| Summary: | 碩士 === 義守大學 === 管理學院碩士班 === 97 === We mainly examine the idiosyncratic risk between the securities subsidiaries and the non-financial holding securities in Taiwan under different market states. We distinguish three market states by citing Pagan and Sossounov (2003) and modify three models with GRACH effect and three kinds of measurement to estimate the idiosyncratic risk.
The findings are as follows: The idiosyncratic risk of the securities subsidiaries are all lower than the non-financial holding securities, and not higher than the non-financial holding securities after we distinguish three market states. Whether we distinguish the market states or not, the market risk of the securities subsidiaries are all lower than the non-financial holding securities. Besides, most of the variations of idiosyncratic risk are widest under the bullish and range bound market, and this result indicates that it is necessary to distinguish market states. The cause probably impacts that the difference of the idiosyncratic risk between the securities subsidiaries and the non-financial holding securities themselves under three market states is the ratio of the operating securities - dealing department under different market states.
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