高、低股市波動狀態下之雙重貝它係數檢測－美國、日本與亞洲四小龍股市實證研究

Examining the Dual Betas from High or Low Stock Market Volatility-An Empirical Study on American and Japanese as Well as the Four Asian Tigers' Stock Markets

10.6295/TAMJ.2002.0202.06

黎明淵(Ming-Yuan Li)

國際資本資產訂價模式 ； 貝它係數 ； 波動性 ； 馬可夫轉換模型 ； ICAPM ； β Coefficients ； Volatility ； Markov-Switching Model

台灣管理學刊

2卷2期（2002 / 12 / 01）

99 - 118

繁體中文

資本資產訂價模式（capital asset pricing model，以下簡稱CAPM）為財務經濟學中最重要的理論之一，貝它係數（Beta Coefficient，以下簡稱β係數）亦為投資人決定資產分散比例與投資策略設計之重要變數。基於國際資金全球化趨勢下，將CAPM模式應用國際投資組合，可進一步建立國際CAPM模式（international CAPM，以下簡稱ICAPM）。本研究特色在於考慮國際股市中高波動性伴隨高連動性的特質，運用馬可夫轉換(Markov-switching)模型，客觀劃分各時點股市的相異高、低波動狀態，建構雙重狀態β係數ICAPM，並以美、日、台、韓、港、新（後四者合稱亞洲四小龍）等國的股價指數與摩根史坦利公司所編製的世界指數之週報酬率進行實證研究。 本實證研究結果發現：第一、藉由摩根史坦利公司的世界指數所建立的ICAPM，對所有國家的股市報酬皆具有顯著解釋能力，惟解釋程度大小，以美、日股市最大，新、港股市次之，台、韓股市最小。第二、與單一β係數ICAPM比較，本文建構之雙重β係數ICAPM可增加對各國股市報酬的統計解釋能力，惟仍不能改變對美、日股市報酬解釋能力較高的結果。第三、當本國自身股市的處高（低）波動時，所有國家股市的β係數將顯著變大（小）。惟當世界股市處於高波動狀態時，美、日等主要國際股市的β係數無顯著改變，亞洲四小龍：新、港、台、韓等股市的β係數仍會顯著增大。第四、在本國股市與世界股市同處高波動，與近年來新興金融市場與國際金融市場的加速整合效果下，更加深了亞洲四小龍中的新、台、韓等新興股市之β係數的擴增效果。

CAPM (capital asset pricing model) is one of the most important theries in financial and economic fields. Beta coefficient (β) is also one of the most important determinant variable in estabilishing the diversification systems and the investment strategies. Because the tendency of the integration of global funds, one can extend CAPM to estabilish international CAPM (ICAPM) to analyze the international stock portfolios. This paper considers the features of the high volatilities accompanying with the high correlations among the international stock markets. We adopt Markov-switching model to identify the high (or low) volatility states of sotck markets at any time points, and establish the dual β ICAPM from the various volatility states. Moreover, we use Morgan Stanely world index (MSWI), Dow Jones index, Nikkei index, Singapore-Straitrs index, Hong Kong Hang-Seng index, Seoul composite index and Taiwan-weighted index to process the empirical study. Our empirical findings support the following notions. First, the explanatory powers of the ICAPM established by the MSWI in all country stock returns are significant. Moreover, the explanatory power degree in US and Japanese (Taiwan and South Korea) stock markets is the greatest (smallest); in Singapore and Hong Kong is the middle. Second, comparing the single β, the dual β established by our paper can increase the statistical expalnatary power for the stock returns. Third, in the dual β setting, the βs appear to be greater (lesser) when the home markets are in high (low) volatility status. Nevertheless, when the world stock market is in the high volatility state, the βs of US and Japanese stock makets are unchangeable, in contrast, the βs of the four tiger's stock markets appear to be much greater. Fourth, because the composited effects of both the home and the word stock markets being in the high volatility states and the integrations of global financial markets (especially the emerging financial markets) had been significantly increasing since 1990, the βs of Singapore, Taiwan and South Korea stock markets appear to be much greater.

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