| Summary: | 碩士 === 淡江大學 === 管理科學研究所 === 84 === There have been many empirical studies with regard to the
security''s systematic risk. This research will continue to
emphasize on the points of the prior scholar, Ying-Ying Chen,
and utilize pairwise t test to study the structure of the
systematic risk-i.e. beta coefficient, which contains
typeeffect, interval effect, calculation effect as well as the
discussion of the appropriateness of Hawawini''s hypothesis. In
addition, we also utilize Chowtest to study the impact of the
stability of beta coefficient which causes by foreign funds.
The research sample consists of the first type of stock and the
second type of stock from the Security Exchange Market of Taiwan
for the period of 1987 to 1995. We use the time of opening
domestic security market to foreign institutes to separate the
whole period into two periods:the first period is from 1987 to
March 1991 and the second period is from May 1991 to 1995. The
empirical results are summarized as follows:1.After opening
domestic security market to foreign institutes, the target of
investment which investors favor changes from the second type of
stock to the first type of stock.2.The return interval does
afect the variation of beta coefficients, and the main cause is
almost come from the relative value of standard deviation.
Whereas both two periods neverreach 5% significant level. 3.No
matter which period it is, the variation ofbeta coefficients for
the first type and second type of stock is completelyreverse on
the result of calculation effect. The reason can be interpreted
byboth the correlation coefficient and the relative value of the
standarddeviation; and they still do''nt pass 5% significant
level.4.The q ratios conform to Hawawini''s hypothesis on both
two period. But as to the variation of beta coefficients in
different return intervals, it just agrees with Hawawini''s
hypothesis on continuous-compounding calculation before opening
the domesticsecurity market to foreign institutes, but on the
second period it totallydoes''nt agree with Hawawini''s
hypothesis.5.No matter which period it is, the changes of
domestic security market are controlled by the first type of
stock, and the variation of the first type of stock will affect
the variation ofthe market, and then the variation of the market
will affect the variation ofthe second type of stock.6.As
foreign institutes attend into the domestic security market, the
first type of stock becomes more risky, and it also correlates
with the market more deeply, but for the second type of stock,
it is absolutely reverse on the same aspects.7.By the result of
Chow test, we know that the foreign institutes do not make any
significant "structure change" on the beta coefficients of the
first type and second type of stock.
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