The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan

碩士 === 國立中央大學 === 產業經濟研究所 === 98 === This paper examines the spillover effect of unsystematic risk and return between financial holding companies and commercial banks in Taiwan. This paper uses the bivariate GARCH methodology to examine the relationship between financial holding companies and commer...

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Main Authors:	Kai-yang Chang, 張開揚
Other Authors:	Jong-rong Chen
Format:	Others
Language:	zh-TW
Published:	2010
Online Access:	http://ndltd.ncl.edu.tw/handle/40665418250663110847

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spelling	ndltd-TW-098NCU053340402016-04-20T04:18:00Z http://ndltd.ncl.edu.tw/handle/40665418250663110847 The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan 台灣金融控股公司與商業銀行之間的風險與報酬外溢 Kai-yang Chang 張開揚碩士國立中央大學產業經濟研究所 98 This paper examines the spillover effect of unsystematic risk and return between financial holding companies and commercial banks in Taiwan. This paper uses the bivariate GARCH methodology to examine the relationship between financial holding companies and commercial banks. The sample data are from September 2,2002 to September 30,2009. Our empirical results show that both financial holding companies and commercial banks portfolios return sensitivities to long-term interest rates and their volatilities. Furthermore, it is found that the spillover effect of return is significant between financial holding companies and commercial banks. The spillover effect of risk is significant between financial holding companies and commercial banks. Jong-rong Chen Lii-tarn Chen 陳忠榮陳禮潭 2010 學位論文 ; thesis 71 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立中央大學 === 產業經濟研究所 === 98 === This paper examines the spillover effect of unsystematic risk and return between financial holding companies and commercial banks in Taiwan. This paper uses the bivariate GARCH methodology to examine the relationship between financial holding companies and commercial banks. The sample data are from September 2,2002 to September 30,2009. Our empirical results show that both financial holding companies and commercial banks portfolios return sensitivities to long-term interest rates and their volatilities. Furthermore, it is found that the spillover effect of return is significant between financial holding companies and commercial banks. The spillover effect of risk is significant between financial holding companies and commercial banks.
author2	Jong-rong Chen
author_facet	Jong-rong Chen Kai-yang Chang 張開揚
author	Kai-yang Chang 張開揚
spellingShingle	Kai-yang Chang 張開揚 The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan
author_sort	Kai-yang Chang
title	The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan
title_short	The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan
title_full	The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan
title_fullStr	The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan
title_full_unstemmed	The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan
title_sort	spillover of risk and return between bank holding companies and commercial banks in taiwan
publishDate	2010
url	http://ndltd.ncl.edu.tw/handle/40665418250663110847
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The Spillover of Risk and Return Between Bank Holding Companies and Commercial Banks in Taiwan

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