| Summary: | 碩士 === 正修科技大學 === 金融管理研究所 === 107 === This study aims to study the asymmetry between financial holding company's stocks and exchange markets fluctuating from the empirical perspectives. This paper constructs the asymmetric GARCH model, in addition to analyzing the impact of past shocks in volatility. And further explore financial holding company's stocks and exchange markets fluctuations in the asymmetric relationship. During the study period from January 2013 to December 2018 day data, a total of 3965 transactions.
Firstly, we compare the financial structure of each company, and used unit root test find the variables are non-stationary time series. After the differential variables are steady state time series, Secondly, we test these variables have GARCH effect, so the use of univariate GARCH model to capture financial holding company stocks and exchange markets fluctuations. Finally, paper further examines the asymmetry relationship between the stocks of financial holding companies and Exchange markets, we verifies the existence of EGARCH effect. In other words, exchange markets depreciation (good news) and appreciation (bad news) have different effects on the prices of companies, and there is asymmetry GARCH effect.
The main contribution of this paper is to apply the asymmetric GARCH model technology to examine the relationship between the financial holding company's stock price and the exchange rate. In the past, the literature emphasized the correlation between the share price of financial holding companies and the exchange rates. This study further analyzes the effect of the holding price and the exchange rate asymmetry is the innovation of this article, the can provide reference for financial holding company operators and investors, making the research results more indicative.
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