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題 名 | 臺灣不動產指數對保險公司股票報酬關聯性之研究=A Study of the Relationship between Stock Returns of Taiwan Estate Index And Insurance Companies |
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作 者 | 徐清俊; 許登貴; | 書刊名 | 德明學報 |
卷 期 | 25 2005.06[民94.06] |
頁 次 | 頁31-46 |
分類號 | 554.8 |
關鍵詞 | 保險公司; 不動產指數; GARCH模型; Insurance company; Estate index; GARCH model; |
語 文 | 中文(Chinese) |
中文摘要 | 本文主要探討不動產市場的變化是否會進而影響到國內上市保險公司股價報酬,觀察期間自1993年7月至2001年12月,樣本公司分為全體樣本公司、產險公司及壽險公司;使用GARCH模型來說明不動產市場對於保險公司股票報酬的影響;最後使用橫斷面分析影響公司股價的公司特性。 實證結果歸納出幾點結論:不論是全體樣本公司及產(壽)險公司的股票報酬,與市場加權指數報酬皆具有高度的正向連動性。在商業本票利率對產險公司之利率敏感性影響較大。在對不動產敏感性上,全體樣本公司及產(壽)險公司對不動產市場的繁榮衰退會同時影響到壽險公司的股價報酬。故投資人投資保險公司股票時,在不動產市場景氣影響的考量下,會受到保險公司歸類於產險或壽險公司而產生差異。 另外利用橫斷面分析影響公司股價報酬之公司特性時,結果顯示業務槓桿高的保險公司股價報酬率較高,而業務槓桿之平方項顯著與保險公司股價報酬率並非線性關係。投資人對壽險公司與產險公司再保率的存在是不大的;且產險公司的規模愈大,愈有能力承受保險理賠,也愈能承保到較大型的案子,故會提高其公司價值的評價。 |
英文摘要 | The purpose of the study is to examine the effect of Taiwan's Real Estate Market to insurance companies' stock returns from July 1993 to December 2001. Sample companies include all, life, industry insurance companies. This study applies the GARCH Model to find the impacts of Taiwan's Real Estate Market to the insurance companies' stock returns; Finally we use cross-sectional analysis to examine the influence of firms' characteristics on the firms' stock prices. The following conclusions are based on the results showed in the study: All types of insurance comanies' stock returns and Taiwan stock return move in lockstep. The interest rate sensitivity of Commercial Paper is bigger to industry insurance company. In the Estate Sensitivity Analysis, the effect of real estate on all sample firms is positive. Moreover, when we use cross-sectional analysis to examine the influence of firms' characteristics on the firms' stock prices, we find the insurance companies' exposure leverage have positive relationship with stock returns. And the nonlinear relationship between the square significance of the exposure leverage and the insurance companies' stock return. The result of this research found that there is positive relationship between the property-liability insurance company size and company value. |
本系統中英文摘要資訊取自各篇刊載內容。