| 摘要: | 本研究以國內15 家金融控股公司(國泰金、開發金、中信金、玉山金、第一金、富邦金、華南金、兆豐金、永豐金、新光金、台新金、國票金、元大金、合庫金、日盛金) 為研究對象，分析上述金控公司從2010年1月至2021年9月期間利率、匯率變動與股價之間的相對關係。 利用OLS估算利率、匯率對於金控股價的相對關係，再以T-GARCH模型，分析利率、匯率波動對金控股價報酬是否具有對應的波動關係。實證結果發現利率和匯率變動對金控業股價報酬並無明顯的影響。進一步以利率和匯率波動對股票報酬加以探討，結果發現利率和匯率波動對股票報酬有顯著的正向效果。
The main purpose of this research is to analysis the relationship among interest rates, exchange rate changes and stock returns. Using 15 domestic financial holding companies (Cathay, Kaifa , CITIC , Yushan , First , Fubon, Huanan , Mega , Yongfeng, Xinguang, Taishin , National Paper , Yuanta , Heku , Risheng ) as the research samples, the period is from January 2010 to September 2021. This paper uses OLS to estimate the interest rate and exchange rate on the stock return of financial holding companies. Then, the T-GARCH model is used to analyze whether the interest rate and exchange rate volatility have an effect on the stock return of financial holding companies. The empirical results show that the changes in interest rates and exchange rates have no significant impact on the stock price returns of financial holdings. Furthermore, the relationship among interest rate, exchange rate volatility and stock return, it is found that interest rate and exchange rate volatility have a significant positive effect on stock returns. |
