營建業股票報酬率的主要衝擊因素分析：以台灣前五大營建公司為例

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Title:	營建業股票報酬率的主要衝擊因素分析：以台灣前五大營建公司為例
Other Titles:	A THESIS FOR THE DEGREE OF MASTER OF BUSINESS ADMINISTRATION INSTITUTE OF FINANCIAL MANAGEMENT NAN HUA UNIVERSITY
Authors:	李芷珠 Li, Chih-chu
Contributors:	財務金融學系財務管理碩士班張瑞真 Jui-chen Chang
Keywords:	GARCH模型;油價;股價;IGARCH模型;報酬;匯率 IGARCH model;GARCH model;return;exchange rate;stock price;oil price
Date:	2010
Issue Date:	2015-03-16 10:25:44 (UTC+8)
Abstract:	本文研究選取2005年1月至2009年4月之遠雄、興富發、長虹、華固與皇翔等五家營建股股價指數和其成交量、台灣加權股價指數、匯率與油價之資料，利用Student's t分配與GRACH模型(Bollerslev，1990)探討台灣高價營建公司股價報酬受到台灣加權股價指數、成交量、匯率與油價報酬率的影響。而由實證結果顯示IGARCH(1，1)模式對探討台灣高價營建公司股價報酬受到台灣加權股價指數、成交量、匯率與油價報酬率之影響的擬合是合適的，且發現台灣高價營建公司股價報酬波動是未具有不對稱之現象。實證結果發現：(1)遠雄與華固股價報酬率受到油價報酬率的影響。(2)興富發、長虹、華固與皇翔股價報酬率受到台灣加權股價波動率的影響。(3)長虹、華固與皇翔股價報酬率受到其成交量波動率的影響。(4)華固與皇翔股價報酬率受到匯率波動率的影響。(5)基於變異風險，以華固股價報酬率之變異風險最高( =0.9316)，而長虹股價報酬率之變異風險最低( =0.8030)。　　This study collected the stock price indices and the turnovers of Taiwan stock market data of Farglory, Highwealth, Chong Hong, Huaku, and Huang Hsiang five contruction componies, as well as Taiwan weighted stock price index, the exchange rate and the oil price from January 2005 to April 2009, This paper uses the Student's t distribution and the GRACH model (Bollerslev, 1990) to discuss the higher price construction companys's stock price returns receives the influence of the Taiwan weighted stock price index, the U.S. dollars in Taiwan, the turnovers of Taiwan stock market data and the oil price return volatility. By the empirical results demonstrate that the higher price construction companys's stock price returns receives the influence of the Taiwan weighted stock price index, the U.S. dollars in Taiwan, the turnovers of Taiwan stock market data and the oil price return volatility, the fitting of IGARCH(1, 1) model is appropriate. And the higher price construction companys's stock price return volatility do not have phenomenon of the asymmetry. The empirical result also shows that the volatility of the oil price return influences the Farglory's and Huaku's stock price returns. The empirical result also shows that the volatility of the Taiwan weighted stock price return influences the Highwealth's、Chong Hong's、Huaku's and Huang Hsiang's stock price returns. The empirical result also shows that the volatility of the turnover return influences the Chong Hong's、Huaku's and Huang Hsiang's stock price returns. The empirical result also shows that the volatility of the exchange rate return influences the Huaku's and Huang Hsiang's stock price returns. Based on the variation risk, the variation risk of the Huaku's stock price return is the most highest ( =0.9316), and the variation risk of the Chong Hong's stock price return is the most lower ( =0.8030).
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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