台湾金控集团股票收益率动态行为的实证研究

The Dynamic Behavior for the Stock Returns of Taiwan ' Financial Holding Companies

文章构建马尔科夫两区制转移模型估计台湾14家金控公司股票收益率和风险的动态行为。实证结果表明,台湾14家金控公司的股票收益率和风险均发生区制转移;其中12家金控公司的股票收益率和风险在较长的时间和较大的概率处于股票收益率无显著差异和风险显著较低的区制二。台湾金融业混业经营的综合表现出色,为大陆金融业开展混业经营的未来预期提供了前瞻性的借鉴。

In this paper,we estimate the dynamic behavior of 14 financial holding companies＇ stock return and risk in Taiwan by constructing a Markov two regime switching model. The empirical results show that： the stock return and risk of all 14 financial holding companies＇ have occurred during regime switching;the stock return and risk of12 financial holding companies＇,have a high probability that in the long term will have no significant differences in stock returns and have significantly lower risks during regime two. The financial performance of Taiwan Residents financial companies using mixed operation management,gives China's Mainland a prospective view regarding mixed operations in finance.