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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/124634

    Title: 風險因子價格崩跌風險之探討 -以台灣股市為例
    Price crash risk of risk factors: Evidence from Taiwan stock markets
    Authors: 吳芝儀
    Wu, Chih-Yi
    Contributors: 郭維裕
    Wu, Chih-Yi
    Keywords: 股價崩跌風險
    Stock price crash risk
    Risk factors
    Date: 2019
    Issue Date: 2019-08-07 15:49:33 (UTC+8)
    Abstract: 全球金融海嘯發生,造成股價大幅下跌,投資人遭受巨大損失。本篇論文想要藉此探討,Chen et al. (2001)及Ak et al. (2016)等人所提出的三種計算偏態程度的公式中,從系統風險結構下,找出從五因子風險模型延伸至其他相關風險因子,預測台灣市場大盤股價崩跌風險,使投資人可以事先避免突如其來股價嚴重崩跌時,資產面臨大幅虧損的情況。
    Every time global financial crisis happens, it leads the stock price going down dramatically and the active investors face significant losses as well. In this study, we want to investigate that under the system risk, whether we can forecast the stock price crash risk of Taiwanese aggregate stock market. We mainly extend the five-factor risk factors model to other relative risk factors. Next, we put these factors into the formulas which are proposed by Chen et al. (2001) and Ak et al. (2016) to do the skewness measurement of stock price. In case of forecasting the future stock crashes risk, investors may avoid the stock price decline sharply in advance, and protect their assets.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106351020
    Data Type: thesis
    DOI: 10.6814/NCCU201900308
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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