| Summary: | 碩士 === 實踐大學 === 企業管理研究所 === 92 === Abstract
As Taiwan capital market has been trapped by the unbalance between stock and debit markets for long, the importance of interest risk management has been highlighted with the release of monetary/financial regulation by the authorities and the liberalization of interest rate, in company with fast international globalization and internet implementation in viewing of the coming of the low interest rate era. This study is expected to provide an answer to whether using interest rate volatility as a monitory index in risk management by using empirical results. Various terms of CP rate have been adapted as the indicator of interest volatility in the past, but the limited issuing and trade volume has lessened the importance of bond products. However, with the active advance of government by open market and loose regulation policies, the regularly issued government bond becomes one of the benchmark indexes. Therefore, in this paper, government bond is used instead of bill in studying interest rate volatility.
20 stocks listed either in public or over –the-counter in financial group of domestic stock has been selected to see the relationship between the stock return performance and the change of government bond yield rate in the period from Jan. 1996 to Feb 2004 to further explore the importance of volatility of government bold yield rate on risk management in financial sector.
Using ADF test and GARCH model, summaries have been concluded after empirical study:
1. The volatility of government bond yield rate has less influence on stock return in banks, insurance and bill companies sector while has negative affects on security group;
2. Level of volatility in security group, from intensive to slight: Capital Securities > MasterLink Securites > KGI Securities > Yuanta Core Pacific Securites
3. Differences in negative relationship, from strong to mild: Capital Securities > KGI Securities > MasterLink Securites > Yuanta Core Pacific Securites
Keywords: Government Bond Yield Rate; Interest Risk、GARCH、ARCH
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