| Summary: | 碩士 === 國立交通大學 === 管理科學研究所 === 84 === The main purpose of the thesis is to study
information effect ofinterest rate changes. First, stock market
will be divided into two groups ,one is financial insurance
stock, the another is nonfinancial insurance stock, then
observe investor''s response when Central Bank declares the
change of interest rate. Second, compare financial insurance
stock with nonfinancialinsurance stock to show which kind stock
is more fluctuant. The followings
are obtained in the study: 1.There is
「information effect」of interest rate change in Taiwan stock
market and negative association between interest rate change
and stock price change .
2.Investors usually won''t expect the increase of interest rate
for the reason that there is fewer news about the increase of
interest rate in the media. Therefore, when Central Bank
announces that interest rate rises, both stock price of
financial insurance stock and nonfinancial insurance stock
decrease significantly in the same day.
3.Investors usually will expect the increase of interest rate
for the reason that there is more news about the decrease of
interest rate in the media. Therefore, when Central Bank
announces that interest rate decreases both stock price of
financial insurance stock and nonfinancial insurance stock
don''t decrease significantly in the same day. Because stock
market has reacted in the advance.
4.When Central Bank declares the increase (decrease) of
interest rate , the financial insurance stock will decrease
(increase) less than nonfinancial insurance stock in the
observation period .
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