根據金融統計月報，最近幾年銀行持有不動產貸款比例增加。不動產貸款金額的增加引起對金融體系健全性的關注，因為不動產市場的變動可能潛在對銀行違約風險與獲利能力造成衝擊。
本研究主要探討金融保險業是否受不動產市場的影響，以五個不同的不動產指標來衡量金融機構的股票報酬。觀察期間從1988年至2004年6月共198筆資料，以包含大盤、利率及不動產指標的三因子模型估計金融保險業的股票報酬。研究發現金融保險業股票報酬會受市場報酬與營造業受雇員工人數變動率的顯著影響，但無論是利率水準或是變動皆對其股票報酬沒有影響力。在景氣循環時，景氣擴張期金融機構對市場報酬的敏感性大於景氣收縮期的，且二階段的利率與不動產變數的敏感性沒有明顯的差異。在金融風暴前後，亦是風暴前的市場報酬敏感度大於風暴

According to the financial statistics monthly report, the loan proportion of real estate that banks made has been larger. This increases our concern about the health of the financial system, since changes in real estate markets can potentially make a significant impact on bank default risk and profitability.
The object of this study is to examine the impact on the stock returns of financial institutions when the real estate market changes and then measure the stock returns by using five real estate proxies. This study covers the period from January 1988 through June 2004, and 198 are a total observing periods. The financial institution stock returns have been estimated by using a three-factor model, including the market return, the interest rate and the real estate index. Our results indicate that the market returns and one of the real estate proxies have been found to be significantly and positively related to financial institution stock returns. Moreover, whatever the interest rate levels, there is no explaining power over the stock returns. The sensitivity of financial institution stock returns to market returns increases through expansionary period and decreases through recessionary period. During the pre-crisis period, the effect caused by the market returns on financial institution stock returns is larger when compared to the post-crisis perio

中文摘要…………………………………………………………………………………i
英文摘要………………………………………………………………………………...ii
誌 謝 iii
目 錄 iv
表 目 錄 v
圖 目 錄 vi
一、 緒論 1
1.1 研究背景 1
1.2 研究動機 4
1.3 研究目的 7
1.4 研究流程 9
二、 文獻回顧 10
2.1 國外文獻 10
2.2 國內文獻 14
三、 研究方法 17
3.1 研究方法 17
3.2 代理變數之選取 21
3.3 研究期間與樣本篩選 22
3.4 預期結果 24
四、 實證結果 25
4.1 整體情況 25
4.2 景氣狀況 41
4.3 金融風暴 43
五、 結論 52
5.1 結論 52

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