當各國經濟受到重挫,各國中央銀行常利用升息與降息的貨幣政策來振興經濟,此將影響股票市場,本論文以台灣中央銀行於2011年至2022年期間分別進行4次升息及5次降息為研究事件,藉由事件研究法探討中央銀行升降息對金融類股股票價格造成的影響。 實證分析結果得知,金控類股在升息前有顯著正向平均異常報酬,升息後則為負向平均異常報酬,而降息前及降息當日平均異常報酬為負。銀行類股升息前平均異常報酬為正,但升息後平均異常報酬隨即轉負,而降息前平均異常報酬為負,但降息當日平均異常報酬隨即轉正。此外,證券類股在升降息前後較無異常現象。保險類股在升息前後較無異常現象,而降息前、降息日及降息後平均異常報酬皆為負,本論文的研究結果可提供相關人士的參考。
When economies of various countries are severely impacted, central banks often use interest rate adjustments as a monetary policy tool to stimulate the economy. This action can have an effect on the stock market. This paper focuses on the events of four interest rate raises and five interest rate cuts conducted by the Central Bank of Taiwan between 2011 and 2022. Using an event study methodology, this paper is to study the effects of the central bank’s interest rate adjustments on the stock price of financial sector stocks. The empirical analysis reveals that financial holding company stocks exhibited significant positive abnormal returns before the interest rate raises, but experienced negative abnormal returns afterwards. Before and on the day of interest rate cuts, these stocks showed negative average abnormal returns. For bank stocks, the average abnormal returns were positive before interest rate raises, but turned negative immediately after the raises. Before interest rate cuts, the average abnormal returns were negative, but turned positive on the day of the rate cut. In contrast, securities sector stocks showed little abnormal behavior before and after interest rate raises, but exhibited negative average abnormal returns on the third day after an interest rate cut. Insurance sector stocks also showed minimal abnormal behavior before and after interest rate hikes, but exhibited negative average abnormal returns before, on the day of, and after interest rate cuts. The findings of this study can serve as a reference for relevant individuals.