股票市場超額報酬與短期利率

Excess Stock Returns and Short-Term Interest Rates

陳思寬(Shi-Kuan Chen) ； 張銘仁(Ming-Jen Chang) ； 許碧純(Pi-Chun Hsu)

《證券市場發展季刊》 25卷1期 (2013/03) Pp. 159-187

https://doi.org/10.6529/RSFM.2013.25(1).5

摘要

本文以實證方法分析台灣的股票市場超額報酬與短期利率之相關性。我們採用非對稱的一般自我迴歸條件異質變異模型，並配合馬可夫轉換的一般化假設，以觀察貨幣市場利率或投資人預期短期利率改變時，投資人所呈現的風險趨避特性是否有顯著不同？我們發現，當貨幣市場利率相對處於低水準時，投資人的風險趨避性將減少，甚至可能反轉成為風險愛好者；而投資人預期利率向下調整時，亦有類似的效果。我們的研究結果支持Campbell and Ammer(1993)的主張：關於未來利率的訊息會影響投資人的預期，且將反映在股票市場當期報酬及其波動性上。除此之外，利率與預期利率變動所對應的股票市場報酬波動性，其所呈現的波動回饋效果具有應時變動的特性。而我們的實證結論也顯示，短期貨幣市場低利率的環境與預期，將引導投資人著眼於較低的資金成本，因而有助於投資人提高其承擔證券資產風險的意願。

關鍵字

馬可夫轉換模型 ； 風險趨避性 ； 短期利率

並列摘要

The purpose of this study is to empirically examine the relationship between the excess stock returns and the short -term interest rates in Taiwan. Using the conventional asymmetric generalized autoregressive conditional hetero-skedasticity in mean model and adopting the general Markov switching assumption, we investigate the investors' behavior specifically when they face the changes in market interest rates and adjust their expectations for short-term interest rates. The results indicate that the extent of investors' risk aversion will fall when the short -term interest rate is kept in low level. Moreover, this effect of decreasing aversion is also supported by the adjustment of investors' expectation for low interest rates in the near future. These findings support the argument of Campbell and Ammer (1993) that the information for future interest rates will result in the changes of returns as well as volatilities of stock markets. Furthermore, keeping lower short-term interest rates at present or in the near future might induce lower financial cost and lead investors to take more risks in the stock market.

並列關鍵字

Markov Switching ； Risk Aversion ； Short-term Interest Rates

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