Riskiness之應用：以跨國證券市場為例

Abstract

如何客觀評估風險一直是財務研究者關注的焦點，由Robert J. Aumann和Roberto Serrano提出的風險指標Riskiness，即嘗試只計算賭局本身的風險特徵而排除個人風險趨避程度的影響。在以具備經濟意涵的想法作為出發點，同時考慮賭局報酬之一階隨績優越與二階隨機優越下，Riskiness提供了投資者衡量風險另一個選擇。 本文研究即在運用Riskiness指標，將國際證券市場的歷史資料彙整，計算出相應之風險值並和傳統慣用的風險指標，如變異數、標準差、 、VaR和CVaR，所得之結果加以比較。 研究發現Riskiness確實彌補了以往風險指標諸多不足之處且打破了新興市場的風險總是大於已開發市場的迷思。

How to properly evaluate risk has always been a focus in the minds of many financial researchers. Riskiness, proposed by Robert J. Aumann and Roberto Serrano, served as a new indicator of risk. It aims at reflecting only the attributes of the gamble and excludes the effects of personal risk aversion. Based on economic ideas, Riskiness takes first-order stochastic dominance as well as second-order stochastic dominance into consideration and offers investors a new way of risk evaluation. This study, taking advantages of Riskiness, uses historical data from international stock markets to calculate corresponding risk value of different stock markets and compares the results of Riskiness with other traditional risk indicators like variance, standard deviation, , VaR and CVaR. As we can find through this paper, Riskiness makes up many weaknesses of traditional risk indicators and breaks the myth that risks of emerging markets are always higher than that of developed markets.