股價現値模型長短期非線性行爲的探討：跨國的實証研究

Nonlinear Property in Stock Price-Dividend Relation: International Evidence

陳仕偉(Shyh-Wei Chen) ； 沈中華(Chung-Hua Shen) ； 盧碧伶(Bi-Ling Lu)

《中國統計學報》 46卷1期 (2008/03) Pp. 61-80

https://doi.org/10.29973/JCSA.200803.0005

摘要

文本探討股價現値模型長短期非線性行爲的特色。我們以美國，德國，日本及英國的股票及股利資料爲研究對象，採用文獻上最近所提出的非線性共整合檢定及非線性因果關係檢定進行實證研究。實證結果顯示，德國股價與股利之間具有線性共整合關係，而美國，英國和日本等三國的股價並未與股利存在線性共整合之長期均衡關係，但是卻存在非線性共整合之長期均衡關係，間接否決了傳統財務理論上所提出的股價現値模型的理論，突顯傳統線性模型往往無法補捉到非線性共整合的特性。因果關係檢定結果則顯示，美國及德國的股利與股價存在線性及非線性雙向的因果關係，英國的實證結果則顯示股利對股價存在線性及非線性的單向因果關係：日本的實證結果則顯示股利與股價之間不存在任何線性及非線性因果關係。

關鍵字

股價現値模型 ； 非線性 ； 因果關係 ； 長期均衡關係

並列摘要

This paper empirically investigates whether the nonlinear present value theory of stock price and dividend is able to explain the failure of its linear counterpart. We adopt two new econometric methods, i.e., nonlinear cointegration test and nonlinear causality test to examine the contemporaneous and causal relations between stock price and dividend. When we employ the nonlinear cointegration test, the nonlinear present value model is found to be suitable for the U.S., the UK, Germany and for Japan. When we employ causality test, evidence of both linear and nonlinear causality from dividend to stock price is found for the U.S. and Germany. There is unidirectional linear and nonlinear causality from stock dividend to stock price for the UK. However, neither linear nor nonlinear causality is found for Japan.

並列關鍵字

nonlinear cointegration ； nonlinear Granger causality ； present value model

參考文獻

working paper, Iowa State University of Wisconsin Madison

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