Certification Announcement Effect of Financial Holding Company-GARCH event study

• Main Authors: He Hua ,Ni, 倪鶴華
• Other Authors: Associate Professor Yong-Chern Su
• Format: Others
• Language: en_US
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/81724528176509719647

碩士 === 國立臺灣大學 === 財務金融學研究所 === 91 === This study discusses the certification announcement effect in financial holding companies when they get other business licenses. We discuss the trend of financial holding company in U.S.A., Japan, and Taiwan. Next, we explore the advantages and disadvantages of financial holding companies and the focus of this study is to examine the investors’ expectation about the merger event. In addition, we discuss the conflicts between commercial banking and investment banking and explore the empirical literatures that examine the conflicts of interest effect in bank’s underwriting activities. The study focuses on the certification announcement effect between different business mergers, especially the commercial banking, investment banking, and insurance industry. We conduct a GARCH(1,1) model to examine the effect of the fourteen FHCs newly established in Taiwan. Except the certification announcement effect, we also compare the stock price performances of conglomerate FHCs and non- conglomerate FHCs, head-quarter and its affiliates.