Industry Sectors Returns and Monetary Conditions The case of Taiwan

• Main Authors: Chun-Nan Chen, 陳俊男
• Other Authors: Ming-Hsiang Chen
• Format: Others
• Language: en_US
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/51786737239049118364

碩士 === 國立中正大學 === 財務金融所 === 98 === Abstract It was documented in the previous literature that the U.S. monetary environment has a influence on U.S. stock market returns or several country stock market returns. This study examines the relationship between industry sector returns and monetary conditions for 19 industry sectors in Taiwan. Changes in the discount rate are used to measure monetary conditions. Furthermore, this study investigates whether the impacts of monetary conditions on industry sector returns are asymmetric across different market conditions. The empirical results suggest that the effects of monetary environment on sector stock returns are stronger for high-beta industries than low-beta industries, but the relationship between monetary conditions and industry sector returns has vanished in the recent period. Lastly, the asymmetric effects of monetary condition on sector returns across different market conditions (business cycle condition, stock market condition and credit market condition) are found.