簡易檢索 / 詳目顯示

研究生: 王鏡勛
Wang, Jing-Shiun
論文名稱: 金融控股公司制度對我國金融業與國外股市關聯性影響研究
The Impact of Financial Holding Corporations on the Correlation between Taiwanese Financial Industries and Foreign Stock Markets
指導教授: 康信鴻
Kang, Hsin-Hong
學位類別: 碩士
Master
系所名稱: 管理學院 - 國際企業研究所
Institute of International Business
論文出版年: 2010
畢業學年度: 98
語文別: 英文
論文頁數: 55
中文關鍵詞: 金控公司制度股市關聯性系統性風險
外文關鍵詞: financial holding corporation system, correlation between stock markets, system-risk.
相關次數: 點閱:171下載:2
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報
  • 2004年可以說是我國的金控元年,而這樣的現象也對我國金融產業的整體環境與原有的金融產業市佔率造成巨大的改變,也使得我國的金融產業跨入一個新紀元。
    然而,2008年全球金融風暴越演越烈之際,我國的股市加權指數也伴隨著各國不斷重挫的股市一路下滑至4000點。也因此,不論是對政策制定者或者是投資者來說,金控制度是否能降低系統性風險並為我國本土其餘產業提供穩定的資金,都勢必成為探討財務績效外一個非常重要的議題。
    而本研究主要目為探討金控制度對於國外股市與我國金融產業股市關聯性影響。
    本研究指出台灣金融產業股價指數與道瓊工業指數、S&P500指數的關聯性受到實施金控制度的影響而減弱,而在歐洲與亞洲股市方面,只有與HIS的關聯性受到影響。此外,本研究也發現不同的金控經營主體的確會為其股價與國外股市的關聯性帶來不同影響。

    2004 was the first year that financial holding corporation systems were operating in Taiwan. This event caused the entire finance environment and the market share rates in the financial industry to change acutely; moreover, it led the financial industry into a new era.
    However, the Taiwan stock market index has declined continuously down to 4000 as a result of the global stock market financial crisis that started in 2008. It lead that financial holding corporation systems can reduce system-risks, but financial performance been an important issue for both policies makers and investors.
    In this research, we discuss the impact of financial holding corporation systems on the correlation between Taiwanese financial industry stock prices and foreign countries.
    This research mention the correlation between stock price of Taiwanese financial industry and American stock markets, including the Dow Jones Industrial Average (IDNU) and the S&P 500, is affected by the impact of financial holding corporation system processes. However, there are no influences on Asian and European stock markets but HIS. Moreover, we find the impacts are different accompanying the different main businesses operating individually

    Chapter 1 Introduction 1 1.1 Background and Motivation 1 1.2 Research Objective 3 1.3 Research Structure 4 Chapter 2 Literature Review 6 2.1 Review of methodologies measuring performance for financial industry 6 2.2 Researches for performance in the financial industry 10 2.3 Researches for correlations between stock markets in Taiwan and foreign countries 11 2.4 Research Directions 12 Chapter 3 Research Methodologies 13 3.1 Process for the empirical research 13 3.2 Method of empirical research 14 3.3 Definition and source of variables in the models 21 3.4 Empirical Research Model 22 Chapter 4 Empirical Results 26 4.1 Unit Root Test 26 4.2 Klein’s Method 32 4.3 Autocorrelation test 37 4.4 Nested test 38 4.5 Result of final regression models 43 Chapter 5: Conclusions 48 5.1 Comparisons and Contributions 48 5.2 Conclusions and Discussion 49 5.3 Limitations and Future Research Directions 52

    Halkos and Salamouris (2004), “Efficiency Measurement of the Greek Commercial Banks with the Use of Financial Ratios: A Data Envelopment Analysis Approach,” Management Accounting Research 15 pp. 201-224
    Joseph C. Paradi, Claire Schaffnit (2004), “Commercial branch performance evaluation and results communication in a Canadian bank- a DEA application”, European Journal of Operational Research 156 pp. 719-735.
    Laurent Weill (2004), “Measuring Cost Efficiency in European Banking: A Comparison of Frontier Techniques”, Journal of Productivity Analysis 21, pp. 133-152.
    Tser-Yieth Chen (2004), “A Study of Cost Efficiency and Privatisation in Taiwan’s Banks: The Impact of the Asian Financial Crisis,” The Service Industries Journal 24, pp. 137-151.
    Yang Li et al. (2004), “Non-Performing Loans and Bank Efficiencies: An
    Application of the Distance Function Approach,” working paper
    Bertrand Rime and Kevin J. Stiroh (2003), “The Performance of Universal Banks: Evidence from Switzerland”, Journal of Banking & Finance 27, pp. 2121-2150.
    Xueming Luo (2003), “Evaluating the Profitability and Marketability Efficiency of
    Large Banks: An Application of Data Envelopment Analysis“, Journal of Business Research 56, pp.627-635.
    Tsay, R.S. (2002), "Analysis of Financial Time Series," Wiley Science
    Vander Vennet, R. (2002), “Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe”, Journal of Money, Credit and Finance 34 (1), pp.254-282.
    Lown, C.S., et al. (2000), “The Changing Landscape of the Financial Services
    Industry: What Lies Ahead?”, FRBNY Economic Policy Review (October), pp.39-55.
    R. Dennis Cook and Sanford Weisberg (1999), "Applied Regression Including Com-puting and Graphics", Wiley Science.
    Choudhry, T. (1997), "Stochastic Trends in Stock Prices: Evidence from Latin
    American Markets", Journal of Macroeconomics, 19:285-304.
    Salim M. Darbar and Partha (1997),”Comovement in International Equity Markets”, Journal of Financial Research, Fall 1997, 305-322.
    Lin, Y.A., Pan, M.S. and Fung, H.G. (1996), "International Transmission of Stock Prices Movement: Evident from the U.S. and Six Asian Stock Pacific Basin Markets", Journal of Multinational Management, Vo1. 6, pp. 81-94.
    Corhay, A., A. Tourani, and J. Urbain (1993), "Common Stochastic Trends in European Stock Markets", Economics Letters, 42:385-390.
    Koch, P. D. and T. W. Koch (1991), "Evolution in Dynamic Linkages across Daily National Stock Indexes", Journal of International Money and Finance,
    10:231–251.
    Perman, R. (1991), "Cointegration: An Introduction to the Literature", Journal
    of Economic Studies, Vol.18(3) :3-30.
    Eun, C. and Shim, S. (1989),”International Transmission of Stock Market Movement”, Journal of Financial and Quantitative Analysis, 24, 241-356.
    Madura, J. (1998), “International Financial Management”, South-Western College Publish, Ohio.

    下載圖示 校內:立即公開
    校外:立即公開
    QR CODE