台灣上櫃公司規模與股票報酬波動之關聯性研究

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/21317

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Title:	台灣上櫃公司規模與股票報酬波動之關聯性研究
Other Titles:	THE RELATIONSHIPS BETWEEN CORPORATE SIZEAND THE STOCK RETURN VOLATILITY ON TAIWAN OTC
Authors:	陳盈君 Chen, Ying-chun
Contributors:	財務管理研究所徐清俊 Ching-jun Hsu
Keywords:	單根檢定;公司規模 Unit Root test;GARCH-M
Date:	2003
Issue Date:	2015-06-02 16:48:20 (UTC+8)
Abstract:	長久以來股票報酬波動之推估一直是財務經濟學者關心的主題。根據過去學者對台灣股市的實證研究發現，台灣股票報酬存在異質變異的現象，同時以往的研究顯示，公司規模對解釋股價行為有相當的重要性。本研究分別以資產總額、流通市價總額及營業收入淨額為公司規模之定義，依照公司的規模分大中小三組，以GARCH-M模型探討台灣上櫃公司規模與股票報酬波動之關聯性，研究期間為1997年1月至2002年5月，共有1436筆資料。實證結果如下：　1.台灣店頭市場報酬波動性具有顯著的群聚(Clustering)現象，隱含當期的風險可由過去的風險加以預測。2.無論以公司資產總額、流通市價總額或營業收入淨額為公司規模之定義時，結果均發現，公司規模之大小與股票報酬波動程度無關。3.產業別的不同會影響公司規模與報酬波動之關係。對一般產業而言，公司規模愈大，報酬波動程度愈高，投資人較有可能會要求更高的風險溢酬；然而在新興產業方面，公司規模之大小與股票報酬波動並無關聯。　　　Over the years, the variance of the rate of return on common stocks is one of the main topics of modern finance. This paper focuses on two influential factors of the rate of return on common stocks: heteroskedasticity and corporate size. By using GARCH-M model to estimate the conditional volatility at daily frequencies, we examine the relationships between corporate size and the stock return volatility on Taiwan OTC. The daily return data during 1997/01 ~ 2002/05 are provided by TEJ. The results of this empirical test are: (1) There is a volatility clustering in Taiwan OTC; (2) There is no obvious relationships between corporate size and the stock return volatility. When we consider the industry, the different category of industry can affect the above relationship.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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