本研究利用AR-GARCH模型探討新冠肺炎以及俄烏戰爭期間,美元指數報酬對台灣上市金控銀行報酬與風險之傳遞分析,研究期間自2019年1月2日至2022年12月31日,共977筆日資料,資料來源為台灣經濟新報(TEJ)。實證結果發現,台灣上市金控銀行報酬受其美元指數報酬皆為負向效果,其中R2891中信金受美元指數報酬負向影響最大;變異數方程式估計結果表明,美元指數報酬對台灣上市金控銀行報酬存在對稱傳遞。
This study employs an AR-GARCH model to investigate the transmission of return and risk from the US dollar index to listed financial holding banks in Taiwan during the COVID-19 pandemic and the Russo-Ukrainian war. The study period covers January 2, 2019, to December 31, 2022, with 977 daily observations obtained from Taiwan Economic Journal (TEJ). The empirical results reveal that the returns of the listed financial holding banks in Taiwan are influenced negatively by the US dollar index returns, with the most considerable negative effect on R2891 CTBC Financial Holding. The estimation results of the variance equation indicate a symmetric transmission between the US dollar index returns and the returns of the listed financial holding banks in Taiwan.