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研究生：	范玉賞 Pham, Ngoc-Thuong
論文名稱：	The Impact of Systematic Risk of MSCI, US, Japan and China on ASEAN Equity Markets The Impact of Systematic Risk of MSCI, US, Japan and China on ASEAN Equity Markets
指導教授：	林軒竹 Lin, Hsuan Chu
學位類別：	碩士 Master
系所名稱：	管理學院 - 國際經營管理研究所碩士班 Institute of International Management (IIMBA--Master)
論文出版年：	2009
畢業學年度：	97
語文別：	英文
論文頁數：	62
外文關鍵詞：	Systematic risk, ICAPM, Integration and risk impact between MSCI，US，Ja, ASEAN equity markets
相關次數：	點閱：58 下載：1
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This study applies the International Capital Asset Pricing Model (ICAPM) for investigating the impact of systematic risk of MSCI, US, Japan and China on ASEAN equity markets. The sample period is from 1987 to 2008, including the period of Asian financial crisis. I therefore divide the testing period into three: pre-crisis (1987-1996), during-crisis (1997-1998), and post-crisis (1999-2008). After the tests, the results show that Japan market consistently has impact of systematic risk on ASEN equity markets in the whole sample period, especially in during-crisis and post-crisis periods, while US market has impact of systematic risk on ASEAN equity markets in the pre-crisis and post-crisis periods, not in the during-crisis period. Moreover, the finding also documents the growing influence of China market on the surrounding countries in more current years. These findings indicate that “area” is a very important concern, besides “size”, when choosing the explanatory market for investigating systematic risk in the ICAPM model.

ACKNOWLEDGEMENTS ........................................................................................... I
ABSTRACT .................................................................................................................. II
TABLE OF CONTENTS ............................................................................................... I
LIST OF TABLES ...................................................................................................... III
LIST OF FIGURES ...................................................................................................... V
CHAPTER ONE INTRODUCTION ............................................................................ 1
1.1 Research Background. ..................................................................................... 1
1.2 Motivation of Research. .................................................................................. 2
1.3 Objective of Research. ..................................................................................... 5
1.4 Structure of Research. ...................................................................................... 5
CHAPTER TWO BACKGROUND OF ASEAN EQUITY MARKETS ..................... 7
2.1 Singaporean Equity Market. ............................................................................ 7
2.2 Malaysian Equity Market. ............................................................................... 7
2.3 Indonesian Equity Market. .............................................................................. 8
2.4 Thai Equity Market. ......................................................................................... 8
2.5 Philippines Equity Market. .............................................................................. 9
2.6 Vietnamese Equity Market. ............................................................................. 9
CHAPTER THREE LITERATURE REVIEW ........................................................... 11
3.1 The Linkages between the United States/Japan/China and ASEAN Equity Markets. ........................................................................................................ 11
3.2 The Systematic Risk for International Capital Asset Pricing Model (ICAPM). ...................................................................................................................... 14
CHAPTER FOUR RESEARCH DESIGN AND METHODOLOGY ........................ 17
4.1 International Capital Asset Pricing Model (ICAPM). ................................... 17
4.1.1 Founding the ICAPM. ......................................................................... 17
4.1.2 Empirical Model. ................................................................................ 18
4.2 Data Set. ........................................................................................................ 20
4.3 Regression Analysis. ...................................................................................... 21
CHAPTER FIVE RESEARCH RESULTS ................................................................. 22
5.1 Descriptive Statistics Test. ............................................................................. 22
5.2 Analysis of Impacts of Risk Based on Correlation and Stock Market Performance. ................................................................................................. 29
5.3 Analysis of Impacts of Risk of MSCI, US, Japan, China on ASEAN Equity Markets. ........................................................................................................ 40
5.3.1 The Impacts of Risk of One of MSCI, US, Japan and China on ASEAN Equity Markets..................................................................................... 40
5.3.2 The Impacts of Risk of Two of the US, Japan and China on ASEAN Equity Markets..................................................................................... 46
5.3.3 The Impact of Risk of all the US, Japan and China on ASEAN Equity Markets. ............................................................................................... 52
5.3.4 Evaluating the Model Based on the Results of Regression. ................ 57
CHAPTER SIX CONCLUSIONS .............................................................................. 58
6.1 Conclusions. .................................................................................................. 58
6.2 Limitations and Recommendations. .............................................................. 59
REFERENCES ............................................................................................................ 61
                                    

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校內：2010-07-03公開
校外：2012-07-03公開

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