利率變動對以壽險為主體之金融控股公司股票報酬之影響

The Impact of Interest Rate on Stock Returns of the Financial Holding Life Insurance Companies

徐清俊 ； 吳英慈

《運籌研究集刊》 10期 (2006/12) Pp. 17-29

https://doi.org/10.7047/LRR.200612.0017

摘要

國內目前以壽險為主的國內金控公司有新光、國泰及富邦等3家。綜觀國內金控公司旗下壽險子公司的壽險商品結構及資金運用範疇，可知市場利率變動風險對壽險業而言，不僅在對業務面（壽險商品結構）上有所影響，在財務面（即資金運用）上也有極大的關係。故利率變動不但會影響到公司獲利營運情況，同時亦會使投資人對企業之評價有所改變，導致公司股票報酬的波動。
本研究以2004年1月2日到2005年12月30日為研究期間，運用二因子修正模型配合GARCH模型，探討利率的變動是否會對國內以壽險為主體之金融控股公司股票報酬造成影響，以及利率變動對以壽險為主體之金融控股公司股票報酬影響的幅度。實證結果如下：(1)除了富邦金控外，利率變動對於其股票報酬的關係是負向關係，即當利率上升時，新光及國泰金控的股票報酬會下降。(2)利率變動對於三家以壽險為主體之金控公司的股票報酬影響的幅度分別為新光金控受利率變動影響為最大，其次為國泰金控，富邦金控最小。

關鍵字

壽險業 ； 金融控股公司 ； 利率變動 ； GARCH模型

並列摘要

The interest rate changes will influence both the commodity structure and the financial position of the life insurance industries. Therefore, interest rates are directly related to the profit and then investor's expectation on stock prices of life insurance companies.
This study examines how the stock returns of the financial holding life insurance companies are affected by interest rate changes. The sample data covers from January 2, 2004 to December 30, 2005 with daily prices. We manipulate Two-Index Model and GARCH model to illustrate the influence of interest rate changes on three financial holding life insurance companies in Taiwan. The results are as follows:
(1) The relationship between interest rate changes and returns of stock of financial holding life insurance companies' is negative (with the exception of Fubon Financial Holdings)
(2)Shin Kong is mostly influenced by the interest rates changes, the next is Cathay, and Fubon is the third one.

並列關鍵字

Life Insurance Industry ； Financial Holding Company ； Interest Rate Change ； GARCH model

參考文獻

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