【作者】 张莉珠；

【导师】 李一智；

【作者基本信息】 中南大学 ， 管理科学与工程， 2004， 博士

【摘要】 证券市场是一个国家的经济橱窗，1980年以来国际股市的投资人逐渐将其投资目标置於蓬勃发展之亚洲股市，国际投资市场兴起一股「中国热」，将大陆、香港，台湾，纳为大中华经济圈，中国大陆自1993年开始宏观调控经济，新一轮经济成长起飞带动景气复苏，由台湾投资人的角度来看，庞大的市场潜力，再加上台湾政府『开放投资、积极管理』的政策，使得中国大陆证券市场成为台湾投资者急欲抢攻的目标。令人瞩目的是中国当局自2002年12月1日开放外资政策，准许外资购入A股引进QFⅡ制度，无庸置疑的是有效、稳妥的通过资本市场吸引外资资金的延续与拓展政策，不仅加速了金融市场自由化、法人化、国际化，更及早与国际金融舞台接轨。 中国大陆加入WTO後，打破限制外商经营通路，内外销比例限制等贸易障碍，高科技产品占中国出口比例20％，电子产业迅速发展，活络了中国大陆电子类股的股市行情，对於经济社会而言，电子类股一直是人气与资金汇集的主流股，其产业内涵与特性迥异于传统产业，易受政经因素影响，存在著不确定性高，若投资风险过大，将导致风险规避型投资者投资意愿低，因此以系统风险作为风险调整报酬的基础，对投资者做决策时是非常关键的指标。 本文鉴於此以电子类股为研究物件，实证模型为市场模式(Market Model)，藉由最小二乘法(OLS)估算系统风险值，比较分析两岸证券市场电子类股系统风险值之差异，综合两岸股票市场资料所获致的实证结果，得到以下结论： (1) 资本资产定价模式所得到的实证结果，三个证券市场的市场报酬率与个股报酬率均有正相关的关系，亦即高风险、高报酬的关系。因此两岸三个证券市场均适用资本资产定价模式。 (2)横断面相关分析实证结果，台湾证券市场电子股、上海证券市场电子A股，个股系统风险值与平均报酬率相关程度显著负相关，但深圳证券市场电子A股系统风险值与平均报酬率相关程度不显著，提供投资博十毕位谕文摘要 者在逃择侗股峙膺孩遴择系统夙险值戟小的侗股造行投资，因篇平均 报酬率高，但却不迪用砖深圳橙券市塌雷子A股。(3)榆定雨岸三侗橙券交易所的雷子股系统夙险值的分配有颖著差纂;而 平均报酬率之分配却没有颖著差纂。再者，系统夙险值平均等级夏潜 雷子股最高145.06，深圳雷子A股次之88.79，上海霓子A股最低 77.52，而报酬率平均等级以上海雹子A股最多126.33，毫潜雷子股次 之122.50，深圳A股最低 116.57，因此雨岸三地投资者作投资诀策峙， 其投资行焉属龄夙险规避者，上海橙券市塌雷子A股是最好的遴择。更多还原

【Abstract】 Stock market is like an economic window of each country. Since the 80’s international stock market investors gradually aimed at vigorously developing Asian stock markets. The "China fad" overwhelmed the international investing market. China, Hong Kong and Taiwan have been included as "The Grand Chinese Economic Circle". From 1993, owing to China authority began the macro-control of its economic condition; a newly economic development revived its prosperity. From the point of view of Taiwan investors, the enormous marketing potential enhanced with Taiwan government’s "Proactive liberalization with effective management" policy made the China stock market the most popular investing point. Impressively, the QFII (Qualified Foreign Institutional Investor) had been introduced into China’s mainland on the 1st of December 2002. The authority allowed foreign capital to buy in stock A. Undoubtedly, it effectively stabilized the continuity and extension policy of attracting foreign capital through capital markets. This policy not only accelerated liberalization, corporationalization and internationalization of financial markets, but also speedily connected its financial market to international financial markets.With WTO accession, China’s mainland broke trade obstacles such as limiting foreign traders’ business links, and percentage of import and export. This movement encouraged the export percentage of high-tech products up to 20% of all. The prompt development of electronic industry activated the electronic stock quotation in China. To the economy, electronic stocks are always the major stocks which embrace much capital and preference. The content and character of electronic industry are faraway from conventional industry. It is easy affected by political and economic factors, carrying high uncertainty. If the investing risks are excessive, it will lower the inclination of risk averters. Therefore, taking systematic risk as the foundation of risk adjusting return is a critical index for investors making decisions.This thesis will study on electronic stocks and adopt market model to estimate thecorrelations between rate of return of stock markets and systematic risk across-strait. Hope through the estimation and compared analysis, we can find out the variations of stock market portfolios and rate of returns. The empirical results from integrating stock market datum across-strait are as follows:(1) The empirical result of capital asset pricing model (CAPM) - market returns and single stock returns of three stock markets have positive relationship. It is a high-risk and high-return relationship. Therefore, three stock markets across-strait are suitable for CAPM.(2) The empirical result of cross-section analysis- single stock systematic risk and average return of Taiwan electronic stocks and Shanghai electronic stocks of stock A are apparently negative relationship. Yet, Systematic risk and average return of Shenzhen electronic stocks of stock A do not have clearly relationship. Investors should depend on this result and invest in those low systematic risk stocks, because of their high average returns. Shenzhen electronic stocks of stock A are not in this count.(3) Examining three stock exchanges across-strait, the distributions of electronic stocks’ systematic risk have noticeable variation but the distributions of average return do not have clearly variation. Moreover, the highest average level of systematic risk is Taiwan electronic stocks with 145.06, the second place is Shenzhen electronic stocks of stock A with 88.79, and the lowest is Shanghai electronic stocks of stock A with 77.52. The highest average level of return is Shanghai electronic stocks of stock A with 126.33, Taiwan has 122.50 in the second place, and Shenzhen is the lowest with 116.57. Therefore, investors who are of risk averters invest in three stock exchanges across-strait should choose Shanghai electronic stocks of stock A as the best buy.更多还原