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題名 雷曼兄弟倒閉對美國金融機構報酬率的影響
The Impact of the Bankruptcy of Lehman Brothers on the Stock Returns of US Financial Institutions作者 郭惠萍
Kuo, Huei Ping貢獻者 張元晨
Chang, Yyan Chen
郭惠萍
Kuo, Huei Ping關鍵詞 雷曼兄弟
異常報酬
美國金融機構
傳染效果
太大而不能倒
Contagion effect
too-big-to-fail日期 2009 上傳時間 9-五月-2016 15:16:30 (UTC+8) 摘要 本研究探討雷曼兄弟倒閉事件對美國金融機構股價報酬率所帶來的傳染效果。我們的研究結果顯示，持有雷曼兄弟股份的金融機構受到較顯著的影響，而且在股東當中以商業銀行及投資銀行所受到之衝擊最為顯著，而投資銀行受影響之程度又高於商業銀行。我們也發現，金融機構對雷曼兄弟的持股比例愈高，其股價受到雷曼倒閉危機影響之程度亦愈高。此外，一些規模較小的金融機構在一些事件中亦呈現了顯著的反應，顯示在某種程度上，雷曼兄弟危機事件在金融產業當中引發了傳染效果（Contagion effect）。我們的實證結果也顯示，美國政府此次未介入救援雷曼兄弟的做法，被市場解讀為金融機構不再是「太大而不能倒（too-big-to-fail）」。
We examine the contagion effect of Lehman Brother’s bankruptcy on US financial institutions’ stock returns. Our results show that financial institutions which held Lehman’s shares were affected more significantly. Furthermore, within Lehman’s shareholders, commercial banks and investment banks were affected most significantly, and impacts on investment banks were more significantly than commercial banks. We also find that the higher financial institution’s ownership percentage of Lehman was, the more its stock price was affected. Besides, some smaller financial institutions were also influenced significantly in some events, to some extent, implying a contagion effect in the financial sector. Our empirical results also indicate that the way that US government not to rescue Lehman Brother was perceived by the market that no financial institutions are too-big-to-fail.參考文獻 Cheng, J., Elyasiani E., and Lin, T., 2007, “Daily return behavior of the property-liability insurance industry: the case of contingent commission.” 2007 ARIA Annual Meeting, Quebec City. Chipalkatti, N. and Datar, V., 2005, “The relevance of value-at-risk disclosures: evidence from the LTCM crisis.” Paper presented at the XIII Academy of Business and Administrative Sciences (ABAS) International Conference held on July 20-22, 2005, Quebec City, Quebec, Canada. Didier, T., Mauro, P, and Schmukler, S.L., 2006, “Vanishing financial contagion?” Journal of Policy Modeling 30, 2008, 775–791.Kabir, M. H. and Hassan, M. K., 2003, “The near-collapse of LTCM, US financial stock returns, and the fed.” Journal of Banking & Finance 29, 441－460.Kho, B.-C., Lee, D., and Stulz, R., 2000, “U.S. banks, crises, and bailouts: From Mexico to LTCM. ” American Economic Review 90, 28－31.Wei, R., 2005, “Convergence and contagion in the U.S. banking and insurance industries: evidence from operational risk events.”, working paper, The Wharton School, University of Pennsylvania. 描述 碩士
國立政治大學
財務管理研究所
96357029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096357029 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yyan Chen en_US dc.contributor.author (作者) 郭惠萍 zh_TW dc.contributor.author (作者) Kuo, Huei Ping en_US dc.creator (作者) 郭惠萍 zh_TW dc.creator (作者) Kuo, Huei Ping en_US dc.date (日期) 2009 en_US dc.date.accessioned 9-五月-2016 15:16:30 (UTC+8) - dc.date.available 9-五月-2016 15:16:30 (UTC+8) - dc.date.issued (上傳時間) 9-五月-2016 15:16:30 (UTC+8) - dc.identifier (其他 識別碼) G0096357029 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95150 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 96357029 zh_TW dc.description.abstract (摘要) 本研究探討雷曼兄弟倒閉事件對美國金融機構股價報酬率所帶來的傳染效果。我們的研究結果顯示，持有雷曼兄弟股份的金融機構受到較顯著的影響，而且在股東當中以商業銀行及投資銀行所受到之衝擊最為顯著，而投資銀行受影響之程度又高於商業銀行。我們也發現，金融機構對雷曼兄弟的持股比例愈高，其股價受到雷曼倒閉危機影響之程度亦愈高。此外，一些規模較小的金融機構在一些事件中亦呈現了顯著的反應，顯示在某種程度上，雷曼兄弟危機事件在金融產業當中引發了傳染效果（Contagion effect）。我們的實證結果也顯示，美國政府此次未介入救援雷曼兄弟的做法，被市場解讀為金融機構不再是「太大而不能倒（too-big-to-fail）」。 zh_TW dc.description.abstract (摘要) We examine the contagion effect of Lehman Brother’s bankruptcy on US financial institutions’ stock returns. Our results show that financial institutions which held Lehman’s shares were affected more significantly. Furthermore, within Lehman’s shareholders, commercial banks and investment banks were affected most significantly, and impacts on investment banks were more significantly than commercial banks. We also find that the higher financial institution’s ownership percentage of Lehman was, the more its stock price was affected. Besides, some smaller financial institutions were also influenced significantly in some events, to some extent, implying a contagion effect in the financial sector. Our empirical results also indicate that the way that US government not to rescue Lehman Brother was perceived by the market that no financial institutions are too-big-to-fail. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究動機與貢獻 4第三節 研究架構 6第二章 文獻回顧 7第一節 LTCM危機及亞洲金融風暴之相關研究 7第二節 傳染效果（Contagion effect）之相關研究 11第三章 樣本描述與研究方法 13第一節 樣本資料 13第二節 事件選擇 18第三節 研究方法 21第四章 實證結果 27第一節 雷曼兄弟股東及非股東金融機構之股價反應 27第二節 雷曼兄弟股東受影響程度與其持股比例間之關係 35第三節 傳染效果（Contagion effect）之檢定 38第四節 金融機構資產規模與傳染效果（Contagion effect）之關係 40第五節 市場對美國政府不介入緊急援助雷曼兄弟的反應 46第六節 雷曼兄弟危機對系統性風險的影響 50第五章 結論 52參考文獻 56 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096357029 en_US dc.subject (關鍵詞) 雷曼兄弟 zh_TW dc.subject (關鍵詞) 異常報酬 zh_TW dc.subject (關鍵詞) 美國金融機構 zh_TW dc.subject (關鍵詞) 傳染效果 zh_TW dc.subject (關鍵詞) 太大而不能倒 zh_TW dc.subject (關鍵詞) Contagion effect en_US dc.subject (關鍵詞) too-big-to-fail en_US dc.title (題名) 雷曼兄弟倒閉對美國金融機構報酬率的影響 zh_TW dc.title (題名) The Impact of the Bankruptcy of Lehman Brothers on the Stock Returns of US Financial Institutions en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Cheng, J., Elyasiani E., and Lin, T., 2007, “Daily return behavior of the property-liability insurance industry: the case of contingent commission.” 2007 ARIA Annual Meeting, Quebec City. Chipalkatti, N. and Datar, V., 2005, “The relevance of value-at-risk disclosures: evidence from the LTCM crisis.” Paper presented at the XIII Academy of Business and Administrative Sciences (ABAS) International Conference held on July 20-22, 2005, Quebec City, Quebec, Canada. Didier, T., Mauro, P, and Schmukler, S.L., 2006, “Vanishing financial contagion?” Journal of Policy Modeling 30, 2008, 775–791.Kabir, M. H. and Hassan, M. K., 2003, “The near-collapse of LTCM, US financial stock returns, and the fed.” Journal of Banking & Finance 29, 441－460.Kho, B.-C., Lee, D., and Stulz, R., 2000, “U.S. banks, crises, and bailouts: From Mexico to LTCM. ” American Economic Review 90, 28－31.Wei, R., 2005, “Convergence and contagion in the U.S. banking and insurance industries: evidence from operational risk events.”, working paper, The Wharton School, University of Pennsylvania. zh_TW
