| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 99 === This research adopts the sample data of listed eleven banks and eleven security firms from "Taiwan economic journal database" (TEJ) to investigate the mutual effects of earning and stock price under different levels of capital adequacy ratio (CAR) for the financial industry after Subprime Crisis. To fully catch the real world nonlinear phenomenon for the mutual effects between the revenue and stock price and the effects of control variables considered on the revenue and stock return in order to do further evaluation and measurement, we employ the panel smooth transition regression (PSTR) elaborated by González, Teräsvirta and Dijk（2004, 2005）for testing for the panel smooth transition effect.
The result of this research first shows that, when stock price is set as explained variable, there are two threshold values (an ESTR model) of 15.5869 and 274.0040 for CAR. It also shows that there is a significant negative effect of earning on stock price during the lowest region where CAR is less than 15.5869. However, significant positive effect is shown when CAR is larger than 15.5869. Whereas the positive effect decreases when CAR is larger that 74.0040. For other variables considered, the result shows that the size of financial firms has significant positive effect on stock price during the lower two regions when CAR is less than 274.0040. On the contrary, the effects of debt ratio of financial firms on stock price are shown negative significantly for all three CAR regions.
We further find that there is one threshold value of 286.2141 for CAR when earning is used as explained variable. The effects of stock price on earning are positive and negative, both significantly, under the lower and higher regions, respectively. For the other two control variables, both show significant positive effects on the earning of financial firms under both regions.
|
|---|
