| 摘要: | 風險與報酬一直是投資者關心的問題，本文以單因子模型與三因子模型計算出股票報酬，藉由迴歸分析探討亞洲股市(日本、台灣、南韓、香港、泰國、新加坡)可分散風險與報酬之間的關係。研究時間由2000年1月1日至2010年6月30日，由於研究期間包含金融海嘯，因此探討金融海嘯後可分散風險和系統風險是否有所改變。研究結果發現： 一、在GSC模型（Goyal and Santa-Clara 2003）的估計結果下，在均等加權與小規模公司之可分散風險除了新加坡有正相關外，其餘國家之各個可分散風險皆為負相關。而在單因子模型的估計結果，在台灣的小規模公司之可分散風險與新加坡之均等加權與小規模公司之可分散風險為正相關外，其餘之各個可分散風險皆為負相關。最後在三因子模型的估計結果發現，在香港的小規模公司之可分散風險與新加坡之均等加權、小規模公司、系統風險與高低市值帳面為正相關外，其餘之各個可分散風險皆為負相關。 二、在金融海嘯期間：GSC模型（Goyal and Santa-Clara 2003）的估計結果，日本與新加坡對於小規模公司的可分散風險來看有著正向的顯著性，而對於大規模公司的可分散風險則有負向的顯著性。在單因子模型下估計結果，日本、香港與新加坡受到大小規模公司的可分散風險有顯著性。在三因子模型下估計結果，日本與新加坡對於小規模公司的可分散風險有著正向的顯著性，而對於大規模公司的可分散風險則有負向的顯著性。
Risk and return has been a concern of investors, the paper examines a single factor model and three factor model to calculate stock returns by regression analysis of Asian stock markets (Japan, Taiwan, South Korea, Hong Kong, Thailand ,Singapore) between idiosyncratic volatility and equity returns relationship. From January 1, 2000 to June 30, 2010, the addition of dummy variables study idiosyncratic volatility and systemic risk change. The results: In the GSC（Goyal and Santa-Clara 2003） model of the estimates, in the equal-weighted and market value of small to idiosyncratic volatility in addition a positive significant in Singapore, other countries have negative correlation to idiosyncratic volatility. In the capital asset pricing model estimates, Taiwan’s small market value of small to risk diversification and Singapore’s equal-weighted and small market value of idiosyncratic volatility is positively related, the other of idiosyncratic volatility is negative related. Finally, the estimated three-factor model found that a small market capitalization in Hong Kong and equal weighting, small market value, systematic risk, high and low book value in Singapore are positively related, the other of the idiosyncratic volatility are negatively correlated. During the financial tsunami: In the GSC（Goyal and Santa-Clara 2003） model of the estimates results, Japan and Singapore for the small market value idiosyncratic volatility has a significant positive, while for large market value of idiosyncratic volatility be a significant negative. In the capital asset pricing model estimation results, Japan, Hong Kong and Singapore can be idiosyncratic volatility by the size of the market value have significant effects. In the three-factor model estimation results, Japan and Singapore for the small market value idiosyncratic volatility has a positive significant, and for idiosyncratic volatility can be a large market value are significant negative. |
