| Summary: | 碩士 === 國立東華大學 === 企業管理學系 === 95 === In this paper, the purpose is to study the porfolio and systematic risk of TSEC Taiwan 50 Index constituent stocks. The portfolio sizes include 47 companies except three stocks which are not suitable to be the samples.
The risks of investing in the Taiwanese stock market are decomposed to unsystematic risk and systematic risk. The risk that can be diversified away is called unsystematic risk, while systematic risk cannot be diversified away. In this study, it is found that the systematic risk of the portfolio which consists of Taiwan 50 Index constituent stocks is at the rate of 23.29%. Therefore, the most risk that can be diversified away by portfolio investment is at the rate of 76.71%.
Compared with the study of Wu (1996), the systematic risk of the Taiwanese stock market is at the rate of 59.11% at that time. Clearly, the rate of systematic risk has a change from 59.11% to 23.29%. The difference shows that the systematic risk of the Taiwanese stock market has been reduced to a lower level owing to the changes of financial market environment.
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