上市票券金融公司股票報酬之利率波動性研究

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/21322

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Title:	上市票券金融公司股票報酬之利率波動性研究
Other Titles:	A Study of Interest Rate Volatility of Stock Returns from Listed Bills Finance Corporation in Taiwan
Authors:	王聰雄 Wang, Tsung-hsiung
Contributors:	財務管理研究所徐清俊 Ching-jun Hsu
Keywords:	票券金融公司;利率風險;貨幣市場利率 monetary market rate;bills finance corporation;interest rate risk;GARCH;EGARCH
Date:	2003
Issue Date:	2015-06-02 16:48:29 (UTC+8)
Abstract:	本研究以國內3家上市票券公司股票為研究對象，觀察從1995年1月4日至2001年12月6日這段期間內，上市票券公司股票報酬是否有受到利率變動影響並比較上市票券公司股票報酬受到利率變動影響之幅度及上市票券公司股票報酬受到利率波動衝擊時，經過多少時間後仍然持續存在效果。　　　　本研究利用GARCH模型與EGARCH模型探討利率對於三家票券公司股票報酬的影響，實證結果歸納出下列結論：利率與三家票券公司股票報酬的關係是負相關，即利率上升將會使三家票券公司股票報酬下降。利率變動影響三家票券公司報酬之幅度則分別為：CP2-30天期與90天期利率為興票>國票>華票，CP2-180天期利率為國票>興票>華票。國票經過18個交易日，衝擊效果依然會存在一半，興票38個交易日，華券大約經過110個交易日，此外國票調整速度最快，波動持續性最短，華票調整速度最慢，波動持續性最長。　　　This study examines whether the stock returns of Taiwan’s three listed bills financial corporation are affected by interest rate volatility. We compare the size and the affected duration which is caused by interest rate movement. The sample data are from January 4 , 1995 to December 6 , 2001 with daily prices.　　　　We manipulate GARCH model and EGARCH model to illustrate the influence of interest rate on three bills financial corporation. Empirical results are as follows：(1)the relationship between interest rate and three bills financial corporation’s return of stock is negative which means that rising interest rate will cause downward stock returns on three bills financial corporation. (2)The sizes of influence can be grouped as：for cp2-30 and cp2-90, the result is CHBFC>IBFC>CBFC；for cp2-180, the result is IBFC> CHBFC >CBFC. (3) For IBFC, the impulsion effect still remains half after 18 days；for CHBFC is about 38 days and CBF is about 110 days that exhibits IBFC has the best adjustment velocity and short persistence. However, CBF has the reverse effect.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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