| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 105 === In this paper, the main study objects were TAIEX and constituent stocks of Taiwan 50. We applied MedRQ method proposed by Andersen, Dobrev and Schaumburg (2012) to calculate the realized volatility of TAIEX. Also, we used GARCH model to explore the relationship between realized volatility of TAIEX and beta of constituent stocks of Taiwan 50.
According to the empirical results, we found that beta of stocks isn’t constant and the change of stocks’ beta is asymmetric under bull and bear markets. In addition, when the stock market is bull, there are many stocks whose beta coefficients will decrease in traditional industry. In contrary, the beta coefficients will increase in technology industry and financial industry. On the other hand, when the stock market is bear, there are many stocks whose beta coefficients will increase in traditional industry. The other way around, beta coefficients in technology industry and financial industry will reduce. The examples of traditional industry included Cement and Cheng Shin. Foxconn and Catcher are the examples for technology industry. Fubon Financial and CTBC Holding are the examples for financial industry.
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