升息循環對金控類股報酬之影響-事件研究法之應用

聯準會(Fed)升息與否的決議通常是全球中央銀行決定升降息的指標，升降息會影響存款、放款利率的變化，對投資人及社會大眾的影響層面為資金成本的變化，對金融機構的影響則為其獲利來源的利息收入、存放款利差的變化，隨著全球化與各國商品之普及，當啟動升息循環時是否進而影響金融業之獲利表現並影響金控類股之股價？因此引起本文之研究動機，擬以事件研究法來探討升息循環對金控類股報酬之影響。本研究以台灣14家上市櫃金融控股公司作為研究樣本，選取美國聯準會2022年3月1日至2022年12月15日升息宣告其中4個事件日，採用事件研究法分別探討這些事件日對金控金融類股異常報酬是否存在顯著差異，並進一步以迴歸模型，探討財報變數對於股價累積異常報酬率之影響。本文實證結果顯示，在不同事件日升息前後對上市櫃金控類股票市場報酬率標準化之平均異常報酬及標準化累積平均異常報酬存在顯著差異；而美國升息與否、淨利差、存放利差對於總資產報酬率、股東權益報酬率之關係為正相關。本文實證結果亦可藉供投資人參酌。

關鍵字

美國升息；事件研究法；多元迴歸模型；異常報酬；金控類股

並列摘要

The Federal Reserve's decision to raise or lower interest rates is usually an indicator for central banks around the world to adjust their interest rates. Changes in deposit and lending rates due to interest rate hikes or cuts affect the cost of funds for investors and the general public, while their impact on financial institutions comes from changes in interest income and deposit-loan spreads. As globalization and the popularity of goods in various countries increase, does the initiation of an interest rate cycle affect the financial performance of the industry and the stock prices of financial holding companies? This question motivates the research in this paper, which aims to investigate the impact of interest rate cycle on returns of financial holding stocks using the event study method as a consideration for future investors. This thesis uses 14 listed and over-the-counter financial holding companies in Taiwan as research samples, selecting four event days from March 1, 2022 to December 15, 2022, when the Federal Reserve raised interest rates. The event study method is used to examine whether these event days have a significant impact on abnormal returns of financial holding stocks. Furthermore, the impact of financial statement variables on the cumulative abnormal return rate of stock prices is explored using a regression model. The empirical results show that there are significant differences in the average standardized abnormal returns and average standardized cumulative abnormal returns of financial holding stocks before and after interest rate hikes on different event days. Additionally, the results of this study suggest that the U.S. interest rate hikes, net interest margins, and deposit-loan spreads have a positive correlation with the return on assets and return on equity. These empirical findings can provide a reference for future investors in their investment considerations.