A study of the market risk and the country specific risk impacts on Taiwan stock market (by industry)

本研究主要探討台灣各類股在不同貨幣單位之下，風險報酬之間的抵換關係，以此來探討台灣各類股在面對風險情況下的特性。我們考慮的有市場風險與國家特殊風險的影響，其中市場風險為整體經濟情勢帶來的風險；而國家風險代表一個地區的獨有風險，像是政治、經濟、社會等因素所帶來的風險。在衡量風險報酬抵換關係方面，我們藉由資本資產訂價模型的概念來做實證研究，並且藉由對角BEKK模型來做報酬與風險的條件共變異數的估計。我們先估計出市場風險與報酬之間的關係，爾後再加入國家風險因子的影響，並比較在不同貨幣單位之下的估計結果，而此結果亦能代表匯率風險的影響。 實證結果顯示，各大類股在面對風險的反應不一致，其中金融類股為受風險影響最大的類股，且其市場風險係數為顯著的負值，跟理論上風險報酬為正向關係不同。而其他類股在風險與報酬關係上，有正也有負向的結果出現，故我們可得知在面對相同風險之下，各類股有其不同的反應，且在不同的貨幣單位下得到的結果也有所差異，表示匯率的確會對風險報酬關係造成影響，甚至讓風險係數從負值轉為正值，故也顯示了匯率風險的存在。研究也顯示了國家風險對於各類股的影響係數皆不大，表示台灣地區的風險尚屬穩定。而本研究或許可幫助投資人在面對風險時，能藉由各類股風險報酬關係的反應來選擇最適的投資組合。This study investigates the various types of stock in Taiwan under the different monetary unit, between risk and return trade-off relations, in order to investigate the characteristics of various types of shares in Taiwan in the face of risk situations. We consider the impact of market risk and country-special risk, the risks of market risk for the economic situation; country risk represents a country risk, the risks such as political, economic, social and other factors . We have empirical research done by the concept of the capital asset pricing model, and the conditions covariance estimated by the diagonal BEKK model.We first estimate the relationship between market risk , and then add the impact of country risk factors, and compare the estimation results under different monetary unit, and this results in representing the exchange-rate risk. The empirical results show that the various stocks in the face of risk response is inconsistent, which financial stocks for the greatest impact on stocks are subject to risks, and the market risk coefficient is significantly negative, difference the theory. Other stocks in the relationship between risk and returns, positive and negative results, so we can learn to face the same risks under various types of shares have different reactions, and in a different currency unit the results also different, it also shows the existence of exchange-rate risk. The study also shows the country risk coefficient of various types of shares were weak effects. This research to help investors in the face of risk, by the reactions of all kinds shares the risk and return relationship to select the optimal portfolio