Title page for etd-1114111-143314


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URN etd-1114111-143314
Author Chia-hua Chang
Author's Email Address No Public.
Statistics This thesis had been viewed 5559 times. Download 147 times.
Department Finance
Year 2011
Semester 1
Degree Master
Type of Document
Language English
Title The Construction of Cross Market Stock Risk Model -
With Application in Taiwan´╝îChina and Singapore
Date of Defense 2011-07-21
Page Count 87
Keyword
  • Multi-Factor Model
  • Barra-Integrated model
  • Quantitative Portfolio
  • Portfolio analysis
  • Portfolio Management
  • Abstract This study constructs a cross-market risk model based upon local multi-factor risk models of Taiwan, China and Singapore equity markets. This model allows each local market to adopt different local factors rather than force all local markets to use one parsimonious set of factors. We employ the world, country, industry, and global risk factors to build a structural model which could explain the relationship between local factors across market by further decomposing local factor returns. Therefore, this model could provide both in-depth and broad coverage analysis of international equity portfolios.
      Furthermore, we build a simple portfolio and its corresponding benchmark to illustrate the usage of our model. Once the contents of a portfolio are decided, this model could provide not only the risk estimation and decomposition in advance but also the performance attribution compared with the benchmark after the portfolio is realized. The analytical viewpoint could also easily change with different numeraire perspectives. The result demonstrates that this model is practical and flexible for international equity portfolio analysis.
    Advisory Committee
  • Hsin-hui Lin - chair
  • Shyh-Weir Tzang - co-chair
  • Yih Jeng - advisor
  • Files
  • etd-1114111-143314.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2011-11-14

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