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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/95150


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    題名: 雷曼兄弟倒閉對美國金融機構報酬率的影響
    The Impact of the Bankruptcy of Lehman Brothers on the Stock Returns of US Financial Institutions
    作者: 郭惠萍
    Kuo, Huei Ping
    貢獻者: 張元晨
    Chang, Yyan Chen
    郭惠萍
    Kuo, Huei Ping
    關鍵詞: 雷曼兄弟
    異常報酬
    美國金融機構
    傳染效果
    太大而不能倒
    Contagion effect
    too-big-to-fail
    日期: 2009
    上傳時間: 2016-05-09 15:16:30 (UTC+8)
    摘要: 本研究探討雷曼兄弟倒閉事件對美國金融機構股價報酬率所帶來的傳染效果。我們的研究結果顯示，持有雷曼兄弟股份的金融機構受到較顯著的影響，而且在股東當中以商業銀行及投資銀行所受到之衝擊最為顯著，而投資銀行受影響之程度又高於商業銀行。我們也發現，金融機構對雷曼兄弟的持股比例愈高，其股價受到雷曼倒閉危機影響之程度亦愈高。此外，一些規模較小的金融機構在一些事件中亦呈現了顯著的反應，顯示在某種程度上，雷曼兄弟危機事件在金融產業當中引發了傳染效果（Contagion effect）。我們的實證結果也顯示，美國政府此次未介入救援雷曼兄弟的做法，被市場解讀為金融機構不再是「太大而不能倒（too-big-to-fail）」。
    We examine the contagion effect of Lehman Brother’s bankruptcy on US financial institutions’ stock returns. Our results show that financial institutions which held Lehman’s shares were affected more significantly. Furthermore, within Lehman’s shareholders, commercial banks and investment banks were affected most significantly, and impacts on investment banks were more significantly than commercial banks. We also find that the higher financial institution’s ownership percentage of Lehman was, the more its stock price was affected. Besides, some smaller financial institutions were also influenced significantly in some events, to some extent, implying a contagion effect in the financial sector. Our empirical results also indicate that the way that US government not to rescue Lehman Brother was perceived by the market that no financial institutions are too-big-to-fail.
    參考文獻: Cheng, J., Elyasiani E., and Lin, T., 2007, “Daily return behavior of the property-liability insurance industry: the case of contingent commission.” 2007 ARIA Annual Meeting, Quebec City.
    Chipalkatti, N. and Datar, V., 2005, “The relevance of value-at-risk disclosures: evidence from the LTCM crisis.” Paper presented at the XIII Academy of Business and Administrative Sciences (ABAS) International Conference held on July 20-22, 2005, Quebec City, Quebec, Canada.
    Didier, T., Mauro, P, and Schmukler, S.L., 2006, “Vanishing financial contagion?” Journal of Policy Modeling 30, 2008, 775–791.
    Kabir, M. H. and Hassan, M. K., 2003, “The near-collapse of LTCM, US financial stock returns, and the fed.” Journal of Banking & Finance 29, 441－460.
    Kho, B.-C., Lee, D., and Stulz, R., 2000, “U.S. banks, crises, and bailouts: From Mexico to LTCM. ” American Economic Review 90, 28－31.
    Wei, R., 2005, “Convergence and contagion in the U.S. banking and insurance industries: evidence from operational risk events.”, working paper, The Wharton School, University of Pennsylvania.
    描述: 碩士
    國立政治大學
    財務管理研究所
    96357029
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096357029
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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