新冠肺炎期間防疫保單 對台灣上市金控公司報酬與風險評估— R統計軟體Rugarch家族模型之應用

Evaluation of Remuneration and Risk of Taiwan-listed Financial Holding Companies by Anti-epidemic Policy during COVID-19-Application of Rugarch Family Model

林昭全(Chao-Chuan Lin)

指導教授 ： 劉凱平 ； 許鎦響

嶺東科技大學/商管學院/企業管理系高階經營管理碩士在職專班/碩士(2021年)

摘要

本研究在探討新冠肺炎期間新台幣升值，台股大盤報酬對台灣上市金控公司
2881 富邦金、2888 新光金之風險溢酬傳遞效果。本研究利用R 統計軟體
GARCH-X 之估計分析，由均數方程式估計結果可看出，R2881 受前一天R2881 報
酬為正向顯著效果，台股報酬效果為正向顯著效果；由變異數方程式估計結果可看
出，beta1 前一天風險效果為正向顯著效果。由均數方程式估計結果可看出，R2888
受前一天R2888 報酬為正向顯著效果，台股報酬效果為正向顯著效果；由變異數
方程式估計結果可看出，beta1 前一天風險效果為正向顯著效果。

關鍵字

關鍵詞：R 統計軟體、GARCH-X 模型、新台幣升值、台灣上市金控公司。

並列摘要

This research discusses the effect of the exaltation of the New Taiwan dollar,
and the remuneration of Taiwan stocks on the risk of premium transfer effects
about Taiwan-listed financial holding companies in 2881 Fubon Gold company,
2888 Shin Kong Gold company during the period of COVID-19.
This study uses the analysis system of the R statistical software in GARCH-X,
and from the mean equation estimation results, it is can be seen that the R2881
has a positive and significant effects on the previous remuneration, and the
remuneration effect is a positive and significant effect in Taiwan stock market. The
estimated by the variance equation come from the results show that the risk effect
of “beta1” has the positive and significant changed. It can be seen from the
estimation result of the mean equation that R2888 has a positive and significant
effect on the return of the previous day, and the return effect of Taiwan stocks. The
“beta1”of estimation results of the variance equation, it can be seen that the risk
effect of the previous day is positive with the significant effect.

並列關鍵字

Keywords: R statistical software, GARCH-X model, New Taiwan dollar exaltation, Taiwan listed financial holding companies.

參考文獻

參考文獻

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2. 吳顏潔 (2011)。金融海嘯前後匯率風險對銀行股價報酬率影響之實證分析。國

立中央大學產業經濟研究所碩士在職專班碩士論文。