受到金融技術創新、國際市場整合及景氣循環波動的影響，利率水準及其波動的變化呈現愈加劇烈的趨勢。就探討金融相關研究議題而言，隨時間變動的自我相關異質變異數模型也愈加受到重視，有凌駕傳統固定變異數迴歸模型的優勢。本研究的主要以條件變異數會隨時間變動為觀念，依據GARCH-M模型討論利率水準及其波動對銀行股票報酬的影響。本研究的另一個目的在於，依據景氣循環階段對商業銀行股票報酬率的利率敏感度進行研究。 實證結果主要有以下幾點發現：首先，依據部分調整模型的實證分析，將商業銀行樣本區分為資產負債結構為借長貸短與借短貸長等兩類銀行組。其次，兩類銀行組的股票超額報酬的統計分配呈現厚尾與高狹峰的現象，此外，本研究使用GARCH-M模型配遍。就本研究提出的假說而言，第一、股票報酬波動會隨時間而變動，即條件變異數並非固定不變的常數，第二、不論銀行組的資產負債結構為何，其股票報酬波動皆顯著影響銀行股票超額報酬。第三與第四、存在利率效果，利率變數及其波動為決定股票超額報酬產生過程的顯著因素之一，第五、實證結果顯示股票報酬波動及超額報酬本身對景氣循環階段具備敏感度。

The major issue addressed in this paper is the effects of changes in the level and volatility of interest rate on bank stock excess returns. We extend a recent study by Elyasiani and Mansur (1998), which employed the GARCH-M model to investigate this issue, in the following ways. First, we discuss the effects of levels and volatility of interest rate on bank stock returns at the same time. Second, we employ a GARCH-M methodology to develop our empirical model in which allows for volatility of stock returns to vary over time, relates the risk premium to the volatility, and considers the effects of business cycles. Third, we discuss whether the effects of interest rate and its volatility on stock returns differ under alternative asset-liability structures of selected banks. The empirical findings are as follows: First, return volatility varies over time and is a significant factor in determining bank portfolios' excess returns. Second, our empirical finding suggests that the interest rate effects exist, which means that interest rate affects bank stock return generating process. In addition, interest rate volatility is one of the important factors in determining return volatility and risk premium. Finally, we find that business cycles are positively related to bank stock excess return volatility. As a result, the asset-liability structures of banks play some role in discussing this issue, which deserves further investigation.