THE AFFECTION OF GOVERNMENT BOND REPO RATE CHANGES ON STOCK RETURNS OF LISTED SECURITIES FIRMS

• Main Authors: Chia-lien Chiang, 江佳蓮
• Other Authors: Kuo-kuei Chung
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/33699029078354234811

碩士 === 南華大學 === 財務管理研究所 === 93 === 　　This study examines whether the stock returns of Taiwan’s ten listed securities corporations are affected by the volatility of government bond REPO rate. The sample data are from January 1, 2000 to December 31, 2003 with daily prices. 　 Empirical results are as follows: (1)The relationship between market returns and ten securities companies’ returns of stock are significantly and positively related which means that upward market returns will cause upward stock returns. (2)The relationship between government bond REPO rate change of RP-30 and ten securities companies'' returns of stock are not significant. (3)The interest rate change of RP-90 and RP-180 sololy has significant and negative effect on MasterLink Securities Corporation and K.G.I. Corporation. Which means that rising interest rate will cause downward stock returns on MasterLink Securities Corporation and K.G.I. Corporation. (4)For RP-90, the impulsion effect still remains half after 159 days on MasterLink. For RP-180, the impulsion effect still remains half after 120 days on MasterLink;the impulsion effect still remains half after 95 days on K.G.I.