本研究利用GARCH-M模型,探討人民幣貶值對台灣上市營造公司的風險溢酬傳遞效果。研究期間為2014年01月01日至2019年02月21日。應用AR(1)-GARCH(1,1) 均數方程式估計可看出,受人民幣前一天貶值的影響,報酬為正向效果的有中華工程、新亞建設、台灣土地開發、欣陸控股、德昌營造及建國工程;而受人民幣前一天貶值的影響,報酬為負向效果的有達欣工程、皇昌營造、根基營造、潤弘精密、雙喜營造、工信工程及擎邦國際;受人民幣前一天貶值的影響,風險溢酬為正向效果的有新亞建設、達欣工程、根基營造、潤弘精密、欣陸控股、德昌營造、建國工程及雙喜營造;而受人民幣前一天貶值的影響,風險溢酬為負向效果的有中華工程、皇昌營造、台灣土地開發及工信工程。
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..