本研究以台灣指數公司於2016 年12 月19 日發行的Smart Beta－「低型波動指數」 與「低貝塔指數」排序，擷取29 家「低貝塔值公司」與30 家公司「高貝塔值公司」，評 估「市場風險」、「流動性風險」，以及「信用風險」，應用Granger（1969）提出的因果關 係模型針對三種風險之時序關係進行實證研究。實證結果發現：(1)「低貝塔值公司」的 「信用風險」發生時序影響性，明顯高於「市場風險」與「流動性風險」。(2)「高貝塔值 公司」的「市場風險」與「流動性風險」發生時序影響性，則明顯高於「信用風險」。

In this research, we adopt Volatility Smart Beta Type Company issued by Taiwan Index Company on December 19, 2016 as the empirical samples. By dividing data as 29 “Low” Volatility Smart Beta company and 30 “High” Volatility Smart Beta company, respectively, we use Granger causality model to research the relationship between market risk, liquidity risk and credit risk. The empirical results show that, (1) In 29 “low” Volatility Smart Beta company, the effect of time sequent of “credit risk” is significantly important than “market risk” and “liquidity risk”. (2) In 30 “high” Volatility Smart Beta company, the effect of time sequent of “market risk” and “liquidity risk” are significantly important than “credit risk”.