本研究以台灣十家上市、上櫃證券公司股票報酬為研究對象，以GARCH模型觀察2000年至2003年這段期間內公債附買回交易利率變動對上市、上櫃證券公司每日股票報酬的影響。 研究結果顯示：(1)股票市場報酬對十家證券公司股票報酬的影響是正向的且顯著；換言之，當股票市場報酬越高則十家證券公司股票報酬上升。(2)30天期公債附買回利率變動對上市、上櫃證券公司股票報酬皆不顯著。(3)90天期公債附買回利率變動對元富有顯著；在180天期公債附買回利率變動中，元富和中信有顯著，其餘皆不顯著。(4)另外，在90天期公債附買回利率變動中，元富經過159個交易日，衝擊效果依然會存在一半。在180天期公債附買回利率變動中，元富經過120個交易日，衝擊效果依然會存在一半；中信經過95個交易日，衝擊效果依然會存在一半。 This study examines whether the stock returns of Taiwan’s ten listed securities corporations are affected by the volatility of government bond REPO rate. The sample data are from January 1, 2000 to December 31, 2003 with daily prices. Empirical results are as follows:(1)The relationship between market returns and ten securities companies’ returns of stock are significantly and positively related which means that upward market returns will cause upward stock returns.(2)The relationship between government bond REPO rate change of RP-30 and ten securities companies' returns of stock are not significant.(3)The interest rate change of RP-90 and RP-180 sololy has significant and negative effect on MasterLink Securities Corporation and K.G.I. Corporation. Which means that rising interest rate will cause downward stock returns on MasterLink Securities Corporation and K.G.I. Corporation.(4)For RP-90, the impulsion effect still remains half after 159 days on MasterLink. For RP-180, the impulsion effect still remains half after 120 days on MasterLink;the impulsion effect still remains half after 95 days on K.G.I.
