台灣金融控股公司與商業銀行之間的風險與報酬外溢 ; The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan

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Title:	台灣金融控股公司與商業銀行之間的風險與報酬外溢;The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan
Authors:	張開揚;Kai-yang Chang
Contributors:	產業經濟研究所
Keywords:	報酬外溢;風險外溢;金融控股公司;商業銀行;雙變數GARCH模型;financial holding companies;commercial banks;spillover effect of risk;spillover effect of return;bivariate GARCH model
Date:	2010-07-22
Issue Date:	2010-12-08 14:53:29 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文探討金融控股公司與商業銀行之間的報酬與風險外溢關係，以台灣的金融控股公司與商業銀行為研究對象，利用雙變數GARCH模型估計，除了研究金融控股公司與商業銀行的報酬波動外溢及風險外溢外，另外探討金融控股公司與商業銀行對利率與利率波動的敏感度分析。研究期間選自2002年9月2日至2009年9月30日，實證結果顯示，金融控股公司與商業銀行的報酬對利率與利率波動是敏感的。另外，金融控股公司與商業銀行的報酬除了有單向的外溢關係，同時彼此之間具有外溢關係。金融控股公司與商業銀行之間的風險同樣具有外溢關係。This paper examines the spillover effect of unsystematic risk and return between financial holding companies and commercial banks in Taiwan. This paper uses the bivariate GARCH methodology to examine the relationship between financial holding companies and commercial banks. The sample data are from September 2,2002 to September 30,2009. Our empirical results show that both financial holding companies and commercial banks portfolios return sensitivities to long-term interest rates and their volatilities. Furthermore, it is found that the spillover effect of return is significant between financial holding companies and commercial banks. The spillover effect of risk is significant between financial holding companies and commercial banks.
Appears in Collections:	[Graduate Institute of Industrial Economics] Electronic Thesis & Dissertation

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