股票風險與報酬分析-台灣實證

Risk-Return Relationship in Stock Market-Evidence in Taiwan

張偉玲(Wei-Ling Chang)

指導教授 ： 吳淑貞

國立暨南國際大學/管理學院/國際企業學系/碩士(2018年)

摘要

本文主要探討台灣大盤及八大類股風險險與報酬間的關係是否隨著市場條件不同(牛市、熊市)而產生變化。利用Pagan and Sossounov(2003)提出修正後的無參數Bry-Boschan法則來認牛熊市，實證結果顯示在牛市中風險與報酬間關係顯著為正，熊市則顯著為負。即便將總體經濟因子考慮在內，結果仍為不變且有助於預測台灣股市風險與報酬間的關係。

關鍵字

牛市 ； 熊市 ； 總體經濟變數 ； CAPM ； ICAPM

並列摘要

The object of this thesis is trying to determine the risk-return relationship in bull and bear market.Whether it will be vary by the market conditonal(bull and bear market) .We gather TAIEX and the eight industires indices from of Taiwan stock market.Based on non-peremetric Bry-Boschan which was revise by Pagan and Sossounov(2003) to identify bull and bear market.The empirical result indicate that the relationship between risk and return in bull market is positive significant,and the bear market is negative significant.Even when macroeconomic variables taken into the account,these empirical result remain the same.The macroeconomic variable will help to predict the relationship between risk and return relation in Taiwan stock market.

並列關鍵字

bull market ； bear market ； macroeconomic variables ； CAPM ； ICAPM

參考文獻

一、中文部分

李偉銘、吳淑貞、黃啟泰 (2015). 總體經濟變數對台灣股市之大盤及類股熊市預測表現之探討. Taipei Economic Inquiry, 51(2), 171-224

二、英文部分

Abel, A. B. (1988). Stock prices under time-varying dividend risk: An exact solution in an infinite-horizon general equilibrium model. Jounal of Monetary Economics, 22(3), 375-393.

Bali, T. G., Demirtas, K. O., & Levy, H. (2009). Is there an intertemporal relation between downside risk and expected returns. Journal of Financial and Quantitative Analysis, 44(4),883-909.