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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 2. Anthony Rowley “Banking in Japan-The Future of Japanese Banking”, Financial Times, 1999 3. 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 4. 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 5. 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 6. 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 7. Lloyd, Willlam P.; Shick, Richard A.”A Test of Stone’s Two-Index Model of Returns”, Journal of Financial and Quantitative Analysis, Sep 1977 8. 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 9. 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 10. 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 11. 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 12. 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-Hua en_US dc.contributor.author (Authors) 林玫君 zh_TW dc.contributor.author (Authors) Lin, Mei-Chun en_US dc.creator (作者) 林玫君 zh_TW dc.creator (作者) Lin, Mei-Chun en_US dc.date (日期) 2000 en_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) A2002002070 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83322 - 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 證明書 致謝詞 論文摘要 目錄 表目錄 圖目錄 第一章 緒論 第一節 研究動機與目的 第二節 研究期間與範圍 第三節 實證研究限制 第四節 研究流程 第二章 日本金融制度與銀行危機 第一節 日本金融體系的分類 第二節 日本金融制度的特色 第三節 泡沫經濟與銀行危機 第三章 文獻探討 國外文獻 國內文獻 第四章 實證模型與結果 第一節 實證模型 第二節 研究方法 第三節 研究資料簡介及來源 第四節 實證結果與分析 第五章 結論與建議 第一節 研究結論 第二節 研究建議 附錄 附錄一 採用ARMA(1,1)的個別銀行估計圖形 附錄二 個別銀行估計樣本 參考文獻 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002070 en_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 model en_US dc.subject (關鍵詞) bank stock price en_US dc.subject (關鍵詞) credit risk en_US dc.subject (關鍵詞) Japan en_US dc.subject (關鍵詞) banking crises en_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 Banks en_US dc.type (資料類型) thesis en_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 2. Anthony Rowley “Banking in Japan-The Future of Japanese Banking”, Financial Times, 1999 3. 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 4. 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 5. 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 6. 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 7. Lloyd, Willlam P.; Shick, Richard A.”A Test of Stone’s Two-Index Model of Returns”, Journal of Financial and Quantitative Analysis, Sep 1977 8. 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 9. 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 10. 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 11. 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 12. 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 zh_TW
