IDEAS home Printed from https://ideas.repec.org/a/jfr/ijfr11/v4y2013i2p77-82.html
   My bibliography  Save this article

New Risk Measure and Idiosyncratic Risk in Taiwan Stock Market

Author

Listed:
  • Yin-Ching Jan
  • Su-Ling Chiu
  • Jerry M. C. Wang

Abstract

Under the model developed by Merton (1987), the idiosyncratic risk would be important to explain the expected stock return. We follow the approach of Daniel and Titman (1998), and use the risk measure developed by Jan and Wang (2012) to examine whether idiosyncratic risk can play an important role in explaining the expected return in Taiwan stock market. We find that beta can¡¯t explain the expected return, and that idiosyncratic risk has a positive relation to expected returns for stocks with smaller beta portfolio. We also explore a weak evidence of the positive relationship between idiosyncratic risk and expected return for size-sorted portfolio.

Suggested Citation

  • Yin-Ching Jan & Su-Ling Chiu & Jerry M. C. Wang, 2013. "New Risk Measure and Idiosyncratic Risk in Taiwan Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(2), pages 77-82, April.
    • Handle: RePEc:jfr:ijfr11:v:4:y:2013:i:2:p:77-82
    as

    Download full text from publisher

    File URL: http://www.sciedu.ca/journal/index.php/ijfr/article/view/2656/1511
    Download Restriction: no
    File URL: http://www.sciedu.ca/journal/index.php/ijfr/article/view/2656
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Yen-Sheng Huang, 1997. "The size anomaly on the Taiwan Stock Exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 7-12.
    2. Sheu, Her-Jiun & Wu, Soushan & Ku, Kuang-Ping, 1998. "Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 1-18.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yin-Ching Jan, 2014. "A Note on a New Weighted Idiosyncratic Risk Measure," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(3), pages 194-198, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tony Naughton & Madhu Veeraraghavan, 2004. "Are Price Limits Priced? Evidence from the Taiwan Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 249-267, December.
    2. Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
    3. Fuzuli Aliyev & Aysel Soltanli, 2018. "Empirical test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 4(1), pages 74-81, March.
    4. Chen, Tsung-Cheng & Chien, Chin-Chen, 2011. "Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 208-229, April.
    5. Yin-Ching Jan & Su-Ling Chiu, 2010. "Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(3), pages 79-91.
    6. Fan, Yu-Ju & Lai, Hung-Neng, 2006. "The intraday effect and the extension of trading hours for Taiwanese securities," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 328-347.
    7. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jfr:ijfr11:v:4:y:2013:i:2:p:77-82. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gina Perry (email available below). General contact details of provider: http://ijfr.sciedupress.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.