本研究期間為1997年1月至2008年12月,資料型態為月資料,研究對象包含所有台灣股票市場的上市、櫃公司,共計有974家公司。本研究旨在研究台灣股票市場中個股報酬的市場風險、匯率風險及利率風險三者之風險敏感度,同時也考慮樣本公司所屬的類股產業別,分析不同的類股產業面對的風險敏感度有何異同。 本研究應用套利定價理論(APT)輔以GARCH(1,1)計量模型作為模型設定,實證結果發現市場風險對於樣本公司股價報酬的解釋能力很高,大約有九成五以上樣本公司的市場風險估計係數具有統計顯著性;相對於市場風險,匯率風險的顯著程度不佳約僅7.29%,推測可能與該公司是否從事相關的避險政策有關,或是由於各個產業之產銷特性不盡相同所致。利率風險顯著程度亦不高約僅9.45%,造成此現象的原因,除了可能樣本公司存在避險策略外,另一個原因可能來自於樣本公司的財務槓桿度不高。 為了解產銷特性及財務槓桿度是否影響到匯率風險及利率風險估計係數之顯著比例,本研究進一步利用外銷比率及借款依存度作為衡量基準變數。整體而言,外銷比率有助於分辨類股產業的產銷特性,當整個研究樣本以外銷比率做區分時,外銷比率之高低的確會影響到匯率風險估計係數的顯著比例。另外,若以借款依存度來衡量每家樣本公司的負債情況及財務槓桿度,實證結果發現約六成的類股產業支持財務槓桿度較高時,其股票報酬面臨到利率風險的機率也越高,亦即利率風險估計係數之顯著比例較高。 雖然國內外與風險相關的文獻期刊眾多,但本文是國內初次利用整個台灣股票市場做為研究對象,探討市場風險、利率風險以及匯率風險對股價報酬影響的研究,實證結果證實台灣股票市場不論是哪一個類股產業,個股之股價報酬均受到市場風險之影響;儘管利率風險以及匯率風險估計係數之顯著比例並不高,但本文仍針對不同產業類別做進一步的延伸與分析,是本研究之主要貢獻。
The purpose of this study is to examine the relationship between stock returns and market risk, interest rate risk, and foreign exchange rate risk for a sample of 974 listed Taiwan stocks during the period of 1997 to 2008. The Generalized Autoregressive Conditionally Heteroskedastic (GARCH) model was applied to the Arbitrage Pricing Theory (APT) to estimate the related beta coefficients. Monthly percentage change of stock market index, ten-year government bond yield, and foreign exchange rate index, representing the market, interest rate, and foreign exchange rate risk, respectively, are considered in the APT model. Firm’s foreign sales ratio and debt-to-equity leverage ratio are further employed to investigate the importance of these two characteristics on interest rate risk and foreign exchange risk, respectively. Major findings of the study are as follows. First, more than 95% of the firm’s stock returns are found to be significantly positively related to market risk. Only about 7% and 9% of the firm’s stock returns are found to be significantly positively related to foreign exchange rate risk and interest rate risk, respectively. Second, stock returns of firms with high foreign sales ratio and high financial leverage are found to be significantly positively related to foreign exchange rate risk and interest rate risk, respectively.