A Study of Interest Rate Volatility of Stock Returns from Listed Bills Finance Corporation in Taiwan

• Main Authors: Tsung-hsiung Wang, 王聰雄
• Other Authors: Ching-jun Hsu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/54856271879501356980

碩士 === 南華大學 === 財務管理研究所 === 91 === 　　This study examines whether the stock returns of Taiwan’s three listed bills financial corporation are affected by interest rate volatility. We compare the size and the affected duration which is caused by interest rate movement. The sample data are from January 4 , 1995 to December 6 , 2001 with daily prices. 　　 　　We manipulate GARCH model and EGARCH model to illustrate the influence of interest rate on three bills financial corporation. Empirical results are as follows：(1)the relationship between interest rate and three bills financial corporation’s return of stock is negative which means that rising interest rate will cause downward stock returns on three bills financial corporation. (2)The sizes of influence can be grouped as：for cp2-30 and cp2-90, the result is CHBFC>IBFC>CBFC；for cp2-180, the result is IBFC> CHBFC >CBFC. (3) For IBFC, the impulsion effect still remains half after 18 days；for CHBFC is about 38 days and CBF is about 110 days that exhibits IBFC has the best adjustment velocity and short persistence. However, CBF has the reverse effect.