請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/23572
標題: Long-term Volatility Trend of Taiwan Stock Market: the Analysis from Market、Industry and Firm-level Volatility
台灣股市長期趨勢—市場、產業與公司波動之探討
作者: 郭祐瑄
Kuo, Yu-Shuan
關鍵字: decomposition volatility
波動性分解
market volatility
industry volatility
firm-level volatility
macroeconomic
市場波動
產業波動
公司波動
總體經濟
出版社: 財務金融系所
引用: 國內文獻 1.李昌霖,2008,「公司個別風險對台灣股市之影響」,東華大學企業管 理研究所碩士論文。 2.高崇傑,2001, 「臺灣股價與景氣循環關係之研究」,政治大學財政 研究所碩士論文。 3.陳元保,1997, 「股市波動與經濟波動的因果關係」,中國經濟學年 會論文集,1-22。 4.黃勁豪,2001,「台灣股票市場波動性與總體經濟波動性關係之研究」, 東海大學企業管理研究所碩士論文。 5.楊晴華,2001,「影響股巿波動因素之研究 --以臺灣股巿為例」, 中正大學企業管理研究所碩士論文。 國外文獻 1. Andersena, T. G.,T. Bollerslevb, F. X. Dieboldc and H. Ebens, 1999,“The Distribution of Stock Return Volatility”, Working paper, Northwestern University, Duke University and University of Pennsylvania. 2. Bekaert, G. and C. H. Harvey, 1997, “Foreign Speculators and Emerging Equity Markets”, NBER working paper 6312. 3. Brandt, M., A. Brav and J. Graham, 2005, “The Idiosyncratic Volatility Puzzle:Time Trend or Speculative Episodes?”, Unpublished working paper, Duke University, Fuqua School of Business, Durham, NC. 4. Campbell, J. Y., M. Lettau, B. G. Malkiel and Y. Xu, 2001, “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk”, Journal of Finance, Vol. 41, No. 1, 1-43. 5. Domian, D. L. and D. A. Louton, 1997, “A Thershold Autoregressive Analysis of Stock Returns and Real Economic Activity”, International Review of Economics and Finance, Vol:6, Issue:2, 167-179. 6. Durnev, A., R. Morck, B. Yeung and P. Zarowin, 2003, “Does Greater Firm-specific Return Variation Mean More or Less Informed Stock Pricing?”, Journal of Accounting Research 41, 797-836. 7. Fama, E. F. and J. D. MacBeth, 1973, “Risk, Return and Equilibrium:Empirical Tests”, Journal of Poliyical Economy, Vol. 81, 607-636. 8. Fama, E. F. and K. R. French, 1993, “Common Risk Factors in the Returns on Stock and Bonds”, Journal of Financial Economics, Vol. 33, 3-56. 9. Fama, E. and K. French, 2004, “New Lists:Fundamentals and Survival Rates”, Journal of Financial Economics 73:229-269. 10. Fink, J., K. Fink, G. Grullon and J.Weston, 2005,“IPO Vintage and the Rise of Idiosyncratic Risk”, Unpublished working paper, Rice University, Houston, TX. 11. Goyal, A. and P. Santa-Clara, 2003, “Idiosyncratic Risk Matters!”, Journal of Finance 58, 975-1008. 12. Brown, G. W. and N. Y. Kapadia, 2007,“Firm-specific Risk and Equity Market Development”, Journal of Financial Economics 84, 358-388. 13. Kwon, C. S. and T. S. Shin, 1999,“Cointegration and Causality between Macroeconomic Variables and Stock Market Returns”, Global Finance Journal, Vol:10, Issue:1,71-81. 14. Lilien, D. M., 1982,“Sectoral Shifts and Cyclical Unemployment”, Journal of Political Economy 90, 777-793. 15. Merton, R. C., 1980, “On Estimating the Expected Return on the Market:An Exploratory Investigation”, Journal of Financial Economics 8, 323-361. 16. Morck, R., B. Yeung and W. Yu, 2000,“The Information Content of Stock Markets:Why Do Emerging Markets Have Synchronous Stock Price Movements?”, Journal of Financial Economics 58, 215-260. 17. Nelson, D. B., 1992, “Filtering and Forecasting with Misspecified ARCH Models I:Getting the Right Variance with the Wrong Model”, Journal of Economics 52, 61-90. 18. Nofsinger, J. R. and B. Prucyk, 2003,“Option Volume and Volatility Response to Scheduled Economic News Releases”, The Journal of Futures Markets, Vol. 23, 315-345. 19. Officer, R. R., 1973,“The Variability of the Market Factor of New York Stock Exchange”, Journal of Business 46, 434-453. 20. Pastor, L. and P. Veronsei, 2003,“Stock Valuation and Learning about Profitability”, Journal of Finance 58, 1749-1789. 21. Pontiff, J. E., 2005,“Costly Arbitrage and the Myth of Idiosyncratic Risk”,Working paper, Boston College. 22. Schwert, G. W., 1989,“Margin Requirments and Stock Volatility”, Journal of Finance Services Research, 153-164. 23. Bali, T. G., N. Cakici, X. Yan and Z. Zhaang, 2005,“Does Did Individual Become Really Matter?”, Journal of Finance Vol. 2:905-929. 24. Wei, S. and C. Zhang, 2006,“Why Did Individual Stocks Become More Volatile?”, Journal of Business 79, 259-292. 25. Wongbangpo, P. and S. C. Sharma, 2002, “Stock Market and Macroeconomic Fundamental Dynamic Interactions:ASEAN-5 Countries”, Journal of Asian Economics 13, 27-51.
摘要: According to Campbell et al.(2001), this paper uses a disaggregated approach to study trend variation of market volatility, industry volatility, and firm volatility in Taiwan Stock Market. This paper analyzes stock trends from 1971 to 2008 in Taiwan. Past literatures just analyzed firm-level volatility, they stressed the increasing trends in firm-level volatility. Also considered the relationship between business cycle and volatility. I analyze particular from market volatility, industry volatility and firm-level volatility. In addition, I analyze different events and discuss the risks. Like oil crisis, local financial crisis or financial tsunami, I try to understand the magnitude of voliatility. I also consider prediction power of volatility from ratio of foreign investors and book-to-market. The empirical result is increasing trend in firm-level volatility. When economic recessions, market volatility is only increasing. But industry volatility and firm-level volatility is not increasing. This result is different from past literatures, I explain that economic recessions is not increasing in risk. The three volatilities can predict GDP growth、ratio of foreign investors and book-to-market. But the three volatilities can not predict future industry output. In oil crisis, industry volatility is the largest. I explain oil price to affect related industry. In 1998, local financial crisis affect the largest change in firm-level volatility. I illustrate local firms damage seriously. American subprime in 2007 and financial tsunami in 2008, the three volatilities all change a lot.
本文利用Campbell et al.(2001)所提出的分解法(disaggregated approach),去探討台灣上市公司在市場波動、產業波動及公司波動的趨勢變化。本文使用台灣股市自1971年到2008年的波動做分析。 過去文獻都針對公司波動作分析,強調公司波動上升的趨勢。另外也考慮景氣循環與波動之間的關係。故本文不但對市場波動、產業波動與公司波動分別做分析,以了解波動變化的程度。像是石油危機、本土金融風暴或是金融海嘯,分析波動變化的程度。本文也考慮波動對外資比例、帳面市值比等經濟因子的預測力。 本文的實證結果為台灣股市的公司波動有上升的趨勢。景氣衰退時,只有公司波動增加。產業波動與公司波動並沒有上升的趨勢。這點與過去文獻不同,表示景氣衰退時,風險不一定會增加。公司波動、產業波動與公司波動都可以預測GDP成長、外資比例與帳面市值比。但是無法預測未來產業產出。在石油危機中,發現產業波動的變化最大。表示石油價格波動會顯著影響相關產業營運。1998年的本土金融風暴對公司波動影響最大,表示本國公司受到重大影響。2007年的美國次級房貸與2008年的金融海嘯,對台灣股市的影響很大。發現市場波動、產業波動與公司波動都受到很大影響。
URI: http://hdl.handle.net/11455/23572
其他識別: U0005-0107200915184300
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0107200915184300
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