江苏科技信息
江囌科技信息
강소과기신식
JIANGSU SCIENCE & TECHNOLOGY INFORMATION
2015年
22期
6-7
,共2页
马尔科夫区制转移%金控集团%混业经营
馬爾科伕區製轉移%金控集糰%混業經營
마이과부구제전이%금공집단%혼업경영
markov regime switching%financial holding companies%mixed operation
文章构建马尔科夫两区制转移模型估计台湾14家金控公司股票收益率和风险的动态行为。实证结果表明，台湾14家金控公司的股票收益率和风险均发生区制转移；其中12家金控公司的股票收益率和风险在较长的时间和较大的概率处于股票收益率无显著差异和风险显著较低的区制二。台湾金融业混业经营的综合表现出色，为大陆金融业开展混业经营的未来预期提供了前瞻性的借鉴。
文章構建馬爾科伕兩區製轉移模型估計檯灣14傢金控公司股票收益率和風險的動態行為。實證結果錶明，檯灣14傢金控公司的股票收益率和風險均髮生區製轉移；其中12傢金控公司的股票收益率和風險在較長的時間和較大的概率處于股票收益率無顯著差異和風險顯著較低的區製二。檯灣金融業混業經營的綜閤錶現齣色，為大陸金融業開展混業經營的未來預期提供瞭前瞻性的藉鑒。
문장구건마이과부량구제전이모형고계태만14가금공공사고표수익솔화풍험적동태행위。실증결과표명，태만14가금공공사적고표수익솔화풍험균발생구제전이；기중12가금공공사적고표수익솔화풍험재교장적시간화교대적개솔처우고표수익솔무현저차이화풍험현저교저적구제이。태만금융업혼업경영적종합표현출색，위대륙금융업개전혼업경영적미래예기제공료전첨성적차감。
In this paper,we estimate the dynamic behavior of 14 financial holding companies’ stock return and risk in Taiwan by constructing a Markov two regime switching model. The empirical results show that: the stock return and risk of all 14 financial holding companies’ have occurred during regime switching;the stock return and risk of 12 financial holding companies’,have a high probability that in the long term will have no significant differences in stock returns and have significantly lower risks during regime two. The financial performance of Taiwanese financial companies using mixed operation management,gives mainland China a prospective view regarding mixed operations in finance.
