The test of the systematic risk of Taiwan Stocks Market

• Main Authors: YIN-CHEN CHU, 朱盈臻
• Other Authors: Hung- Neng Lai
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/94451373907441233200

碩士 === 國立中央大學 === 財務金融研究所 === 93 === This thesis wants to examine what affect the results of the test of beta coefficient. We sum up four reasons: first, the method of calculating the returns of the portfolio. Second, the difference of selecting the market index. Third, the difference of selecting the sample. Last, the difference of grouping. The empirical results reveal that the method of calculating the returns of the portfolio will not affect the results of the test of beta coefficient. The empirical results reveal that the difference of selecting the market index and the sample will not affect the results of the test of beta coefficient, neither. We find that only the the difference of grouping will affect the results of the test of beta coefficient. Because the difference of grouping will affect the estimation of group beta and in the two-step cross section regresssion analysis we have to put the group beta into the individual stock, the difference of grouping will affect the results of the test of beta coefficient.