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來源資料
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| 題 名 | 中國大陸證券業風險指標影響因素之研究=The Study of Determinants of Risk Indices for the Securities Industry in Mainland China |
|---|---|
| 作 者 | 高立翰; 沈大白; 詹乾隆; | 書刊名 | 風險管理學報 |
| 卷 期 | 17:1 2015.06[民104.06] |
| 頁 次 | 頁29-57 |
| 分類號 | 563.53 |
| 關鍵詞 | 中國大陸; 證券業; 風險指標; 因素分析; Mainland China; Securities industry; Risk indices; Factor analysis; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 本研究從證券商風險管理的角度,利用因素分析法將所蒐集之中國大陸證券商相關財務經營資料,彙整歸納出五項共同因素後,再分別針對風險評級、營收標準差、夏普指標、倒閉風險,以及違約風險等指標進行迴歸估計。各項估計結果顯示,中國大陸證券公司的風險評級會因過度投資而有降級的表現;營收的波動變化則會視其經營管理屬性而有所差異。就現階段證券業發展而言,高風險性投資雖能帶來較高報酬,但也提高了經營危機的可能性。從上述結果中可發現,雖然不同風險指標之顯著影響因素具有差異表現,但亦能據以整合分析中國大陸證券市場可能發生的系統風險。 |
| 英文摘要 | The focus of this study is risk management in the securities industry in Mainland China. By summarizing risk related data from securities firms and utilizing factor analysis, five common factors are extracted for further regression analysis. The relationship between common factors and risk indices - risk rating, standard deviation of operating income, Sharpe ratio, bankruptcy risk, and default risk - is then estimated. The results indicate that risk rating could be downgraded when securities firms overinvested. Besides, operating income volatility would be changed with managerial attributes of securities firms. As far as present development of securities industry is concerned, high risk investments accompany with high returns; however, the possibility of business operation crisis is also raised. These evidences reveal that various risk indices can be individually explained by distinct determinants, whereas those estimates can also be integrated for further analysis of systematic risk in China's securities market. |
本系統中英文摘要資訊取自各篇刊載內容。