利率變動與金融保險股、非金融保險股股價之關係

Abstract

本研究主要目的是在研究利率變動之資訊效果，也就是探討投資者對 利率變動事件的反應。首先，將整個股票市場的上市公司分為金融保險和 非金融保險二種類股，然後檢定其在中央銀行宣告利率變動日，市場對此 利率的變動之反應，以瞭解利率變動對金融保險股和非金融保險股影響。 由實證研究結果，可歸納出下列幾點結論： 1、利率變動對台灣股票市場而言，確有資訊效果存在，亦即利率變動股 價也會隨之調整 ，並且由累積異常報酬率 (CAR)得知利率和股價是呈 反方向變動，也即利率上升股價 會下滑而利率下降則股價上揚。 2、利率上升時，由於媒體報章雜誌較少報導利率即將上升之訊息，故大 眾投資人較無利 上揚的預期心理，故當中央銀行一旦出乎大眾投資人 意料之外的宣佈利率調升，不論 是金融保險股和非金融保險股均會明 顯的反應此一訊息，因此利率變動當日二者之股 價均顯著下滑。 3、而利率下降時，由於媒體報章雜誌於利率下降之前即大幅報導中央銀 行即將引導利率 下降之訊息，故大眾投資人普遍預期利率即將下降， 故當中央銀行一旦宣佈利率調降 ，此一訊息反而是在預料之中在先前 即已反應過，故央行正式宣佈時，在宣佈當日不 論是金融保險股和非 金融保險股並無顯著的上揚，反而是在利率調降前二天股價有顯 著的 上揚。 4、央行宣布調升重貼現率後，在整個事件期間金融保險股報酬率的累積 跌幅會比非金融 保險股報酬率累積跌幅來得小，而宣佈調降重貼現率 時，則是金融保險股累積漲幅不 及非金融保險股的累積漲幅。 The main purpose of the thesis is to study information effect ofinterest rate changes. First, stock market will be divided into two groups ,one is financial insurance stock, the another is nonfinancial insurance stock, then observe investor's response when Central Bank declares the change of interest rate. Second, compare financial insurance stock with nonfinancialinsurance stock to show which kind stock is more fluctuant. The followings are obtained in the study: 1.There is 「information effect」of interest rate change in Taiwan stock market and negative association between interest rate change and stock price change . 2.Investors usually won't expect the increase of interest rate for the reason that there is fewer news about the increase of interest rate in the media. Therefore, when Central Bank announces that interest rate rises, both stock price of financial insurance stock and nonfinancial insurance stock decrease significantly in the same day. 3.Investors usually will expect the increase of interest rate for the reason that there is more news about the decrease of interest rate in the media. Therefore, when Central Bank announces that interest rate decreases both stock price of financial insurance stock and nonfinancial insurance stock don't decrease significantly in the same day. Because stock market has reacted in the advance. 4.When Central Bank declares the increase (decrease) of interest rate , the financial insurance stock will decrease (increase) less than nonfinancial insurance stock in the observation period .