A Study of Market Model on Taiwan Stock Market--Cointegration analysis

• Main Authors: Liu, Tsair-Neng, 劉財能
• Other Authors: Gin-Chung Lin, Chin-Hsen Lee
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/31050437932552326597

碩士 === 淡江大學 === 財務金融學系 === 85 === The rate of return and risk are widely investigated in the field of the investment analysis. Their relationship can be described by a capital assets pricing model(CAPM). Beta coefficient, which is a parameter of CAPM, is frequently adopted as a measure of risk and assumed to be stable in the literature. But many empirical evidence indicated that beta coefficient is not stable. Therefore, we use cointegration analysis to part target stock two portfolios. Then we can see what is the difference between these two portfolios on the empirical results of CAPM. Base on the data of TAIEX and the last day transaction per week''sand per month''s ending price, we conclude that:1.In monthly data, we find out that there does not have significiantly differdnce between these two portfolios on R- squrae.2.Neither monthly data nor weekly data, all these portfolios do not support CAPM theory in Taiwan stock market.