中山管理評論

  期刊全文閱覽

中山管理評論  1995/3

第3卷第1期  p.27-50


題目
股票系統風險之估計─以日資料為例
The Estimation of Systematic Risk with Daily Data
(633621990660468750.pdf 796KB)

作者
黃彥盛/國立工業台灣技術學院企業管理技術系
Yen-Sheng Huang/

Department of Business Administration National Taiwan Institute of Technology


摘要(中文)

股票系統風險的衡量雖極為重要,但我國股票市場對股票價格的波動,訂有每日最大漲跌幅度的規範,使股票系統風險的估計受到很大的干擾。本研究之目的即在考慮漲跌限幅的影響下,嘗試估算股票系統風險,及針對未考慮漲跌限幅因素所計算之股票系統風險,評估其所受的偏誤。本研究以60-82年全部上市公司為樣本,結果發現若不調整漲跌限幅之影響,所估計之系統風險產生明顯的偏誤,且此種偏誤在漲跌停頻繁的年度尤其嚴重。其中,系統風險大於1時,不調整方式所估計之系統風險傾向於低估;系統風險小於1時,不調整方式所估計之系統風險傾向於高估。

(633621990659843750.pdf 29KB)

關鍵字(中文)

股票系統風格


摘要(英文)

Despite the importance of systematic risk in many applications, its estimation is confounded by the regulation of price limits, a mechanism designed to reduce stock market volatility. The purpose of this research is to estimate systematic risk by adjusting the effect of price limits and to assess the magnitude of the potential bias introduced by price limits. Using a sample of all listed stocks over the period 1971-1993, it is found that, without appropriate adjustment, the estimated systematic risk is biased by the regulation of price limits with the bias being the most significant during periods of frequent limit moves. The unadjusted systematic risk is biased downward for systematic risk greater than one and biased upward for systematic risk less than one.

(633621990659843750.pdf 29KB)

關鍵字(英文)

Systematic Risk


政策與管理意涵


參考文獻