[[alternative]]AN EMPIRICAL STUDY OF STOCK PRICE RETURN VOLATILITY OFFINANCIAL HOLDING COMPANY--FROM THE VIEW POINT OF THEESTABLISHMENT OF THE TAIWAN 50 INDEX

[[abstract]] 台灣在金融自由化的潮流下，政府積極鼓勵金融機構進行合併的動作，終至今年為止，已有14家金融控股公司成立，本研究採用2001年12月19日至2003年6月30日之金融控股公司股價，將樣本區分為納入台灣50指數之金控股與未納入台灣50指數之金控股，以GARCH及EGARCH模型實證分析在台灣50指數成立前後金控股的表現，得到以下結論： 1.本研究中，14家金控股價報酬皆具有一般股票市場的特性，符合正峰態，也就是呈高峰、瘦腰與厚尾的現象，而金控股價報酬具確實具波動叢聚現象。實證結果顯示大多金控股股價報酬對訊息衝擊有很高的持續性。 2.在波動不對稱性方面，金控股價報酬亦具不對稱現象。實證結果顯示金控股多呈現正向報酬衝擊大於負向報酬衝擊。 3.觀察台灣50指數成立前後金控股波動變化情形，在台灣50指數成立後，波動水準的確有顯著性的上升，這可能是散戶投資人會對於未預期之訊息特別的敏感，容易造成股票市場一旦有任何新訊息流入市場，投資人就會進行部位的調整，導致股票市場激烈地波動。 4.藉由訊息衝擊曲線來觀察台灣50指數成立前後結構上的變化情形：發現加入台指50金控股之富邦金與開發金(成立前為正向在成立後為負向)、國泰金與台新金(成立前為負向在成立後為正向)產生結構性的改變。 [[abstract]] Following the deregulation and internationalization of the worldwide financial markets, Taiwan government is enthusiastic to establishment of the Financial Holding Company(FHC) during the period of the June 31 2002. There are 14 FHC currently. Our study use GARCH and EGARCH model to observe 14 FHC stock returns volatility from the view point of the establishment of Taiwan 50 index. The results are following up: 1. In our study, all of the 14 FHC stock price returns exhibit volatility clustering. It is widely recognized that the unconditional return distributions tend to have leptokurtosis and fatter tails. 2 We used EGARCH model to capture asymmetries in the volatility of 14 FHC stock price returns, and we found that most of the 14 FHC positive stock return shock affect more than negative shock. 3.From the view point of the establishment of the Taiwan 50 index, we used GARCH model and found that 14 FHC stock price return volatilities are increased. It is possible that investors sensitively face unpredictable information. 4.We used news impact curves to observe volatility and found that among Taiwan 50 index, Fubon Group and China Develop Holding are positive before establishment, and negative after establishment. For those not included in Taiwan 50 index, Cathay Life Ins Holding and Taishin Holding Company are negative before establishment, and are positive after establishment.