資本資產定價模型 (capital asset pricing model, CAPM) 闡述股票報酬率與市場風險之間的關係。對整體的股票市場來說，市場系統性風險 (market risk; systematic risk) 越高的股票資產，應該提供更高的市場風險溢酬 (market premium)，才能吸引投資人投資風險性資產。衡量市場風險溢酬的指標，就是市場風險敏感度 (market beta)，簡稱為貝塔係數。本研究探討臺灣股票市場是否存在這種系統性風險與投資組合報酬率關係隨晝夜變化(varying with day and night)的特殊現象。我們首先計算交易當日從開盤到收盤的報酬率並且定義為日間報酬率 (以百分比表示)。夜間報酬率則是從收盤後到隔日開盤的期間來衡量。其次，我們使用每天的夜間報酬率以及一年期的滾動窗口(one-year rolling window)來估計個別上市股票的市場風險敏感度-貝塔係數。我們將整體上市股票的市場風險敏感度進行排序，根據市場價值加權 (market-value-weighted) 以及相等權重 (equal-weighted)，分別組成10個用來檢定的貝塔投資組合。利用橫斷面Fama-MacBeth混合樣本迴歸方法以及固定效應的縱斷面迴歸方法 (panel regression with fixed effect) 將日報酬率對市場風險敏感度-貝塔進行分析。我們實證發現臺灣股市每日的夜間報酬率與市場風險溢酬呈現正相關，日間報酬率與市場風險溢酬呈現負相關，造成這樣的現象很有可能原因是來自股票市場對資訊的揭露程度或是隱含夜間報酬率反映市場的流動性風險。 The CAPM addresses the relationship between stock returns and market risk. In the stock market, individual stock with the higher the market (systematic) risk should compensate with the higher market risk premium, so that investors are attracted to invest in risk assets. In addition, the indicator to measure the market risk premium is the sensitivity on market risk, referred to as market beta. This study examines whether there is a special phenomenon of day and night differentials in market beta and portfolio returns. We first calculate the intraday rate of return by using the open price and close price in the day (expressed as a percentage). Night-time returns are measured from the period after the close of trading to the opening of the next day. Second, we use daily night-time returns and one-year rolling windows to estimate the market beta on individual listed stock. We divide the overall listed stocks into ten beta portfolios based on value-weighted and equal-weighted market betas. The Fama-MacBeth regression with cross-sectional mixed sample and longitudinal regression with the fixed-effect (panel regression with fixed effect) are used to analyze the sensitivity of daily return to market beta. We empirical findings that night-time electronic stock returns are positively correlated with market risk premiums (i.e., positive market beta), and daytime returns are negatively correlated with market risk premiums (negative market beta). These day and night differentials in market betas are most likely due to the degree of disclosure of information in the stock market or the market liquidity risk on night-time returns.
