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台灣股市的泡沫指數與特異風險 = The Bubble Indicato...

國立高雄大學金融管理學系碩士班

台灣股市的泡沫指數與特異風險 = The Bubble Indicator and Idiosyncratic Risk in the Taiwan Stock Market

Record Type:	Language materials, printed : monographic
Paralel Title:	The Bubble Indicator and Idiosyncratic Risk in the Taiwan Stock Market
Author:	歐芝君,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	民100
Description:	68葉圖，表格 : 30公分;
Subject:	股市泡沫
Subject:	bubble indicator
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/78158954740746683347
Notes:	參考書目：葉58-62
[NT 15001349]:	臺灣股市的泡沫指數與特異風險
Summary:	目前國內研究台灣股市泡沫現象的文獻，多半為檢定樣本期間內股市是否存在泡沫，但無法得知泡沫的趨勢和強弱，因此本文第一個研究主題為編製泡沫指數，以觀察樣本期間內任一時點股價偏離其基要價值的程度。另一方面，近幾年來特異風險在資產定價中所扮演的角色受到越來越多注意，有國外文獻指出特異風險呈現上升的趨勢，因此本文第二個研究主題即為估計樣本期間內台灣股市的特異風險，以觀察特異風險在近年來的趨勢。最後，將股市泡沫和特異風險做連結，透過Granger因果關係檢定探討泡沫指數和特異風險比率之間是否存在領先落後關係。實證結果發現在本研究的樣本產業中，化學生技產業、金融保險產業、玻璃陶瓷產業、紡織纖維產業及電子工業的泡沫指數對特異風險有單向因果關係，而水泥工業則是特異風險對泡沫指數有單向因果關係，其餘的四個樣本產業食品工業、塑膠工業、電機機械工業及鋼鐵工業的泡沫指數和特異風險之間則沒有顯著因果關係。 At present, most of literatures of the Taiwan stock market's bubble phenomenon test whether the stock market bubble exist during the sample period, but unable to know the trend and the strength of the bubble. Therefore, this paper's first topic is the establishment of the bubble indicator, in order to observe the extents of the stock prices deviate from its fundamentals at any point during the sample period. On the other hand, the role played by idiosyncratic risk in asset pricing have received more and more attention in recent years. Some foreign literatures suggested that the idiosyncratic risk had upward trend. So the second topic of this paper is the estimation of the idiosyncratic risk in the Taiwan stock market, in order to observe the trend in recent years. Finally, I use Granger causality test to link the bubble indicator and the idiosyncratic risk of the stock market, and explore the lead-lag relationship between the bubble indicator and the idiosyncratic risk.

台灣股市的泡沫指數與特異風險 = The Bubble Indicator and Idiosyncratic Risk in the Taiwan Stock Market
歐, 芝君

台灣股市的泡沫指數與特異風險 = The Bubble Indicator and Idiosyncratic Risk in the Taiwan Stock Market / 歐芝君撰 - [高雄市] : 撰者, 民100. - 68葉 ; 圖，表格 ; 30公分.
參考書目：葉58-62.
股市泡沫bubble indicator

台灣股市的泡沫指數與特異風險 = The Bubble Indicator and Idiosyncratic Risk in the Taiwan Stock Market
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