The analysis of effect on beta coefficient - before and after open the domestic security market

• Main Authors: TAI, YU-HUI, 戴毓慧
• Other Authors: You-Kong Lee
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/20800405483602207591

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.