Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92423
標題: 以台灣金融業股票探討流動性風險與資產訂價之關係
The relationship between Asset Pricing and Liquidity Risk on Taiwan's listed stocks in Banking Industry
作者: Chia-Chien Yu
余佳倩
關鍵字: 金融業;流動性風險;信用風險;金融海嘯;Basel III;financial stock;liquidity;credit risk;financial crisis;Basel III
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摘要: 
2008年金融海嘯發生,使得世界經濟因金融性信用萎縮而發生嚴重衰退,也就是融資市場流動性的枯竭引發全面性的資本市場流動性惡化,造成無數公司產生流動性折扣而股價大跌,使投資人面臨鉅額損失,讓各國金融體系開始正視流動性風險的嚴重性。促使本文對將台灣金融類股資產定價加入流動性風險之探討產生興趣,故採用Chen(2011)的流動性折扣模型及Amihud(2002)不流動性指數,進行台灣金融類股資產定價模型之探討。結果發現以Chen(2011)流動性折扣及Amihud(2002)的方法用等權重及市值加權去計算台灣金融業整體的不流動性指數,結果皆呈現出此兩個指數可確實顯示金融危機時期之流動性風險飆升。再以金融業整體流動性風險因子搭配Fama and French (1993)三因子模型對金融業股票進行資產定價,結果顯示加入不流動性因子能使全銀行及早期預警銀行之資產定價效果更佳。本研究以流動性折扣率之Beta係數、Amihud不流動性指數係數及市值規模等指標加以排序建立分組的投資組合,發現以市值加權之流動性折扣率所建構的策略投資組合表現較佳。

In 2008, the financial crisis made the global recession severely, because of the financial credit contraction. In other words, the depletion of financing market liquidity caused a comprehensive capital market liquidity deterioration. It also resulted numerous financial institutions and investors from suffering huge losses. Let the world's financial system begin to face up to the seriousness of liquidity risk. So we are interested in using the illiquidity factors and Fama and French (1993) three factors model to price the stock of financial institutions. Empirical results show that both of illiquidity discount rate and Amihud index can illustrate the illiquidity index soar in the financial crisis. Then we use the financial institutions illiquidity factors and Fama and French (1993) three factors model to price the stock of financial institutions. We find that the four factors models are better than Fama and French (1993) three factors model and CAPM model. Referring to Li-Ting Chiu and Len-Kuo Hu (2012), we establish portfolios by illiquidity discount rate coefficient, Amihud index coefficient and market values. We find that the strategy portfolio which established by capitalization-weighted illiquidity discount rate performed better.
URI: http://hdl.handle.net/11455/92423
其他識別: U0005-2406201521111300
Rights: 同意授權瀏覽/列印電子全文服務,2016-07-03起公開。
Appears in Collections:財務金融學系所

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