| 摘要(英) |
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.
|
| 參考文獻 |
一、中文參考文獻
1.蘇鼎欽(1990)，「台灣上市公司之外匯風險因子與金融風暴前後之變化」，中央大學財務管理研究所碩士論文。
2.李維貞(1995)，「臺灣上市銀行股票報酬之市場風險,利率風險及匯率風險之實證研究」，中興大學企業管理學系碩士論文。
3.蔡森源(1995)，「股價與總體經濟因素關係之一研究」，淡江大學管理科學系碩士論文。
4.李璧君(1996)，「金融自由化下匯率變動對銀行股價的影響」，台灣大學金融研究所碩士論文。
5.黃必祥(1997)，「利率波動對我國銀行獲利能力影響之研究」，成功大學企業管理學系碩士論文。
6.呂明珠(2002)，「利率變動對台灣上市銀行股票報酬及獲利之影響」，台灣大學財務金融系碩士論文。
7.古永嘉、孫瑞霙與張美玲(2003)，「台灣股票報酬率與匯率變動波動外溢效果之再探討－雙變量EGARCH模型的應用」，輔仁管理評論第十卷第三期，139-162。
8.徐清俊,董昭伶(2004)「利率變動與上市壽險公司股票報酬之關聯性研究-GARC模型之應用」，遠東學報第二十一卷第一期，147-160。
9.魏銘孝(2005)，「利率與匯率、負債對廠商投資影響：美國道瓊上市公司實證研究」，中原大學國際貿易學系碩士論文。
10.單秀文(2006)，「利率風險與匯率風險對銀行業股價報酬之影響」，輔仁大學金融研究所碩士論文。
11.王建文(2006)，「股價、匯率、利率間波動動態相關性之研究」，銘傳大學財務金融學系碩士論文。
12.彭美鳳(2006)，「匯率變動對公司營業收入及股票報酬率之影響：以台灣非金融上市公司為例」，台北大學合作經濟學系碩士論文。
13.呂素彥(2007)，「利率波動對本國銀行獲利能力之影響」，佛光大學經濟學系碩士論文。
14.陳宣全，「從綜合銀行演進探討臺灣金融控股公司之綜合績效」，紅螞蟻圖書有限公司，2010.6.一版。
二、英文參考文獻
1.Chu-Sheng Tai,“Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns“Journal of Multinational Financial Management”,vol.10,pp.397-420,2000.
2.Elijah Brewer III, Cheng Few Lee“ An Intracyclical Analysis of the Risk Sensitivity of Bank Stock Returns”,Quarterly Journal of Business and Economics,Vol.29,pp.125-143,1990.
3.Elyas Elyasiani and Iqbal Mansur,“Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate:
A GARCH-M model”,Journal of Banking and Finance,vol.22,pp.535-563,1998.
4.J.J.Choi, E.Elyasiani and K.J. Kopecky,“The sensitivity of bank stock returns to market, interest and exchange rate risks”,Journal of Banking and Finance,vol.16,pp.983-1004,1992.
5.J.Beirne,G.M.Caporale and N.Spagnolo“Interest and exchange rate risk and stock returns: A multivariate GARCH-M modelling approach”, Economics and Finance Discussion Papers, Brunel University, 08-01,2008.
6.L-T, Chen,“Interest Rate Risk and Equity Values of Taiwan's Banking Companies: A GARCH¬-M Model“, WEA International 84rd Annual Conference. Vancouver, Canada:Western Economic Association International, 2009-06-29 ~ 2009-07-03,2009.
7.Mark J. Flannery and Christopher M. James,“The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, Journal of Finance, Vol.39, pp.1141-1153,1984.
8.Nathan Lael Joseph, Panayiotis Vezos,“The sensitivity of US banks' stock returns to interest rate and exchange rate changes”, Managerial Finance,Vol.32,pp.182–199,2006.
9.Peter Oertmann ,Cristel Rendu and Heinz Zimmermann,“ Interest Rate Risk of European Financial Corporations”, European Financial Management Vol.6 Iss:4 pp.459-478,2000.
10.Roger B. Atindéhou,Jean-Pierre Gueyie,“Canadian chartered banks’ stock returns and exchange rate risk”, Management Decision, Vol.39 Iss: 4,pp.285–295,2001.
11.Ryan, Suzanne and Worthington, Andrew,“Market interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach”, International Journal of Applied Business and Economic Research 2(2):pp. 81-103,2004.
12.Wetmore,J.L.,J.R.Brick,“Commercial Bank Risk:Market,Interest Rate,
And Foreign Exchange”,Journal of Financial Research,17, pp.585-596
,1994.
|
[Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
[檢視]
plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit