本研究運用GJR-GARCH模型,探討2010/01/01到2017/4/19間,人民幣匯率及新台幣匯率波動對台灣上市壽險公司現貨股票市場之報酬與風險傳遞效果。實證發現:樣本期間,在平均數方面,中國人壽為 0.01、富邦金控為 0.01,處於正報酬;國泰金控為 -0.01、新光金控為 -0.03,處於負報酬;人民幣匯率處於貶值,新台匯率處於升值。運用GJR-GARCH模型測量結果發現:人民幣匯率及新台幣匯率波動對台灣上市壽險公司股票現貨市場均存在不對稱效果。
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.