本研究以國內上市銀行的報酬率、利率、匯率，是否會影響股價為探討，以2010年1月至2021年9月的日資料為研究樣本，總計11年9個月，採用普通最小平方法及GJR-GARCH模型為研究方法，使用一年期定期存款利率、美元即期匯率以及台灣上市櫃銀行股股價，來探討匯率、利率以及金融股股價是否存在關聯性。 實證結果顯示，在利率方面，十家上市銀行中只有二家銀行有顯著的正向影響，代表利率上升，該銀行的股票報酬也會增加，與預期利率和股票報酬呈現負向關係不符。而匯率方面在10家銀行中就有8家銀行有負向關係。在利率波動對銀行股票報酬波動的影響，只有3家銀行利率變得更加波動時，銀行股票波動性增加。在匯率波動對銀行股票報酬波動的影響，10家銀行中，就有7家有正向顯著影響，也就是代表匯率波動會導致銀行股票報酬的波動性增加。整體而言，利率的波動對銀行股票的報酬的影響並不明顯，而市場風險相對於利率及匯率變動對銀行股票報酬有更大的影響。 In this study, interest rates and exchange rates are investigated the factors on stock prices of banks. Taking the daily data from January 2010 to September 2021 as the research sample, a total of 10 years and 9 months, the ordinary least squares (OLS) method and GJR-Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model were used. Using the one-year deposit rate, the dollar spot rate, and the stock price of the listed banks to explore whether there is a relationship among exchange rates, interest rates, and bank stock prices. The empirical results show that the interest rate effect only two of the ten listed banks have a significant positive impact, which means that if the interest rate rises, the bank's stock return will also increase, which is inconsistent with the negative relationship between the expected interest rate and stock return. The exchange rates effect, 8 out of 10 banks have a negative relationship. In the effect of interest rate volatility on bank stock return volatility, bank stock volatility increased when interest rates became more volatile for only 3 banks. In the effect of exchange rate volatility on bank stock return volatility, 7 out of 10 banks have a significant positive impact, which means that exchange rate fluctuations will lead to an increase in bank stock return volatility. Overall, the impact of interest rate volatility on the bank volatility is not obvious, and market risk has a greater impact on the return of bank stocks volatility relative to changes in interest rates and exchange rates.
