The global financial crisis of September 2008 highlighted the
importance of financial stability, financial soundness, and
currency stability. This dissertation contributes to the literature
in these areas with two studies. The first essay examines the
financial characteristics of banks that use derivatives and those
that do not, as well as the relationship between the use of
derivatives and financial characteristics using quarterly data from
all domestic banks from March 1998 to March 2009. The second essay
estimates the sensitivity of stock returns to market, interest and
exchange rate risks of the Chinese and Taiwanese financial
institutions, and it also examines the pricing of these risk
factors in the framework of Ross' (1976) arbitrage pricing theory.
The two-step estimation procedure adopts a seemingly unrelated
regression method using daily data for the period from 21 July 2005
to 31 December 2009. Finally, the implications of these findings
for regulators, industrialists and academicians are provided in
this dissertation.
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