蒙古煤礦公司之風險分析:套利訂價模型之應用與能源價格影響之研究

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Title:	蒙古煤礦公司之風險分析:套利訂價模型之應用與能源價格影響之研究 The Risk Analysis of Mongolian Coal Companies: APT and the Effects of Energy Price
Authors:	沙明明
Contributors:	國際企業管理學系
Keywords:	Stock return Oil shock Energy price Multifactor model APT theory
Date:	2014
Issue Date:	2014-10-06 11:03:09 (UTC+8)
Abstract:	本文旨在尋找利用多因子模型股票收益和因素之間的關係，並確定使用APT的煤炭開採公司的風險因素。本文使用的數據由四只個股的蒙古煤炭企業，蒙古，煤炭和石油價格，利率和匯率的市場指數。對於變量的數據跨越了2009年至2013年使用多回歸分析和主成分分析。股票收益率與因素之間的關係的理解是在投資決策中的一個重要因素。如果投資者了解公司的風險因素，他們可以評估回報的股票所需的速度。結果表明，市場回報率相比其他因素，最顯著的因素。市場回報率曾與股票報酬為所有四個煤炭公司一個顯著的關係。煤炭價格和股票收益之間的關係不顯著。此外，我們發現，利率和煤價是其他危險因素中最危險的因素。 This paper aims to find a relationship between stock return and factors by using a multi factor model and identify the risk factors of the coal mining companies using APT. The data used in this paper consists of four stocks of Mongolian coal companies, market index of Mongolia, coal and oil price, interest rate and exchange rate. Data for variables span over the period from 2009 to 2013 and used multi regression analysis and principal component analysis. An understanding of the relationship between stock return and factors is an important factor in investment decision. If investors know about the company risk factors, they can evaluate the required rate of return of the stock. The results showed the market return was the most significant factor comparing to the other factors. Market return had a significant relationship with the stock returns for all of four coal companies. The relationship between coal price and stock return was insignificant. Also we found that interest rate and coal price were the most risky factors among the other risk factors.
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