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題 名 | 貨幣市場利率變動對以銀行為主體之金融控股公司股票報酬之研究=A Study of the Impact of Money Market Interest Rate Volatility on Stock Returns of Financial Holding Companies Based on Banks |
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作 者 | 徐清俊; 于文燕; | 書刊名 | 美和技術學院學報 |
卷 期 | 24:1 2005.04[民94.04] |
頁 次 | 頁161-178 |
分類號 | 562.12 |
關鍵詞 | 貨幣市場利率; 金融控股公司; 二因子模型; Financial holding company; Monetary market rate; Two-index model; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以臺灣地區九家金控公司為研究對象,觀察從2003年1月2日至2004年6月2日這段期間,金控公司的股票報酬是否受到利率變動之影響,並比較各家金控公司股票報酬受到利率變動之影響程度。 本研究以二因子及GARCH模型來分析利率變動對於九家金控公司股票報酬的影響。實證結果顯示,除第一金外,利率變動對股票報酬之影響具有負向關係,即利率下跌將造成股票報酬上升。其次利率變動對於金控公司股票報酬之影響程度顯示,日盛金最大,建華金最小。 |
英文摘要 | This study first examines the relationship between the stock returns and interest returns of Taiwan's Financial Holding Companies. Next, the authors measured the magnitude of the financial holding companies. The sample included nine financial holding companies with daily prices for the time period from January 2, 2003 to June 2, 2004. The authors used a two-factor model and the GARCH model to determine the influence of interest rate on stock price of Financial Holding Companies. Empirical results showed that, except for First Financial Holding Company, there was a difference between the value of the interest rate and the return of stock. That implies, if the interest rate goes up, it will cause downward stock returns. Furthermore, as far as the magnitude of influence is concerned, Jihsun Holdings is the strongest, while SinoPac Holdings is the weakest. |
本系統中英文摘要資訊取自各篇刊載內容。