| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 101 === The group factor is one of the factors that influence the fluctuation of stock returns. Assuming that there are several listed companies in the same conglomerate, then whether one of the listed companies' fluctuation of stock returns would cause spillover effect, affecting other listed companies, and even making the whole conglomerate acting the same way, would be a significant consideration for investors to make their decisions. Thus, the following are the main purposes in this research: First, to investigate whether they have contagion effect and the relationship of lead and follow among the stock returns of the main three listed companies in the conglomerate or not. Second, to analyze whether they have the volatility spillover effect among the stock returns of the main three listed companies in the conglomerate or not, and verify each of their time series relationship.
According to information from China Credit Information Service in 2012, we would like to choose 4 business groups from technology industry and traditional industry with the highest revenues to be the research sample. We select 1,427 trading daily data from the beginning of July in 2007 to the end of June in 2012. The research methods used in the previous literatures are relatively rare to use GARCH to analyze the relation between the stock returns in the conglomerate. Therefore, we would like to use Stationary test、Serial correlation test、ARCH model and Tri-GARCH model to examine the volatility spillover effect among the stock returns of the main three listed companies in the conglomerate.
The following are the results in this research: Core companies' stock return volatility is more stable than the other members, and the risk is smaller than the other members of the business group. In the relationship of stock returns, the stock returns of one company would be influenced by the others'. It represents the relationship of lead and follow among them does exist and proves the existence of contagion effect between business groups stock. In the relationship of stock volatilities, the stock volatility of one company would be influenced by the others' as well. It represents the spillover effect indeed exists between business groups stock.
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