台灣股市系統風險不對稱性之研究

Asymmetry of systematic risk in Taiwan's stock market

廖永熙(Liao Yong Xi)

《管理科學研究》 13卷2期 (2019/12) Pp. 49-63

https://doi.org/10.6873/MSR.201912_13(2).0004

摘要

眾多文獻指出金融資產的報酬率存在著不對稱的波動現象，此一現象反應出投資者對市場好壞訊息的反應並不一致。然而，探討波動不對稱的文獻大部分集中於總風險，鮮少對系統風險加以研究。有鑑於此，本研究以雙變量GJR-GARCH模型並允許條件相關係數隨著時間改變，來探討台灣股票市場是否存在系統風險不對稱的現象，標的為18種產業股票指數的日報酬率。研究結果顯示：在全體樣本期間18種股價指數中共有13種呈現出顯著的系統風險不對稱，而金融風暴後系統風險不對稱有明顯增加。

關鍵字

系統風險不對稱 ； 雙變量GJR-GARCH模型

並列摘要

Numerous documents point out that there is an asymmetric volatility in financial assets. This phenomenon reflects that investors' reactions to market news are not consistent. However, most of the literature discussing volatility asymmetry focuses on total risk, and few studies on systemic risk. Therefore, this study uses the bivariate GJR-GARCH model and allows the conditional correlation coefficient to change over time to explore whether there is a asymmetric beta in the Taiwan stock market. The data is the daily return rate of 18 industrial stock indexes. The results of the study show that, during the entire sample period, 13 of the 18 stock price indices exhibited significant asymmetric beta, and the asymmetric beta increased significantly after the financial crisis.

並列關鍵字

Asymmetric beta ； Bivariate GJR-GARCH model