總體變數與統一企業月營收、股價之關聯性探討

An Empirical Study of the Relationship among Macrovariables, Monthly Sales, and the Stock Price: Case of Uni-President Company

張道祥(Dao-Xiang Zhang)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.10577

摘要

統一月營收與股價和總體經濟存在密不可分的關係，因此本文針對商品期貨(CRB)指數、M1b餘額以及統一企業月營收與股價報酬為研究對象，探討期間的因果關係及互動過程。研究架構上，先對CRB指數、M1b餘額以及統一企業月營收與股價報酬進行向量自我迴歸(VAR)模型分析用以檢視其間的互動關係，再將總體變數與CRB指數、M1b餘額進行自我迴歸落後分配模型(autoregression distributed lag model, ADLM)進行迴歸分析。本研究利用單根檢定、向量自我迴歸模型、ADL模型等計量方法建立實證模型。
實證結果所獲得的重要結論如下：
1. 總體變數對統一月營收的影響
(1) 由於農產品生產存在季節因素，故對製造業月營收也會受季節性因素影響。實證結果顯示，除自身落後項外，其他解釋變數在落後第一、二期對當期月營收皆無解釋能力。
(2) 貨幣政策實施不會有即時效果，甚至一開始會有反向效果，大約過了兩季時間才會有顯著影響。
(3) 落後六期與八期對統一月營收分別發揮正向與負向的影響，原因是CRB指數為期貨價格，故可解釋其落後期數較長的落後項方有解釋月營收的效果。
(4) 股價是預測景氣的領先指標，在解釋月營收變化無需太長的落後期數，無論直覺上或實證上，月營收變化的確與股價存在正向關係。
2. 總體變數對統一股價的影響
(1) 股價與民眾預期存在正向關係，央行實施貨幣政策造成的效果並未即時反應，但民眾有預期心理，又股價為領先指標，故貨幣政策自然與股價存在正向相關。
(2) 石油價格與會影響CRB指數變動，可代表經濟景氣訊號。由於CRB指數是期貨價格，其影響並非即時影響，是以該指數影響股價並非即時影響。
(3) 投資人操作股票通常會參考該股過去資訊與走勢，故以股票自身落後項來解釋當期股票變動是最適合的解釋因子，但也代表統一企業股票不符合效率市場臆說。
(4) 本文探討月營收並未考慮成本因素，亦即並未探討該企業獲利能力，是以對該公司股價並無解釋力，亦即營收公告並未具有資訊內涵。

關鍵字

月營收 ； 股價報酬 ； CRB指數 ； 單根檢定 ； VAR模型

並列摘要

There is a close correlation among macrovariables, monthly sales, and stock price. We take the case of Uni-President Co. to investigate causal relationship and interaction among monthly sales, stock price, the balance of M1b, and the CRB index. Initially, we examine those variables which have significant causality in the VAR model. Ultimately, we establish an autoregression distributed lag (ADL) model which is based on the variables have significant values in VAR model. In this study, the empirical model is derived from the quantitative methods such as Unit Roots Test, Vector Autoregression model, the Chow Test, and Autoregression Distributed Lag model.
The following conclusions can be drawn from the empirical data:
1. The influence of macrovariables on the monthly sales of Uni-President Company
1) The monthly sales of manufacturing industry can be influenced by seasonality because agricultural products are affected by seasonality. From the empirical study results, all variables cannot explain the current period monthly sales except its lag terms.
2) There is no instantaneous effect on monetary policy. Moreover, it might have negative effect. Monetary policies might affect the direction of monthly sales after about two quarters.
3) CRB index is the price of futures, which can explain monthly sales with longer lag terms. From the empirical study results, CRB index has positive and negative effect on the 6th and 8th period afterward.
4) Whether in intuition or in the empirical study results, there is a positive relationship between stock prices and monthly sales because stock price is a leading indicator.
2. The influence of macrovariables on the stock price of Uni-President Company
1) Monetary policy significantly and positively affects the stock price because people can anticipate the central bank’s execution of monetary policies. As the stock price is a leading indicator, there is a positive relationship between monetary policy and stock price.
2) Oil price and CRB index fluctuate towards the same direction. Oil price always can be utilized to measure the business cycle in the economy. CRB index fluctuate along with oil price. Oil price could be substituted by CRB index to measure the business cycle in the economy. CRB index, which cannot immediately affect the stock price, monitors the price of futures.
3) Investors usually refer to past trend information to decide which stocks he or she will choose. Stock price’s lag term is the most effective factor to explain the changing stock prices. However, the example of Uni-President Co.’s stock does not support the hypothesis of efficiency market.
4) Cost factor is not taken into consideration in the calculation of monthly sales, which means that it doesn’t investigate the company’s profit capacity. Therefore, cost factor cannot explain the company’s stock prices. Hence, monthly sales announcement does not constitute as useful information to explain stock price.

並列關鍵字

Monthly Sales ； Stock Price ； CRB index ； Unit Root Test ； VAR

參考文獻

1. Amihud, Y., Mendelson, H. and Lauterbach, B., 1997, Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics, Vol. 45, No. 3, pp. 365-390.

2. Ball, R., and E. Bartov（1996）,“How native is the stock market’s use of earnings information”, Journal of Accounting and Economics, 319-337.

3. Beaver, W., R. Lambert, and D. Morse（1980）,“The information content of security prices”, Journal of Accounting and Economics 2, 3-28.

5. Campbell, J. and N. Mankiw (1990). “Permanent Income, Current Income, and Consumption,”Journal of Business and economic Statistics 8, pp. 265-279.

6. Dickey, D.A., and W.A. Fuller (1979),“ Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.