本文構建瑪律科夫兩區制轉移模型估計臺灣14家金融控股公司股票收益率和風險的動態行為。實證結果表明，臺灣14家金融控股公司的股票收益率和風險均發生區制轉移；其中12家金融控股公司的股票收益率和風險在較長的時間和較大的概率處於股票收益率無顯著差異和風險顯著較低的區制二；對臺灣14家金融控股公司的股票收益率和風險在金融危機期間的估計結果也得到了相似的結論。臺灣金融業混業經營的綜合表現出色，為大陸金融業開展混業經營的未來預期提供了前瞻性的借鑒。

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 of 12 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; our research finds that during the financial crisis, the stock return and risk of all 14 financial holding companies also reached a similar conclusions. The financial performance of Taiwanese financial companies using mixed operation management, gives mainland China a prospective view regarding mixed operations in finance.