楊朝成臺灣大學：財務金融學研究所Chen, Yi-JungYi-JungChen2007-11-282018-07-092007-11-282018-07-092005http://ntur.lib.ntu.edu.tw//handle/246246/60926本論文之研究目的為探討赴大陸投資的上市公司其股票報酬是否有一致性的變動行為，我們根據上市公司在大陸投資金額的相關性質來組成投資組合，而樣本期間為1993-2003年。本研究發現赴大陸投資金額較高的上市公司其股票報酬1994-2004年這這段期間會一同變動。因此我們可以說在台灣的股票市場存在著中國概念股因子 。此外赴大陸投資金額愈高的公司其股票報酬亦較高。We aim to investigate whether there is a common variation of stock returns in Taiwanese listed firms with investments in China. We formed portfolios of firms based on observable characteristics related to investments in China, using a sample of listed firms in Taiwan stock market for the period 1990-2003. We found that firms investing heavily in China have stock returns moving together over time, which suggests that firms investing in China are subject to common shocks. Therefore, there exists a China Concept factor for listed firms in Taiwan stock market. Firms investing highly in China have higher average stock returns.Contents 1. INTRODUCTION 1 1.1 BACKGROUND 1 1.2 MOTIVATION AND PURPOSE 5 1.3 STUDY PROCESS 8 1.4 CONSTRAINTS 9 2. LITERATURE REVIEWS 9 3. RESEARCH METHODOLOGY 11 3.1 DATA SOURCES 11 3.1.1 Research sample 11 3.1.2 Research periods and data sources 12 3.2 FINANCIAL MODELS 12 3.2.1 Model 1: investigation of return pattern 12 3.2.2 Model 2: Investigation the covariance of China Concept Factor 13 3.2.3 Model 3: Investigation of covariance of China Concept Factor after controlling industry factor. 14 3.2.4 Model 4: Investigation of the explain ability for China Concept Factor by existing asset pricing model 15 4. EMPIRICAL RESULTS 15 4.1 FIRM CHARACTERISTICS 15 4.2 TESTING FOR COMMON VARIATION AND TIME-SERIES PROPERTIES 17 4.3 TESTING FOR COMMON VARIATION AND TIME-SERIES PROPERTIES AFTER CONTROLLING INDUSTRY FACTOR 19 4.4 THE CORRELATION BETWEEN CCF (CCFIND) AND OTHER RISK FACTORS 21 4.5 THE CCF AND CCFIND RETURNS AND EXISTING PRICING MODEL 22 4.6 TESTING FOR COMMON VARIATION AND TIME-SERIES PROPERTIES OF EXTREME PORTFOLIO 24 5. Conclusions 27 REFERENCES 28529093 bytesapplication/pdfen-US中國概念股China Concept Stockthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60926/1/ntu-94-R92723032-1.pdf