التفاصيل البيبلوغرافية
| العنوان: |
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 |
| المؤلفون: |
郭祐瑄, Kuo, Yu-Shuan |
| المساهمون: |
楊聲勇, 中興大學, 董澍琦, 林霖 |
| بيانات النشر: |
財務金融系所 |
| سنة النشر: |
2010 |
| المجموعة: |
National Chung Hsing University Institutional Repository - NCHUIR / 國立中興大學 |
| مصطلحات موضوعية: |
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 |
| الوصف: |
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。 ... |
| نوع الوثيقة: |
thesis |
| اللغة: |
Chinese |
| العلاقة: |
http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0107200915184300Test; U0005-0107200915184300; http://hdl.handle.net/11455/23572Test |
| الإتاحة: |
http://hdl.handle.net/11455/23572Test |
| حقوق: |
none |
| رقم الانضمام: |
edsbas.7912E2B |
| قاعدة البيانات: |
BASE |
