與時變動市場系統風險之估計-台灣股票市場電子產業之實證

CHUR > College of Management > Department of Finance > Seminar Papers > Item 987654321/28746

Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/28746

Title:	與時變動市場系統風險之估計-台灣股票市場電子產業之實證
Authors:	李愷莉 Li, Kai-Li
Contributors:	財務管理學系 Finance
Keywords:	動態貝它值;多變量一般自我迴歸條件異質變異數模型;卡爾曼濾嘴模型 Time-varying Beta;MGARCH;Kalman filter approach
Date:	2009
Issue Date:	2014-06-27 00:07:46 (UTC+8)
Abstract:	由於金融機構的國際化，加上衍生性商品的大量使用，各國金融體系受到波及並迅速反應至各國股市，引爆全球金融海嘯，但風暴並未停歇並蔓延至各個產業，全球經濟景氣步入嚴峻考驗。台灣股票加權指數由九千七百點一路跌落至四千點以下，多數投資者及專業投資機構在此次風暴裡受傷慘重，許多市場參與者尊於詭譎多變的金融市場望而卻步，而這正是我們重新省思系統風險控管的最佳時機。證券之系統風險代表著單一證券或資產相尊於市場波動性的變動幅度，由於證券的個別風險可藉由多樣化投資而分散，因此學界或業界尊系統風險的管理相當重視。Sharpe( In past, the risk level of the stock was worked under stationary assumption in the study. But financial market and managers decisions were changed with time. The managers will adjust their portfolios weights depending on the market conditions in order to
Appears in Collections:	[Department of Finance] Seminar Papers

Files in This Item:

File	Description	Size	Format
s_m333_0194.pdf		36Kb	Adobe PDF	217	View/Open