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頁籤選單縮合
題名 | 利率與匯率風險對銀行業股價報酬之影響=Effects of Interest Rate Risks and Exchange Rate Risks on the Stock Returns in Taiwan's Banking Industry |
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作者姓名(中文) | 林淑玲; 單秀文; | 書刊名 | 會計與財金研究 |
卷期 | 2:1 2009[民98] |
頁次 | 頁19-35 |
分類號 | 563.54 |
關鍵詞 | 利率風險; 匯率風險; 股價報酬; Panel估計法; Interest rate risk; Exchange rate risk; Stock return; Panel estimation; |
語文 | 中文(Chinese) |
中文摘要 | 利率風險及匯率風險均因未來市場價值變動,促使金融機構所持有金融資產交易部位之市場價值遭遇損失之市場風險。自1990年代起,台灣實施利率與匯率自由化後,國內金融機構的經營環境面臨日趨複雜的金融環境與衍生性金融商品的出現,不同資產報酬之間的相互關聯程度與複雜的交易策略,使得投資者位於高風險的投資環境中而不自覺。鑑於此,本文分別探討利率與匯率自由化前後,亦即民國74~94年、民國74~84年、民國85~90年、民國91~94年等四個時期之影響效果,以瞭解並深入分析:(1)利率風險對銀行業股價報酬的影響。(2)匯率風險對銀行業股價報酬的影響。(3)同時考慮利率風險與匯率風險之下,對銀行業股價報酬的影響。(4)比較利率與匯率自由化前後之影響效果。 經Panel Estimation實證結果顯示:利率與匯率自由化前後等四個時期中,加權股價指數的市場報酬對我國銀行業股價報酬的影響,均呈現顯著的正相關;亦即市場報酬越高,則銀行業股價報酬亦呈現顯著的提昇。此外,利率風險對銀行業股價報酬的影響方面:利率與匯率自由化前後等四個時期,利率風險對銀行業股價報酬的影響效果均呈負向關聯。顯示當利率變動上升時,則銀行業股價報酬將會下降。其中以利率自由化後(民國85-90年),利率風險對銀行業股價報酬呈顯著的負相關,且利率自由化後的相關係數顯著高於自由化前。此外,在匯率風險對銀行業股價報酬的影響方面:以匯率自由化後(民國91-94年),匯率風險對銀行業股價報酬呈顯著的負相關,且匯率自由化後的相關係數也高於自由化前。顯示當匯率貶值時,則銀行業股價報酬將會下降。最後,自開放新銀行設立後(民國85-90年),匯率風險對我國銀行業股價報酬的影響呈正相關,且已達5%的顯著水準,與預期相反。本文推論可歸因於:(1)匯率自由化後有落後期現象。(2)新銀行剛成立,受到匯率風險的影響效果尚未顯現出來。(3)受到整體經濟變動因素的影響。 |
英文摘要 | The objective of this study is to explore the effects of interest rates and exchange rates pre and post deregulation, and to analysis of: (1) Effects of interest rate risk on stock returns in Taiwan's banking industry. (2) Effects of Exchange rate risk on stock returns in Taiwan's banking industry. (3)Taking into interest rate risk and exchange rate risk simultaneously, the effects of stock returns of banking industry in Taiwan (4) To compare the effects of interest rates and exchange rates between pre and post deregulation. The empirical results of panel estimation show that: The effects of market return on stock return of Taiwan's banking industry between pre and post deregulation of four periods show a significantly positive relationship. That is, the higher of market return, the stock returns were significantly improved. On the side of interest rate risk, the effects of interest rate risk on stock return of Taiwan's banking industry between pre and post deregulation of four periods show a negative relationship. With the post-deregulation of interest rates during the period of 1996 to 2001, interest rate risk on the stock returns was significantly negatively relationship. Furthermore, the effect of interest rate post deregulation was significantly higher than pre deregulation. On the effects of exchange rate risk on stock returns: Post-deregulation of exchange rate risk during the period of 2002 to 2005, exchange rate risks in the banking stock returns were significantly negatively relationship, the effect of exchange rate post deregulation was significantly higher than pre deregulation. It implies that when the exchange rate devaluation, banking stock returns will be reduced. Finally, since the establishment of new-privated banks during the period of 1996 and 2001, the effect of exchange rate risks on stock returns in Taiwan's banking industry were positively relationship, and has reached the 5% significance level, but contrary to expectations. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。