The Impact of Taiwan Monetary Policy Announcements on the Stock Market:The Taiwan Evidence

• Main Authors: Hsiu-Chen Hsieh, 謝秀真
• Other Authors: Tzu-wei Wang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/n62728

碩士 === 樹德科技大學 === 金融與風險管理系碩士班 === 101 === This study applies the“event study”method with GARCH model to examine the influence of Taiwan Central Bank''s unexpected monetary policy announcements on the different industries listed on Taiwan Stock Exchange. In order to avoid the estimation biases due to the synchronous events, we use the standardized corss-sectional test. The sample period is from January 1, 2000 to December 31, 2012. Our empirical results show that: the change of rediscount rate has significant and positive effect on the stock prices of biotechnology, medical,and chemical industries. However,there is no significant influence on the stock prices of cement,rubber and car with stocks.It seems that the impact is very different due to the different industry characteristics.