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題名:臺灣股票市場之動態系統風險研究
書刊名:經濟研究. 臺北大學經濟學系
作者:黃柏農 引用關係鄭素姻 引用關係侯翰王祝三 引用關係
作者(外文):Huang, Bwo-nungCheng, Su-yinHou, HanWang, Edward Chu-san
出版日期:2009
卷期:45:2
頁次:頁237-272
主題關鍵詞:資本資產定價模型系統風險門檻模型條件CAPMCapital asset pricing modelSystematic riskThreshold modelConditional CAPM
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:66
  • 點閱點閱:38
本文之主要目的在於探討灣股市是否存在門檻CAPM (threshold capital asset pricing model, threshold CAPM) 之非線性動態系統風險,以及何種經濟變數造成系統風險呈非線性改變。實證結果顯示,我國股市確實存在非線性動態系統風險,其中,無風險利率、生產者物價指數成長率及石油價格變動率是造成系統風險呈非線性變動的重要經濟變數。此外,相較於線性及條件CAPM,其中包含卡爾曼濾嘴 (Kalman Filter) 及多變量GARCH模型 (Multivariate-GARCH),門檻CAPM較能充分解釋時間序列股票報酬,且其具有較強之預測能力,隱含門檻CAPM模型爲解釋臺灣股票報酬之較佳資產定價模型。
The purpose of this study is to test whether, as implied by the threshold CAPM, nonlinear dynamic beta exists in Taiwan and which economic variables lead to beta changes. The evidence confirms this implication and shows that risk free interest rate, producer price index growth rate, and oil growth rate are the three most important determinants for beta shifts. Finally, compare to linear and conditional CAPM (Kalman Filter and Multivariate-GARCH), we find that the threshold CAPM can sufficiently explain time-series variation of stock returns and has better predicting power. Therefore, the nonlinear dynamic beta model is the more powerful asset pricing model for the Taiwan stock market.
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其他
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