[[alternative]]A Study on Stock Price Volatility of the Financial Holding Companies

[[abstract]] 股巿波動率在許多金融活動中扮演著重要的角色，因為波動率是金融商品的買賣標的，同時也是風險的基本測度。我國股市交易中金融股的重要性僅次於電子股，而金融股中又以金控股為指標，於是本研究針對目前國內十四家金融控股公司2001年12月19日至2004年11月2日股價報酬日資料進行波動性研究。利用GARCH與EGARCH模型探討十四家金融控股公司股價報酬波動性與不對稱性效果，並加入總體經濟因素探討影響十四家金融控股公司股價波動性之原因。 實證結果顯示， 整體而言十四家金融控股公司股價報酬具有波動叢聚的現象，即表示當期的報酬會受到前一期條件變異數的影響，經濟上的意涵為一個大的漲跌幅通常會伴隨著另一個大的漲跌幅的產生；相反地，一個小的漲跌幅通常也會伴隨著另一個小的漲跌幅的產生。而十四家金融控股公司股價波動性會受到利率、通貨膨脹率與貨幣供給額等總體因素的影響。[[abstract]] Volatility plays an important role in the stock market because it is the standard of trading financial products and measuring risk. In the stock market, financial stocks take the second position right after electronic stocks and stock price of financial holding companies is the guide of financial stocks. Therefore this paper studies the price volatility of the financial holding company stocks from December 2001 to November 2004. The study uses GARCH and EGARCH model to investigate the stock return volatility and asymmetry effect of 14 financial holding companies. Besides, we include macroeconomic factors to study the influences of the financial holding company stock price volatility. The empirical results indicate that the entire financial holding companies＇stock returns exhibit volatility clustering which shows that the returns are inflected by previous heterocesdasticity, and the influcutation of the stock return is accompanied with another same type fluctuation. Moreover, volatility of the financial holding company stock is affected by interest rate, inflation rate and monetary supply