and small portfolios exist asymmetric volatility. The growth portfolio has more defensive than value portfolio and small portfolio has more defensive than big portfolio in G7 and in non-G7stock markets. Finally, growth and small portfolios in Japan have defensive characteristics in G7 stock markets when the financial crisis happened. As for non-G7 stock markets, only value and small portfolios in Malaysia, value portfolios in Taiwan, value and large portfolios in Hong Kong and big portfolios in Thailand have defensive characteristics.
    Appears in Collections:[Department of Finance, The M.A. Program of  Financial Management] Disserations and Theses

    Files in This Item:

    File Description SizeFormat
    101NHU05304016-001.pdf1044KbAdobe PDF200View/Open
    index.html0KbHTML325View/Open


    All items in NHUIR are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback