THE AFFECTION OF GOVERNMENT BOND REPO RATE CHANGES ON STOCK RETURNS OF LISTED SECURITIES FIRMS
碩士 === 南華大學 === 財務管理研究所 === 93 === This study examines whether the stock returns of Taiwan’s ten listed securities corporations are affected by the volatility of government bond REPO rate. The sample data are from January 1, 2000 to December 31, 2003 with daily prices. Empirical results are as f...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/33699029078354234811 |
| Summary: | 碩士 === 南華大學 === 財務管理研究所 === 93 === This study examines whether the stock returns of Taiwan’s ten listed securities corporations are affected by the volatility of government bond REPO rate. The sample data are from January 1, 2000 to December 31, 2003 with daily prices.
Empirical results are as follows:
(1)The relationship between market returns and ten
securities companies’ returns of stock are
significantly and positively related which means that
upward market returns will cause upward stock returns.
(2)The relationship between government bond REPO rate
change of RP-30 and ten securities companies'' returns
of stock are not significant.
(3)The interest rate change of RP-90 and RP-180 sololy
has significant and negative effect on MasterLink
Securities Corporation and K.G.I. Corporation. Which
means that rising interest rate will cause downward
stock returns on MasterLink Securities Corporation and
K.G.I. Corporation.
(4)For RP-90, the impulsion effect still remains half
after 159 days on MasterLink. For RP-180, the
impulsion effect still remains half after 120 days on
MasterLink;the impulsion effect still remains half
after 95 days
on K.G.I.
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