The Relationship of Liquidity Risk, Market Risk and Credit Risk: An Evidence from Taiwan High and Low Smart Beta Corporation

• Main Authors: LIN,YI-CHIU, 林依萩
• Other Authors: TSAI,CHUI-CHUN
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/6xb4h4

碩士 === 靜宜大學 === 會計學系 === 106 === In this research, we adopt the "Low and High Volatility Smart Beta Type Company" issued by Taiwan Index Company on December 16, 2016 as the empirical samples. Then, we divide them as High Volatility Smart Beta 30 company and Low Volatility Smart Beta 30 company, respectively. Using Granger causality model as the research model and the empirical results show that, (1) In high beta 30 company case, “credit risk” could effect "market risk" and “liquidity risk" in more variables. The "market risk" could effect “liquidity risk only. The “liquidity risk” could effect “credit risk” and “market risk". (2) In low beta 30 company case, there are interrelationships between "credit risk" and "market risk" and "liquidity risk".