| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === The World financial crisis has made a significant impact in the recent years, challenging past risk model in the current business recession. This research uses the Generalized Autoregressive Conditional Heterskedasticity (GARCH) to investigate the relationship between the various global crisis (World Financial Crisis 2007, SARS 2003, Terrorist Attacks 2001 and Asian financial crisis 1997) and the airlines stock returns volatility, adding total assets, current ratio, debt/equity ratio and price/book ratio to the variance equations in the GARCH models. The result shows an outstanding ARMA(1,1)-GARCH(1,1) performance in the current returns, indicating that different crisis events produce different impact on the aviation industries depending on their regions. For example, the Asian Financial Crisis had caused an increase in returns volatility in Asian airlines. However, the World financial crisis produces a positive impact in the global aviation industries. The current ratio and debt/equity ratio have positive and negative effects respectively. The difference in the impact might be due to sample size airlines’ current liabilities being greater than current assets in the long run, and a negative common equity. In addition, price/book ratio have reverse effects on airlines returns volatility, indicating that returns volatility stabilizes when airlines price/book ratio are high. In conclusion, global crisis and financial ratios will have an impact on risk volatility on airlines returns.
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