The Defensive and Risk Characteristics of Construction Stocks in Taiwan Stock Market

• Main Authors: Wei Li, 李韋
• Other Authors: Chin-Ming Chen
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/67500582167237663298

碩士 === 國立高雄第一科技大學 === 金融系碩士班金融組 === 102 === There is many reach indicate real estate investment trusts (REITs) with low risk in the literature, this research seeks to examine the defensive and risk characteristics of construction stocks in the Taiwan. Using daily data from January 2006 to April 2014 to observe the performance of twelve listed construction stocks, this paper show that decline in construction stocks values is much higher than the decline in utility companies and hotel and department store industries when Taiwan stock market collapsed. Because High correlation between the construction stocks and the stock market, the construction stocks can’t perform well in risk transfer and diversification. Finally, this paper uses the Glosten Jagannathan Runkle-generalized ARCH modle and finds that one construction stock shows an anti-leverage.