The Effect of Market Return, Interest Rate and Exchange Rate upon Financial Sectors Return by TGARCH Model
碩士 === 國立高雄科技大學 === 金融系 === 107 === This study examines the effect of market return, interest rate and exchange rate upon financial sectors return by TGARCH model. The sample includes monthly data from January 2001 to June 2018. The empirical results show that the market return has a significant pos...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/9n5s5u |
| Summary: | 碩士 === 國立高雄科技大學 === 金融系 === 107 === This study examines the effect of market return, interest rate and exchange rate upon financial sectors return by TGARCH model. The sample includes monthly data from January 2001 to June 2018. The empirical results show that the market return has a significant positive impact on financial sectors return. The interest rate has a significant positive impact on financial sectors return. The exchange rate has a significant negative impact on financial sectors return. Besides, the volatility of financial sectors return has a leverage effect.
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