台灣負債證券殖利率對於台股類股股價報酬的影響

The Yield Curve of Taiwanese Debt Securities on the Industry Stock Returns

胡澤揚(Ze-Yang Hu) ； 張正一(Sean A. Chang) ； 張家瑋(Chia-Wei Chang) ； 張銘仁(Ming-Jen Chang)

《證券市場發展季刊》 33卷3期 (2021/09) Pp. 43-82

https://doi.org/10.6529/RSFM.202109_33(3).0002

摘要

本文以三種利率期限結構模型，萃取出殖利率曲線之截距、斜率及曲度等特徵參數，觀察我國公司債指標殖利率，其隱含資訊對台股各產業類股股價報酬的影響，並對模型估計顯著之類股進行股價報酬的預測。建構殖利率曲線所使用之利率工具，包括商業本票利率、台北金融業拆款定盤利率等貨幣市場利率，以及利率交換、次級市場公司債交易等資本市場利率。整體而言，觀察三種模型所估計出之殖利率曲線截距特徵參數，在集中交易市場及櫃買中心，幾乎所有類股之股價報酬皆與其呈現負相關；若觀察殖利率曲線之斜率特徵參數，則預期未來殖利率水準與各產業類股股價報酬多數呈現明顯地反向關聯。最後，以檢定誤差統計量衡量殖利率曲線模型的預測結果，在三種殖利率曲線模型中預測效果最佳為Nelson-Siegel模型。此外，在集中交易市場中股價報酬預測效果最好的為「金融保險」類股；「半導體」產業則為櫃買中心預測最佳之類股。

關鍵字

殖利率曲線 ； 利率期限結構 ； 類股股價報酬

並列摘要

The study adopts three alternative models (Nelson-Siegel, Svensson, and Diebold-Li) for the term structure of interest rates to obtain the characteristics of the yield curves by the Level (L_t), the Slope (S_t) and the Curvature (C_t). The contained information in the yield curves is applied to analyze and predict the industry stock returns in the Taiwanese stock markets. Two stock exchange markets are investigated in the study: that's, the Taiwan Stock Exchange (TSE) and the Taipei Exchange (TPEx). The short-term and long-term interest rates, commercial paper rates, TAIBOR, interest swap and corporate bond rates, are used to construct the theoretical yield curves. In general, the L_t of the yield curves intuitively have negative effects on all industry stock returns for TSE and TPEx. Furthermore, the S_t of those mostly results in negative effects on stock returns. Finally, the predictability of the Nelson-Siegel model outperforms the other two models. Of interest, the Finance and Insurance Industry in the TSE performs better predictability of the stock returns, but the predictability for the Semiconductor Industry in the TPEx is good one.

並列關鍵字

Industry stock returns ； term structure of interest rates ； yield curves

參考文獻

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