| dc.contributor.advisor | 張元晨 | zh_TW |
| dc.contributor.author (Authors) | 張淑倩 | zh_TW |
| dc.creator (作者) | 張淑倩 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:05:08 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:05:08 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:05:08 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923570111 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31026 | - |
| 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) | 92357011 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | This paper investigates the reaction of US, European and Japanese bank stocks to economic and political news reports during the Asian Financial crisis period. I identify relevant events using key word searches during the crisis period and estimate their impact on the US, European and Japanese bank stock prices. The empirical evidence shows that adverse events in Asian countries affect most banks with exposure in these countries. However, it is seen that the exposed banks’ stock price reactions are not proportional to their loan exposure. The stock market still needs more accurate and public exposure disclosures from banks to formulate accurate reactions during the Asian financial crisis period. | zh_TW |
| dc.description.tableofcontents | ABSTRACT 4 LISTS OF TABLES 5 1. INTRODUCTION 7 2. LITERATURE REVIEW 9 3. DATA DESCRIPTION AND RESEARCH METHODOLOGY 14 3.1. DATA DESCRIPTION 14 3.1.1. Stock Price Data 14 3.1.2. The Exposed Banks and Independent Variables 14 3.1.3. News Reports and IMF program 15 3.2. HYPOTHESES 17 3.3. METHODOLOGY 18 3.3.1. Cross-sectional Regression approach 18 3.3.2. Regression 19 3.3.3. EGARCH-M Model 20 4. EMPIRICAL RESULTS 22 4.1. THE RESULTS OF CROSS-SECTIONAL REGRESSION METHODOLOGY 22 4.2. THE RESULTS OF REGRESSION METHODOLOGY 33 4.3. THE RESULTS OF EGARCH METHODOLOGY 50 5. CONCLUSIONS 61 APPENDIX A: THE SAMPLE BANKS USED IN THIS RESEARCH 68 A-1: LIST OF US SAMPLE BANKS 68 A-2: LIST OF JAPANESE SAMPLE BANKS 70 A-3: LIST OF EUROPEN SAMPLE BANKS 72 APPENDIX B: THE NEWS REPORTS 74 B-1: NEWS REPORTS RELATED TO HONG KONG’S FINANCIAL MARKETS DURING ASIAN CRISIS 74 B-2: NEWS REPORTS RELATED TO INDONESIA’S FINANCIAL MARKETS DURING ASIAN CRISIS 78 B-3: NEWS REPORTS RELATED TO JAPAN’S FINANCIAL MARKETS DURING ASIAN CRISIS 84 B-4: NEWS REPORTS RELATED TO MALAYSIA’S FINANCIAL MARKETS DURING ASIAN CRISIS 91 B-5: NEWS REPORTS RELATED TO PHILIPPINES’S FINANCIAL MARKETS DURING ASIAN CRISIS 96 B-6: NEWS REPORTS RELATED TO SINGAPORE’S FINANCIAL MARKETS DURING ASIAN CRISIS 98 B-7: NEWS REPORTS RELATED TO SOUTH KOREA’S FINANCIAL MARKETS DURING ASIAN CRISIS 101 B-8: NEWS REPORTS RELATED TO TAIWAN’S FINANCIAL MARKETS DURING ASIAN CRISIS 109 B-9: NEWS REPORTS RELATED TO THAILAND’S FINANCIAL MARKETS DURING ASIAN CRISIS 111 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923570111 | en_US |
| dc.subject (關鍵詞) | foreign loan exposure | en_US |
| dc.subject (關鍵詞) | bank stock | en_US |
| dc.subject (關鍵詞) | Asian crises | en_US |
| dc.title (題名) | The Reaction of Bank Stock Prices to the Asian Financial crises | zh_TW |
| dc.type (資料類型) | thesis | en |
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