MSCI 世界指數對中國三股市之系統風險 : 分量迴歸分析

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MSCI 世界指數對中國三股市之系統風險 : 分量迴歸分析

The Systematic Risk of the MSCI World Index on China's three Equity Markets : Quantile Regression Analysis

趙偉鈞 , Masters　　Advisor：吳仰哲　　Co-advisor ：李美杏

繁體中文

分量迴歸；資本資產定價模型；系統風險； Quantile Regression ； Capital Asset Pricing Model ； Systematic Risk

Abstract │ Reference (17) │ Altmetrics

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In recent years, China's economic rapid development has attracted the world's attention, many investors turn to invest in China equity market. However, subprime crisis in U.S caused the decline of global equity market and the investors' fear of investing in the equity market. Therefore, this study extends the capital asset pricing model proposed by Sharpe et. al. to develop international capital asset pricing model. We apply the quantile regression to investigate the systematic risk of the MSCI world index on China's three equity markets in the subprime crisis, and analyze the systematic risk of China's three equity markets during subprime pre-crisis, during-crisis and post-crisis periods.
The empirical results show that the systematic risk of the MSCI world index on Hong Kong equity market before the crisis was significant, and the ones on Shanghai and Shenzhen equity markets were significant on the fall of the stock index. The reason is that the internationalization of Hong Kong equity market is more than those of Shanghai and Shenzhen, and the ones on Shanghai and Shenzhen equity markets were significant on the rise of the stock index. However, the systematic risks of the MSCI world index on Hong Kong equity markets were all significant during the crisis. After the crisis, the systematic risks of the MSCI world index on China's three equity markets were still significant, but they became smaller than those during the crisis. The empirical evidence offer investors a reference of investing China.

Reference ( 17 ) 〈TOP〉

1. Koenker and Bassett(1978) , Regression Quantiles , Econometrica, Vol. 46, No. 1. (Jan., 1978), pp. 33-50
連結：
2. Koenker and Bassett(1982) , robust tests for heteroskedasticity based on regression quantiles. Econometrica , Vol. 50, No. 1.
連結：
5. Ming-Yuan Leon Li , Re-examining the risk–return relationship in banks using quantile regression. The Service Industries Journal Vol. 30, No. 11 , 1871$–$1881.
連結：
1. 黎明淵(2002) , 高、低股市波動狀態下之雙重貝它係數檢測 : 美國、日本與亞洲四小龍股市實證研究。台灣管理學刊 , 第 2 卷 , 第 2 期 , p99$-$118。
連結：
3. 莊家彰與管中閔(2005) , 台灣與美國價量關係的分量迴歸分析。經濟論文 , 中央研究院經濟研究所 , p379$-$404。
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