| Summary: | 碩士 === 嶺東科技大學 === 高階主管企管碩士在職專班 === 105 === This research focused on using GJR-GARCH Model in order to evaluate the Pass Effect of the Volatility of RMB exchange rate and NTD exchange rate toward the compensations and risks of Taiwan’s listed life insurance stock spot market from Jan 1st, 2010 to April 19th, 2017.
Based on the empirical evidences of the research, the following conclusions are found. During the sample period, in terms of average, China Life was 0.01, Fubon Financial Holdings was 0.01, in a positive remuneration; Cathay Financial Holdings was -0.01, Shin Kong Financial Holdings was -0.03, in a negative remuneration. The RMB exchange rate was in the devaluation, and the NTD exchange rate was in appreciation. The results from using the GJR-GARCH model had shown that both of the exchange rate volatilities have asymmetric effect to the stock market of listed life insurance companies in Taiwan.
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