台灣金控股票價格與匯率的關聯：來自COVID-19疫情的驗證

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/29830

Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/29830

Title:	台灣金控股票價格與匯率的關聯：來自COVID-19疫情的驗證
Other Titles:	The Link between Taiwan's Financial Holding Companies' Stock Prices and Exchange Rates: Evidence from the COVID-19 Pandemic
Authors:	王欣予 WANG, HSIN-YU
Contributors:	財務金融學系財務管理碩士班廖永熙 LIAU, YUNG-SHI
Keywords:	金控股價報酬;匯率;DCC-GJR-GARCH模型;嚴重特殊傳染性肺炎 Stock Price of Financial Holding Company;Exchange Rate;DCC-GJR-GARCH Model;COVID-19
Date:	2023
Issue Date:	2023-11-14 13:48:40 (UTC+8)
Abstract:	本研究探討15 家台灣金融控股公司(華南金、富邦金、國泰金、開發金、玉山金、元大金、兆豐金、台新金、新光金、國票金、永豐金、中信金、第一金、日盛金、合庫金)，受新型冠狀病毒流行(COVID-19)的影響，分析期間以世界衛生組織檢測出新型冠狀病毒(COVID-19)2020/01/12分為，前期自2018/01/12至2020/01/12止；後期自2020/01/12至2022/01/12止及全期間自2018/01/12至2022/01/12止，資料頻率為日資料來觀察金融控股公司股票市場價格和匯率之間聯繫的性質。　　以DCC-GJR-GARCH模型，分析匯率波動影響金控股價報酬是否有相應的波動關係。在全期間除玉山金外及前期除中信金，存在一階正自我相關，而後期只有玉山金，存在一階負自我相關，其餘多數存在一階正自我相關。全期間及前、後期，多數金控顯示當匯率報酬率波動增加時，對金控股價報酬率波動增多，而全期間玉山金與日盛金，顯示當匯率報酬率波動增加時，金控股價報酬率波動減少。前期及後期多數金控股顯示當有壞消息衝擊時，波動增加，存在波動不對稱現象。　　In this study, 15 taiwan's financial holding companies (Hua nan financial holding, Fubon financial holding, Cathay financial holding, China development financial holding, E.sun financial holding, Yuanta financial holding, Mega financial holding, Taishin financial holding, Shin kong financial holding, Ibf financial holding, Sinopac financial holding, Ctbc financial holding, First financial holding, Jihsun financial holding, and Taiwan cooperative financial holding) were examined for the impact of the novel coronavirus epidemic (COVID-19), and the analysis period was divided by the detection of the novel coronavirus (COVID-19) by the World Health Organization. The analysis period is divided into 2020/01/12, the first period from 2018/01/12 to 2020/01/12; the second period from 2020/01/12 to 2022/01/12 and the full period from 2018/01/12 to 2022/01/12, and the data frequency is daily data to observe the nature of the link between the taiwan's financial holding companies' stock prices and the exchange rate.　　DCC-GJR-GARCH model was used to analyze whether there is a corresponding fluctuation relationship between the exchange rate fluctuation and the financial holding companies' stock prices reward. The full period positive autocorrelation exists in the whole period except for E.sun financial holding and the first period except for Ctbc financial holding, while the full period negative autocorrelation exists in the latter period only for E.sun financial holding, and the full period positive autocorrelation exists in most of the other periods. During the full period, as well as the first and second periods, most of the financial holding showed an increase in the fluctuation of the return on financial holding when the exchange rate fluctuated, while the return on financial holding decreased when the exchange rate fluctuated. Most of the financial holding in the previous and later periods showed an increase in volatility when there was a bad news shock, and there was a volatility asymmetry.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

Files in This Item:

File	Description	Size	Format
111NHU00304001-001.pdf		2057Kb	Adobe PDF	98	View/Open
index.html		0Kb	HTML	219	View/Open

Loading...