CAJ | 학술논문

本文主要目的在于调查中国台湾地区景气循环变化对于金融产业股价回报的影响,同时引入不动产市场因子进行分析,研究对象将2003年1月至2011年6月中国台湾证券交易市场所有上市银行类股作为研究样本。与过去研究不同,本文进一步划分公司群体为金控与非金控公司进行探讨。实证结果显示在景气扩张时期,因为投资人普遍追求短期房价获利的投机心理,因此,呈现出不动产市场活动效果不显著的现象。反之,在资金成本与房市购买意愿变化下,不动产市场状况与金控公司具有反向的关联。此外,当市场处于景气扩张时期时,金融产业的动量效应较为明显,显现市场投资人较易存在不理性的投资行为,倾向于持有现货进行投机行为,故动量效应在景气扩张时期较衰退时期的效果大。在货币市场方面,当市场处景气扩张时,非金控公司具有负向的利率敏感性,但金控公司则未达统计的显著水平。
본문주요목적재우조사중국태만지구경기순배변화대우금융산업고개회보적영향,동시인입불동산시장인자진행분석,연구대상장2003년1월지2011년6월중국태만증권교역시장소유상시은행류고작위연구양본。여과거연구불동,본문진일보화분공사군체위금공여비금공공사진행탐토。실증결과현시재경기확장시기,인위투자인보편추구단기방개획리적투궤심리,인차,정현출불동산시장활동효과불현저적현상。반지,재자금성본여방시구매의원변화하,불동산시장상황여금공공사구유반향적관련。차외,당시장처우경기확장시기시,금융산업적동량효응교위명현,현현시장투자인교역존재불이성적투자행위,경향우지유현화진행투궤행위,고동량효응재경기확장시기교쇠퇴시기적효과대。재화폐시장방면,당시장처경기확장시,비금공공사구유부향적리솔민감성,단금공공사칙미체통계적현저수평。
This paper aims to investigate the effect of business cycles on financial industries in Taiwan stock market from January 2003 to June 2011. In contrast to prior studies, this paper examines whether the real estate market affect the behavior of stock prices by sorting the financial holding and non-financial holding companies. Empirical results show that there are not significant effects between the real estate market and non-financial holding companies during business expansion periods, but the real estate market have negative effects in financial holding companies because of the influences of both the cost of funds and the purchase intentions in real estate market. In addition, the significant effects from momentum factors also confirm that market investors have commonly irrational investment decision and speculative behaviors. Finally, non-financial holding companies present negative significantly sensitivities when the expected in- terest rate change in the monetary market during expansion periods, but not found in financial holdin~ companies