本研究分別採用GARCH模型與Hodrick-Prescott filter去估計匯率風險，再利用GARCH-M模型探討台灣銀行業股票報酬率對匯率波動與風險溢酬的敏感度，將樣本區分成兩個不同的投資組合(一般商業銀行與金控銀行)，比較不同規模屬性的銀行股價報酬差異，進一步探討金融海嘯前後匯率波動與銀行股價報酬間的關聯性變化。本研究的樣本為2002年8月21日至2010年9月30日為止的日資料。資料主要來自台灣經濟新報資料庫(TEJ)。 實證結果發現在研究期間(2002.8.21 ~2010.9.30)匯率風險對不同規模屬性的投資組合有不同的影響，商業銀行投資組合對匯率風險有較高的敏感性，匯率風險對其股價報酬率有正向影響，但在金融海嘯期間匯率波動對其影響是負向顯著，金控公司投資組合則對匯率風險較不敏感，為正向不顯著，然在金融海嘯期間匯率波動對其股價報酬率仍有顯著負向影響。風險溢酬部分，在商業銀行投資組合沒有顯著影響，金控公司投資組合則為正向顯著，代表存在GAECH in mean的效果，與高報酬伴隨高風險的概念相符。簡言之，台灣的銀行業在面臨事件衝擊後產生的匯率波動風險，對其股價報酬率是有顯著的負向影響。 In this paper, we employ the generalized autoregressive conditionally heteroskedastic (GARCH) model and Hodrick-Prescott filter to estimate the volatility of foreign exchange rate. Then we use GARCH-M model to investigate the effect of interest rate, foreign exchange rate and its volatility on bank stock return generation process. We divide sample data into two portfolios for comparison. The sample period spans from August 21,2002 to September 30,2010. We use 2019 daily datas from Taiwan Economy Journal (TEJ) database. Empirical result suggests that portfolio of commercial bank stock is sensitive to foreign exchange rate volatility, there is a positive, significant relation between foreign exchange rate risk and stock return of commercial bank. However in period of global financial tsunami, the impact of foreign exchange rate risk is significantly negative. While the portfolio of financial holding company is nonsensitive to volatility of foreign exchange rate. But in period of global financial tsunami, the stock return of financial holding company is also significantly negative. In addition, risk premium has a positive and significant impact on the portfolio of financial holding company, but no significant impact on commercial banking stock. In short, the foreign exchange rate risk arising from the global financial crisis does have negative impact on Taiwan’s banking stock return.
