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題名 加入信用風險之銀行股價多因子模型：日本銀行業之實證分析
Stock Price Multi-factor Model with Credit Risk--Empirical Evidence from Japanese Banks
作者 林玫君
Lin, Mei-Chun
貢獻者 沈中華
Shen, Chung-Hua
林玫君
Lin, Mei-Chun
關鍵詞 多因子模型
銀行股價
信用風險
日本
銀行危機
multi-factor model
bank stock price
credit risk
Japan
banking crises
日期 2000
上傳時間 31-Mar-2016 16:35:38 (UTC+8)
摘要 商業銀行是以借貸為主的金融機構，銀行獲利的主要來源，是從存款大眾手中取得短期資金，再將資金貸放給政府或企業進行長期投資。銀行「借短貸長」的業務，常使得其資產與負債產生存續期間不一致的問題，當利率非預期變動時，會改變資產與負債的真實價值，進而影響到銀行的淨值及股票報酬率。此外，匯率變動的風險也是銀行常常面臨的問題，尤其是當銀行涉足國際業務時，匯率的變動常常會使銀行所持有的外幣部位價值改變，進而影響到銀行的真實價值。另外一個會影響到銀行資產與負債價值的因素，就是信用風險的問題，總體經濟環境的信用品質變動，常常會影響銀行放款的還款機率，進而改變銀行放款的實質價值。
參考文獻 1. Akihiro Kanaya and David Woo “The Japanese Banking Crises of 1990s:Sources and Lessons” , IMF Working Paper, January 2000\r\n2. Anthony Rowley “Banking in Japan-The Future of Japanese Banking”, Financial Times, 1999\r\n3. Asli Demirguc-Kunt and Enrica Detragiache “The Determinations of Banking Crises in Developing and Developed Countries”, IMF Staff Papers. Vol.45, No.1, March 1998, p.87-p107\r\n4. Hesna Genay “Assessing the Consition of Japanese Banks: How Informative are Accounting Earning?”, Economic Perspectives, Federal Reserve Bank of Chicago, 1998, p.12-p.34\r\n5. Jongmoo Jay Choi, Elyas Elyasiani and Kenneth J. Kopecky ”The Sensitivity of Bank Stock returns to market, interest and exchange rate risk”, Journal of Banking and Finance, 16, 1992 , p.983-p.1004\r\n6. Ling T. He, F.C. Neil Myer and James R. Webb ”The Sensitivity of Bank Stock Returns to Real Estate”, Journal of Real Estate Finance and Economics, 12,1996, p.203-p.220\r\n7. Lloyd, Willlam P.; Shick, Richard A.”A Test of Stone’s Two-Index Model of Returns”, Journal of Financial and Quantitative Analysis, Sep 1977\r\n8. Mark J.Flannery and Christopher M James “The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance, Vol. XXXIX, No.4, September 1984, p.1141-p.1153\r\n9. Nai-Fu Chen, Richard Roll and Stephen A. Ross “Economic Forces and the stock market”, Journal of Business, 1986, Vol.59, No.3, p.383-p.403\r\n10. Richard J. Sweeney and Arthur D. Warga “The Pricing of Interest-Rate Risk : Evidence from the Stock Market”, The Journal of Finance, Vol.XLI, No.2, June 1986, p.393-p.410\r\n11. Sandra Chamberlain, John S. Howe, Helen Popper “The Exchange Rate Exposure of U.S and Japanese Banking Institutions”, Journal of Banking and Finance, 21, 1997, p.871-p.892\r\n12. Stone and Bernell K. ”Systematic Interest Risk in a Two Index Model of Returns”,Journal of Financial and Quantitative Analysis, 9, Nov 1974, p.709-p.721
描述 碩士
國立政治大學
金融研究所
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002070
資料類型 thesis
dc.contributor.advisor 沈中華zh_TW
dc.contributor.advisor Shen, Chung-Huaen_US
dc.contributor.author (Authors) 林玫君zh_TW
dc.contributor.author (Authors) Lin, Mei-Chunen_US
dc.creator (作者) 林玫君zh_TW
dc.creator (作者) Lin, Mei-Chunen_US
dc.date (日期) 2000en_US
dc.date.accessioned 31-Mar-2016 16:35:38 (UTC+8)-
dc.date.available 31-Mar-2016 16:35:38 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2016 16:35:38 (UTC+8)-
dc.identifier (Other Identifiers) A2002002070en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=92820-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description.abstract (摘要) 商業銀行是以借貸為主的金融機構，銀行獲利的主要來源，是從存款大眾手中取得短期資金，再將資金貸放給政府或企業進行長期投資。銀行「借短貸長」的業務，常使得其資產與負債產生存續期間不一致的問題，當利率非預期變動時，會改變資產與負債的真實價值，進而影響到銀行的淨值及股票報酬率。此外，匯率變動的風險也是銀行常常面臨的問題，尤其是當銀行涉足國際業務時，匯率的變動常常會使銀行所持有的外幣部位價值改變，進而影響到銀行的真實價值。另外一個會影響到銀行資產與負債價值的因素，就是信用風險的問題，總體經濟環境的信用品質變動，常常會影響銀行放款的還款機率，進而改變銀行放款的實質價值。zh_TW
dc.description.tableofcontents 封面頁\r\n證明書\r\n致謝詞\r\n論文摘要\r\n目錄\r\n表目錄\r\n圖目錄\r\n第一章 緒論\r\n第一節 研究動機與目的\r\n第二節 研究期間與範圍\r\n第三節 實證研究限制\r\n第四節 研究流程\r\n第二章 日本金融制度與銀行危機\r\n第一節 日本金融體系的分類\r\n第二節 日本金融制度的特色\r\n第三節 泡沫經濟與銀行危機\r\n第三章 文獻探討\r\n國外文獻\r\n國內文獻\r\n第四章 實證模型與結果\r\n第一節 實證模型\r\n第二節 研究方法\r\n第三節 研究資料簡介及來源\r\n第四節 實證結果與分析\r\n第五章 結論與建議\r\n第一節 研究結論\r\n第二節 研究建議\r\n附錄\r\n附錄一 採用ARMA(1,1)的個別銀行估計圖形\r\n附錄二 個別銀行估計樣本\r\n參考文獻zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002070en_US
dc.subject (關鍵詞) 多因子模型zh_TW
dc.subject (關鍵詞) 銀行股價zh_TW
dc.subject (關鍵詞) 信用風險zh_TW
dc.subject (關鍵詞) 日本zh_TW
dc.subject (關鍵詞) 銀行危機zh_TW
dc.subject (關鍵詞) multi-factor modelen_US
dc.subject (關鍵詞) bank stock priceen_US
dc.subject (關鍵詞) credit risken_US
dc.subject (關鍵詞) Japanen_US
dc.subject (關鍵詞) banking crisesen_US
dc.title (題名) 加入信用風險之銀行股價多因子模型：日本銀行業之實證分析zh_TW
dc.title (題名) Stock Price Multi-factor Model with Credit Risk--Empirical Evidence from Japanese Banksen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Akihiro Kanaya and David Woo “The Japanese Banking Crises of 1990s:Sources and Lessons” , IMF Working Paper, January 2000\r\n2. Anthony Rowley “Banking in Japan-The Future of Japanese Banking”, Financial Times, 1999\r\n3. Asli Demirguc-Kunt and Enrica Detragiache “The Determinations of Banking Crises in Developing and Developed Countries”, IMF Staff Papers. Vol.45, No.1, March 1998, p.87-p107\r\n4. Hesna Genay “Assessing the Consition of Japanese Banks: How Informative are Accounting Earning?”, Economic Perspectives, Federal Reserve Bank of Chicago, 1998, p.12-p.34\r\n5. Jongmoo Jay Choi, Elyas Elyasiani and Kenneth J. Kopecky ”The Sensitivity of Bank Stock returns to market, interest and exchange rate risk”, Journal of Banking and Finance, 16, 1992 , p.983-p.1004\r\n6. Ling T. He, F.C. Neil Myer and James R. Webb ”The Sensitivity of Bank Stock Returns to Real Estate”, Journal of Real Estate Finance and Economics, 12,1996, p.203-p.220\r\n7. Lloyd, Willlam P.; Shick, Richard A.”A Test of Stone’s Two-Index Model of Returns”, Journal of Financial and Quantitative Analysis, Sep 1977\r\n8. Mark J.Flannery and Christopher M James “The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance, Vol. XXXIX, No.4, September 1984, p.1141-p.1153\r\n9. Nai-Fu Chen, Richard Roll and Stephen A. Ross “Economic Forces and the stock market”, Journal of Business, 1986, Vol.59, No.3, p.383-p.403\r\n10. Richard J. Sweeney and Arthur D. Warga “The Pricing of Interest-Rate Risk : Evidence from the Stock Market”, The Journal of Finance, Vol.XLI, No.2, June 1986, p.393-p.410\r\n11. Sandra Chamberlain, John S. Howe, Helen Popper “The Exchange Rate Exposure of U.S and Japanese Banking Institutions”, Journal of Banking and Finance, 21, 1997, p.871-p.892\r\n12. Stone and Bernell K. ”Systematic Interest Risk in a Two Index Model of Returns”,Journal of Financial and Quantitative Analysis, 9, Nov 1974, p.709-p.721zh_TW