台灣股票市場的長期績效

本文透過證交所發行的刊物與報紙，收集過去上市公司除息相關資料，從1967年1月開始對原股價指數進行現金股利再投資的調整。實證結果發現2009年12月之股價指數由8,188.11點調整為31,790.34點，兩者相差3.88倍，幾何平均年報酬率由10.99%提高為14.55%，標準差則比原先的44.99%增加1.52個百分點。若再將調整現金股利後的股價指數納入通貨膨脹的影響，結果顯示實質的平均年報酬率為10.68%，標準差是44.34%；其次，雖然大盤在過去43年期間累積有約343倍的報酬率，然實際上報酬率的累積僅發生在短短的110天內，占所有交易日不到1%，顯然短線的進出買賣想累積出高報酬率非常困難，唯有將資金長期停留在股市當中，才有可能享受到大盤大幅上漲的好處。上述實證結果將使台灣股票市場的長期績效表現首次獲得釐清，有助於學術界與實務界對新興股票市場更深一層地瞭解，同時亦是投資人在從事資產配置時重要的參考依據。

關鍵字

股市；長期績效；現金股利再投資；報酬率

並列摘要

In this article, we adjust the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) by allowing for the effect of cash dividend reinvestment. Our sample period is from January 4,1967, through December 31,2009. The weighted outcome shows the TAIEX was 8,188.11 points at the end of 2009 while the adjusted index level is 31,790.34 points, 3.88 times the original. We show that the adjusted annual geometric rate of return is 14.55 percent, 3.56 percent greater than the TAIEX. In nominal terms, our evidence reveals that the Taiwan stock market averages a geometric return rate of 14.55 percent with a standard deviation of 44.99 percent. In real terms, the annual geometric rate of return was 10.68 percent with a standard deviation of 44.34 percent. The cumulative return rate of 34,275 percent can be attributed to only 110 out of 12,022 trading days. Therefore, we present the first evidence on long-term performance of the Taiwan stock market. Our results help investors understand emerging stock markets and decide on asset allocation.