The Effect of Monetary Policy Announcement on the Security Market：The evidence of Taiwan

• Main Authors: Chun-Yi Li, 李俊義
• Other Authors: Wen-yi Lin
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/42512068626832938529

碩士 === 逢甲大學 === 財務金融學所 === 95 === This study focus on investigate the impact of The Central Bank`s monetary policy on different industry. We consider rediscount to change up or down and the quality of industry. Besides that, we separate the market situation (bull or bear) to go a step further. This study employ market model of event study to explore the abnormal return and discuss the effects of monetary policy announcement on different industry in Taiwan. The empirical period is from January 1, 1995 to January 1, 2005, including 23 event days.The empirical result shows： 1.Within the four different conditions, except that the Central Bank raises up the rediscount on the bear market. The market influence is stronger than the power of monetary policy by the trends of SCAR. 2.The SCAR of papermaking is higher and security is lower than other industries. The Volatility of security industry is the maximum of all. 3.The character of industry and Monetary policy can effect abnormal returns on event period, but they don`t change long run trends of economic. 4.The behavior of investors on bear market is backward looking and anticipate more rational than bull market. To gain abnormal return, investors may trade according to the investment risk evaluation which is based on the information of rediscount changes and stock market cycle and industry analysis.