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標題: 國家因素與產業因素對國際股市報酬的影響之分析─以亞洲新興市場為例
An analysis of Country and Industry Effect in International Stock Return-Evidence from Asian Emerging Markets
作者: 莊凱傑
Jhuang, Kai-Jie
關鍵字: Financial crisis
Country effect
Industry effect
Factor model
出版社: 財務金融系所
引用: 參考文獻 1. 董澍琦、揚聲勇、楊明晶、謝岳志(2003),國家與產業因素對國際投資組合決策的影響─亞洲新興市場的實證結果,中山管理評論,第十一卷第一期,107-135頁。 2. Baca, S. P., Garbe, B. L., & Weiss, R. A. (2000). The Rise of Sector Effects in Major Equity Markets. Financial Analysts Journal, 56(5), 34-40. The Association for Investment Management and Research. 3. Baele, L., Ferrando, A., Hordahl, P., Krylova, E., & Monnet, C. (2004). FINANCIAL MARKET INTEGRATION IN THE EURO AREA. OECD Working Paper, 368. 4. Beckers, S., Connor, G., & Curds, R. (1996). National versus Global Influences on Equity Returns. Financial Analysts Journal, 52(2), 31-39. 5. Bekaert, G., & Harvey, C. R. (1995). Time-Varying World Market Integration. Journal of Finance, 50(2), 403. SSRN. 6. Brooks, R., & Negro, M. D. (2005). Country versus Region Effects in International Stock Returns. The Journal of Portfolio Management, 31(4), 66-72. 7. Carrieri, F., Errunza, V., & Sarkissian, S. (2004). Industry Risk and Market Integration. Management Science, 50(2), 207-221. 8. Cavaglia, S., Brightman, C., & Aked, M. (2000). The increasing importance of industry factors. Financial Analysts Journal, 56(5), 41-54. JSTOR. 9. Faff, R. W., Mittoo, U. R., & F, J. E. L. C. (2001). Capital Market Integration and Industrial Structure : The Case of Australia , Canada and the United States. Integration The Vlsi Journal, v47(3), 3-42. 10. Flavin, T. (2004). The effect of the Euro on country versus industry portfolio diversification. Journal of International Money and Finance, 23(7-8), 1137-1158. 11. Gerard, B., Hillion, P., Roon, F. D., & Eiling, E. (2007). International Portfolio Diversification: Currency, Industry and Country Effects Revisited. Portfolio The Magazine Of The Fine Arts, 1-48. 12. Griffin, J. M. (2001). International competition and exchange rate shocks: a cross-country industry analysis of stock returns. Review of Financial Studies, 14(1), 215-241. 13. Griffin, J. M., & Karolyi, G. A. (1998). Another look at the role of the industrial structure of markets for international diversification strategies. Journal of Financial Economics, 50(3), 351-373. 14. Grinold, R., Rudd, A., & Stefek, D. (1989). Global factors: Fact or fiction? Journal of Financial Economics, 50(3,Dec), 351-373. 15. Heston, S. L., & Rouwenhorst, K Geert. (1995). Industry and Country Effects in International Stock Returns. The Journal of Portfolio Management, 21(3), 53-58. 16. Roll, R. (1992). Industrial Structure and the Comparative Behavior of International Stock Market Indices. Journal of Finance, 47(1), 3. American Finance Association. 17. Rouwenhorst, K G. (1999). European equity markets and the EMU. Financial Analysts Journal, 55(3), 57-64. CFA Institute. 18. Serra, A. (2000). Country and industry factors in returns: evidence from emerging markets stocks. Emerging Markets Review, 1(2), 127-151. 19. Solnik, B. H.”The International Pricing Of Risk: An Empirical Investigation Of The World Capital Market Structure,” J ournal of Finance, 1974, v29(2), 365-378. 20. Solnik, B., Boucrelle, C., & Le Fur, Y. (1996). International Market Correlation and Volatility. Financial Analysts Journal, 52(5), 17-34. 21. Suits, D.B. (1984). Dummy variables: mechanics v. interpretation. Review of Economics and Statistics, 66, 177-180. 22. WANG, C., LEE, C., & HUANG, B. (2003). An analysis of industry and country effects in global stock returns: evidence from Asian countries and the U.S. The Quarterly Review of Economics and Finance, 43(3), 560-577.
摘要: 本研究利用因子模型來分解個股報酬為產業因素與國家因素,研究樣本為2004年到2010年之 7個國家與10個產業中所有企業。本文主旨在探討在2008金融海嘯和區域整合下,亞洲新興市場七國(中國、南韓、台灣、印尼、馬來西亞、泰國和菲律賓)個股報酬之國家因素與產業因素之研究。本研究結果顯示在金融海嘯前亞洲新興市場之國家因素影響大於產業因素影響,但在金融海嘯過後國家因素降低且產業因素大於國家因素影響。另外本研究也探討了亞洲新興市場各國家對國家因素與產業因素的影響程度,其研究結果發現中國在亞洲新興市場中比台灣和南韓更具有影響力。
This paper estimates a factor model for 7 emerging markets (China, Korea, Taiwan, Indonesia, Malaysia, Philippines and Thailand) and 10 industrial group returns from January 2004 to December 2010 to measure the industry and country effects. The results indicate the country effects have significantly dominated industry effects before 2008 financial crisis, but industry effects have dominated country effects after 2008 financial crisis. In addition, we investigate the impact of the Asian emerging countries on other countries under study. And the results indicate the China has had a greater impact than other countries in Asian emerging markets.
其他識別: U0005-1807201114202800
Appears in Collections:財務金融學系所



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