Summary: | 碩士 === 國立東華大學 === 國際經濟研究所 === 90 === In this paper we empirically investigate the issue of beta instability and whether there is a differential tendency for beta risk to mean-revert across industries in the Taiwan stock market from 1980 to 2001. Our key results are as follows. In the three seven-year sub-periods, first, a mean reversion tendency does exist for mostly major industries but varies across them. Second, in selected sub-periods with different lengths, the degree of beta instability is likely higher when the period is longer. Third, the degree of beta instability is diminishing gradually over the three seven-year sub-periods. Finally, we also examine beta forecastability.
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