景气循环下不动产市场对金融控股
公司股价回报之影响*

经济理论与经济管理 ›› 2015, Vol. 35 ›› Issue (6): 29-42.

景气循环下不动产市场对金融控股
公司股价回报之影响*

苏欣玫1,黄健铭2,林东宽3

1 中国台湾中油股份有限公司，邮政编码：11010，电子信箱：cynthiasu@cpccomtw；2 黄健铭，健行科技大学营销与流通管理系；3 林东宽，淡江大学财务金融学系。

出版日期:2015-06-16 发布日期:2015-06-23
作者简介:苏欣玫，中国台湾中油股份有限公司，邮政编码：11010，电子信箱：cynthiasu@cpccomtw；黄健铭，健行科技大学营销与流通管理系；林东宽，淡江大学财务金融学系。

THE EFFECTS OF REAL ESTATE MARKET ON STOCK RETURNS
OFFINANCIAL HOLDING COMPANIES UNDER THE BUSINESS CYCLES

SU Xin-Mei-1,HUANG Jian-Ming-2,LIN Dong-Kuan-3

1Institute of Energy Economics, CPC Corporation of Taiwan；2Department of Marketing
and Distribuion Management,ChienHsin University of Science and Technology of Taiwan；
3Department of Banking and Finance, Tamkang University of Taiwan

Online:2015-06-16 Published:2015-06-23

摘要/Abstract

摘要： 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。

关键词: 景气循环 , 不动产市场因子 , 动量效应。

Abstract: 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 interest rate change in the monetary market during expansion periods, but not found in financial holding companies

Key words: business cycles , real estate factor , momentum effect

苏欣玫1,黄健铭2,林东宽3. 景气循环下不动产市场对金融控股
公司股价回报之影响*[J]. 经济理论与经济管理, 2015, 35(6): 29-42.

SU Xin-Mei-1,HUANG Jian-Ming-2,LIN Dong-Kuan-3. THE EFFECTS OF REAL ESTATE MARKET ON STOCK RETURNS
OFFINANCIAL HOLDING COMPANIES UNDER THE BUSINESS CYCLES[J]. Economic Theory and Business Management, 2015, 35(6): 29-42.