本文使用DCC-TGARCH模型探討亞洲八國家之贏家與輸家隨時間變動的系統風險，以及贏家與輸家的反轉報酬。研究時間為1993年1月至2010年12月，並將亞洲金融風暴、網路泡沫化、金融海嘯三個危機點加入探討贏家與輸家是否受到金融危機影響。研究結果顯示亞洲八國家皆存在波動不對稱現象。再者，亞洲八國家之贏家與輸家的系統風險會隨時間變動，且贏家與輸家也有系統不對稱。最後，當金融危機發生時，輸家投資組合較贏家投資組合有大的波動。 This study uses DCC-TGARCH model to examine time variation in systematic risk and contrarian strategy for winner and loser portfolios in eight Asian stock markets. The study period is from January, 1993 to December, 2010. Moreover, this study focuses on the impact of Asian financial crisis, Internet bubble and financial tsunami to explore systematic risk. The results show that winner and loser portfolios exist asymmetric volatility in eight Asian stock markets. Time-varying systematic risk and asymmetric volatility are found for winner and loser portfolios in Asian stock markets. Finally, when the financial crisis happened, the loser portfolio volatility is larger than the winner portfolio.
