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題名 | 條件限制下的貝他係數與股價指數報酬的關係--以亞洲市場為例=The Relationships between Conditional Stock Market Beta Coefficient and Stock Index Return--A Study of Asian Countries |
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作 者 | 何亮君; | 書刊名 | 修平學報 |
卷期 | 21 2010.09[民99.09] |
頁次 | 頁255-266 |
分類號 | 563.54 |
關鍵詞 | 貝他係數; 股價指數報酬; 多頭市場; 空頭市場; β; Stock index return; Bull market; Bear market; |
語文 | 中文(Chinese) |
中文摘要 | 本研究主要是檢測亞洲的日本、台灣、韓國、香港、新加坡、馬來西亞等 6個國家股票市場的 β與股價指數報酬的關係。樣本期間為 1995.1起至 2004.11為止,股票市場週的報酬資料。市場投資組合是採用 MSCI的亞洲指數報酬。而無風險資產報酬則為各國家的一年期定存利率。檢測方法以 Pettengill et al.於 1995年發表於 Journal of Financial Quantitative Analysis上所使用的模型為基礎。當樣本分為多頭期及空頭期,得到在多頭期時日本、台灣、韓國、香港、新加坡、馬來西亞等 6國家的 β與報酬成顯著正相關,在空頭期時只有台灣、韓國、香港、新加坡、馬來西亞等 5國家的 β與報酬成顯著負相關。 |
英文摘要 | The relationships of stock market β coefficients and stock index returns are studied. Weekly stock index of Japan, Taiwan, Korea, Hong Kong, Singapore and Malaysia are taken from January 1995 to November 2004. MSCI Asia index return is taken as the market portfolio return. One year CD rate is taken as the risk free rate for every country. Pettengill et al (1995) model is used to test the relationships of stock market β coefficients and stock index returns. This research found that, during bull markets, Japan, Taiwan, Korea, Hong Kong, Singapore and Malaysia all have significant positive relationships between stock market β coefficients and stock index returns. However, during bear markets, Taiwan, Korea, Hong Kong, Singapore and Malaysia have significant negative relationships between stock marketβ coefficients and stock index returns. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。