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研究生:黃鳳貞
研究生(外文):Feng-Chen Huang
論文名稱:金融保險業股票報酬與不動產市場關聯性之探討
論文名稱(外文):The relationship between financial and insurer stock returns and real estate markets
指導教授:李明龍李明龍引用關係
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:65
中文關鍵詞:不動產市場
外文關鍵詞:real estate market
相關次數:
  • 被引用被引用:1
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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
書籍
1. Eviews 3 User’s Guide,1998,2nd edition,Quantitative Micro Software,USA
2. Chris Brooks,2002,Introductory econometrics for finance,Cambridge university press,UK
中文部分
1. 廖咸興,洪士珉,1995,“台灣市場不動產因子存在之研究”,管理與系統,2卷,2期,頁265-286,7月
2. 彭建文,張金鶚,1998,“房地產景氣與總體經濟、金融市場關係之研究”,中華民國住宅學會第七屆年會論文集,頁43-66
3. 盧秋玲,游雅芳,1999,“不動產市場與銀行風險之探討”,中華民國住宅學會第八屆年會論文集,頁153-176
4. 盧秋玲,游雅芳,1999,“銀行股票報酬與不動產市場之探討”,Journal of Financial Studies,頁29-62,8月
5. 謝維澤,2001,“房地產景氣對保險公司股價報酬之影響-台灣市場實證”,國立政治大學,風險管理與保險學系碩士論文
6. 王崇哲,2002,“銀行經營風險與不動產市場關聯性研究”,國立高雄第一科技大學,財務管理所碩士論文
7. 張志民,2003,“不動產市場對銀行股價報酬之敏感性分析”,國立台灣科技大學,企業管理系碩士論文
英文部分
1. Fama, E. F., 1976,“Inflation uncertainty and the expected return on treasury bills”, Journal of Political Economy, pp.427-448
2. Lloyd, W. P., and Shick, R. A., 1977,“A test of Stone’s two-index model of returns”, Journal of Financial and Quantitative Analysis, pp.363-376, September
3. Morgan J. Lynge, Jr. and J. Kenton Zumwalt, 1980,“An Empirical Study Of The Interest Rate Sensitivity of Commercial Bank Returns:A Multi-index Approach”, Journal of Financial and Quantitative Analysis, Vol. XV, No.3, pp.731-742, September
4. Don M. Chance and William R. Lane, 1980,“A Re-Examination of Interest Rate Sensitivity in the Common Stocks of Financial Institutions”, The Journal of Financial Research, Vol. Ⅲ, No.1, pp.49-56, Spring
5. Mark J. Flannery and Christopher M. James, 1984,“The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance, Vol. XXXIX, No.4, pp.1141-1153, September
6. James R. Booth and Dennis T. Officer, 1985,“Expectations, Interest Rates, and Commercial Bank Stocks”, The Journal of Financial Research, Vol. Ⅷ, No.1, pp.51-58, Spring
7. Aharony, J., Saunders, A. and Swary, I., 1986,“The effects of a shift in monetary policy regime on the profitability and risk of commercial banks”, Journal of Monetary Economics, Vol.17, pp.363-377
8. Cummins, J. David and Scott E. Harrington, 1988,“The Relationship Between Risk and Return: Evidence for Property-Liability Insurance Stocks”, The Journal of Risk and Insurance, Vol.55, No.1, pp.15-31, March
9. Brewer, Elijah and Cheng Few Lee, 1990,“An Intra-cyclical Analysis of the Risk sensitivity of Bank Stock Returns”, Quarterly Journal of Business & Economics, Vol.29, pp.125-143
10. Bae, Sung C., 1990,“Interest Rate Changes and Common Stock Returns of Financial Institutions:Revisited”, The Journal of Financial Research, Vol. XIII, No.1, pp.71-79, Spring
11. Srinivas R. Akella and Su-Jane Chen, 1990,“Interest Rate Sensitivity of Bank Stock Returns:Specification Effects and Structural Changes”, The Journal of Financial Research, Vol. XIII, No.2, pp.147-154, Summer
12. Yourougou, P., 1990,“Interest rate risk and the pricing of depository financial intermediary common stock”, Journal of Banking and Finance, Vol. 14, pp.803-820
13. Kohers and Nagy, 1991,“An Examination of the Interest Rate Sensitivity of Commercial Bank Stock”, Vol.1, pp.23-34
14. Allen, T., J. Madura and K. Wiant, 1995,“Commercial Bank Exposure and Sensitivity to the Real Estate Market”, Journal of Real Estate Research, PP.128-140
15. Ling T. He, F.C. Neil Myer and James R. Webb, 1996,“The Sensitivity of Bank Stock Returns to Real Estate”, Journal of Real Estate Finance and Economics, Vol.12, pp.203-220
16. Ling T. He, F.C. Neil Myer and James R. Webb, 1997,“The Sensitivity of Bank Stocks to Mortgage Portfolio Composition”, Journal of Real Estate Research, Vol.13, No.1, pp.17-31
17. Dinenis, E. and S.K. Staikouras, 1998,“Interest rate Changes and common stock returns of financial institutions: evidence from the UK”, The European Journal of Finance, Vol.4, pp.113-127
18. Miller, Merton H., 1998,“The Current Southeast Asia Financial Crisis”, Pacific-Basin Finance Journal, Vol.6, pp.225-233
19. Moreno, Ramon, 1998,“What caused East Asia’s Financial Crisis?”, FRBSF Economic Letter, Vol. 98, Issue 24
20. Daniel C. Quan and Sheridan Titman, 1999,“Do Real Estate Prices and Stock Prices Move Together? An International Analysis”, Real Estate Economics, Vol.27, No.2, pp.183-207
21. Johnston, Jarrod and Jeff Madura, 2002,“The Relevance of a Real Estate Factor in Modeling Insurance Company Returns”, Journal of Real Estate Portfolio Management, Vol.8, No.2, pp.97-106
22. Ling T. He and Alan K. Reichert, 2003,“Time Variation Paths of Factors Affecting Financial Institutions and Stock Returns”, Atlantic Economic Journal, Vol.31, No.1, pp.71-87, March
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