| Summary: | 碩士 === 逢甲大學 === 風險管理與保險學系 === 105 === The financial industry belongs to the chartered industry with highly leveraged characteristics, so the risk of its operation is extremely concerned. On the other hand, the stock market in Taiwan is a shallow-plate market and vulnerable to external effects, and therefore irrational rises and falls are prevalent, which renders the market being highly volatile, speculative, and unstable. The link between the stock price of the financial industry and of the overall stock market reflects that the risk of the industry is associated with the market, which is a matter worthy of an investigation. In this study, we examine the relation between the stock returns of financial holding companies and returns of the relevant index and interest rate and analyze the degree of their interaction by copula models. The results show that financial holding companies’ stock returns move in the same direction as returns of the stock index and of the financial index and there is a close relationship between them. However, the dynamic relationship of stock returns of financial holding companies with interest rate has a lower dependence as compared to the dynamic relationship with the stock index and financial index, suggesting that financial holding companies' stock prices are less sensitive to interest rate. Moreover, among copula models adopted in this study, Student-t copula fits most adequately the dependent structure between stock returns of financial holding companies and those of stock indices as well as interest rate.
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