壽險公司的資金運用方式可分為銀行存款、有價證券投資、不動產投資、放款及國外投資，可知市場利率變動與壽險公司的獲利情況息息相關。故本論文主要探討市場利率的變化是否會進而反映到壽險公司股價報酬上。本論文利用1998年1月3日至2001年12月18日上市四家壽險公司的股票日報酬，即國泰人壽、新光人壽、中國人壽、台灣人壽，共1043筆日資料，並採用二因子模型來分析利率變動對於壽險公司股票報酬的影響，實證結果有下列幾點： 一、90天期商業本票利率變動對上市四家壽險公司有顯著的影響力，除與中壽為正向關係外，其餘與國壽、新壽、台壽保皆為負向關係，即利率下跌會使得此三家壽險公司股價報酬上升。 二、90天期商業本票利率變動對於壽險公司股票報酬影響的幅度為：國壽>新壽>台壽>中壽。 三、30天期商業本票利率變動只對台壽保有顯著的影響力；180天期商業本票利率變動對四家壽險公司股票報酬皆不具顯著的影響力。 The ways how life insurance companies use funds are bank deposit, securities investments, real estates investments, and abroad investments. Therefore market interest rates are directly related to the profit of life insurance companies. This study examines whether the stock returns of life insurance companies are affected by interest rate changes. We compare the scopes of effect which are caused by interest rate movements. The sample data covers from January 3, 1998 to December 18, 2001 with daily prices. We manipulate Two-Index Model to illustrate the influence of interest rate changes on four life insurance companies. Empirical results are as follows： (1)The relationship between interest rate and life insurance companies’ return of stock (except China Life Company ) is negative which indicates that rising interest rate will cause downward stock returns on life insurance companies. (2)The sizes of influence could show as: Cathay Life > Shin Kong Life >Taiwan Life> China Life. (3)The interest rate change of CP2-30 only shows significantly effect on Taiwan Life Insurance Company. The interest rate change of CP2-180 doesn’t significantly show effect on all the four Life Insurance Companies.
