| Summary: | 碩士 === 國立臺灣科技大學 === 企業管理系 === 91 === Abstract
The Analysis of Sensitivities of bank stock returns to Taiwan’s Real Estate Market
Date: June 2003 Degree Conferred: Master
Student: Chih-Min Chang Advisor: Dr. Guang-di Chang
Student Number: M9008305 Total pages: 70
The purpose of the study is to examine the relationship between the stock returns of banks and the real estate market. Over the past two decades, banks have played an important role in the development process of real estate in Taiwan. Many kinds of activities in real estate must have been financed through financial institutions, and most of them are mortgage loans. In this way, it will expose the operation of banks to the real estate risk, especially the default disk.
According to the experiences of the U.S. and Japan, banks with a large portion of total loans into real estate will face the crisis of decreasing values of their collaterals when the economic status is in recession. On the other hand, the bad quality of asset and the high past-due loan rate have caused concern about the economic health of banks by the government and the society. Therefore, we want to know whether different sizes or types of the financial institutions may have different sensitivities to real estate. Finally, this study also analyzes the sensitivities of stock returns for different bank groups, based on the percentage of total loans in residential loans and the percentage of loans in medium to long term secured loans.
The empirical model of this research is a three-index model, including market returns, interest rates, and real estate factors. The following conclusions are based on the results showed in the study:
1.The returns of the whole sample banks are significantly influenced by the market returns.
2.As the proxy of real estate returns is Sinyi-Taiwan-Housing-Index，the interest rates of Commercial Paper have a significantly negative impact on bank stock returns. However, the significance decreases after orthogonalizing procedure.
3.Overall, bank stocks are sensitive to changes in real estate returns, especially the private banks.
4.The rates of residential loans or medium-long term secured loans to total loans may not affect sensitivities of bank stocks to real estate.
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