An Application Of GARCH-M Model–Estimation Of The Effect Of RMB Depreciation On The Risk Premium Transfer Of Taiwan-Listed Construction Companies

• Main Authors: CHANG,PAO-CHIH, 張寶智
• Other Authors: YANG,YUNG-LIEH
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/k6mxmc

碩士 === 嶺東科技大學 === 高階主管企管碩士在職專班 === 107 === An application of GARCH-M model–Estimation of the effect of RMB depreciation on the risk premium transfer of Taiwan-listed construction companies. In this research, we use GARCH-M model to estimate the effect of RMB depreciation on the risk premium transfer of Taiwan-listed construction companies. Data from 2014/01/01 to 2019/02/21 was collected. According to the AR(1)-GARCH(1,1) model, we get some results below. RMB depreciation in the previous day has a positive effect on the revenue of several corporations, such as BES Engineering Co., Newasia construction Co., Taiwan Land Development Co., Continental Holdings Co., Te Chang Construction Co. and Chien Kuo Construction Co.. By contrast, RMB depreciation in the previous day has a negative effect on the revenue of several corporations, Dacin Construction Co., Hwang Chang General Contractor Co., Kedge Construction Co., Ruentex Engineer & Construction Co., Sun-sea Construction Co., Kung Sing Engineering Co. and King Polytechnic Engineering Co.. On the other hand, RMB depreciation in the previous day has a positive effect on the risk premium of several corporations, such as Newasia construction Co., Dacin Construction Co., Kedge Construction Co., Ruentex Engineer & Construction Co., Continental Holdings Co.,Te Chang Construction Co., Chien Kuo Construction Co. and Sun-sea Construction Co.. By contrast, RMB depreciation in the previous day has a negative effect on the risk premium of several corporations, such as BES Engineering Co., Hwang Chang General Contractor Co., Taiwan Land Development Co., and Kung Sing Engineering Co.