美國量化寬鬆政策對不動產貸款公司之市場效率性影響

自2007年次貸風暴及雷曼兄弟倒閉後，全球經濟成長趨緩，不動產房貸產業陷入嚴重的流動性危機。美國聯準會推行了一系列的量化寬鬆政策，以刺激疲弱不振的經濟狀況。本篇論文主要探討其中三次量化寬鬆政策: 第一輪量化寬鬆政策(QE1)、第二輪量化寬鬆政策(QE2)及扭轉操作(OT)對不動產房貸公司市場效率性的影響。首先，我們以多元線性回歸模型檢驗同期及前期買賣單不平衡對股票報酬率的解釋力。實證結果顯示，在不考量當期的買賣單不平衡時，前一期的買賣單不平衡對報酬率的解釋力並不如顯著。在考慮當期後，我們也沒辦法得到類似於Chordia和Subrahmanyam(2004)的研究結果:前一期買賣單不平衡對報酬有負向影響、當期買賣單不平衡對報酬有正向影響。另外，透過GARCH (1,1) 模型，我們發現同期買賣單不平衡與報酬率間有顯著地正向關係。然而，由GARCH (1,1) 模型解釋股價波動性與買賣單不平衡之間的結果，我們卻無法推得買賣單不平衡對報酬率波動度有顯著的解釋能力。除此之外，藉由計算Chordia, Huh和Subrahmanya(2007)提到的流動性指標，我們發現宣布QE1和QE2後，市場流動性有增加；但是對於OT，市場流動性就沒有明確的變化方向。最後，我們以買賣單不平衡為買賣指標，建立日內的交易策略。施行此交易策略，我們雖能得到正的報酬，但卻無法打敗「買進並持有」的市場交易策略，間接推得市場具有效率性。

關鍵字

量化寬鬆政策；扭轉操作；市場效率性；線性回歸模型； GARCH ；買賣單不平衡；流動性

並列摘要

The global economy slowdowns when the outbreak of subprime mortgage crisis and the bankruptcy of Lehman Brothers. The market liquidity of mortgage industry almost burns out. In order to boost the sluggish economy, the Federal Reserve conducts a series of expansionary monetary policies. The main purpose of our paper is to investigate mortgage finance companies market efficiency during three Quantitative Easing Policies, namely QE1, QE2 and OT. To begin with, we use a multi-regression model to examine the relation between returns and contemporaneous as well as lagged order imbalances. Inconsistent with the result of Chordia and Subrahmanyam (2004), our result point out that both contemporaneous and lagged order imbalances only have limited prediction power on returns. Besides, by adopting GARCH(1,1) model, we find that contemporaneous order imbalances have significant influence on current stock returns while have almost no effect on stock volatility. Through the liquidity measurement described by Chordia, Huh, and Subrahmanya (2007), we find that the market liquidity increase after QE1 and QE2 announcement but have no certain pattern in OT. Finally, through the result of our intraday trading strategy based on the sign of large order imbalances, we find our trading strategy have positive average return. However, our return cannot surpass the return of buy-and-hold market strategy, suggesting that market indeed is efficient.

並列關鍵字

Quantitative Easing Policy ； QE1 ； QE2 ； Operation Twist ； market efficiency ； OLS ； GARCH ； order imbalance ； liquidity

參考文獻

22.Lin, T. Y., 2010, Commercial Bank Market Efficiency in Financial Crisis, Graduate Institute of Finance, National Taiwan University

28.Yang, M. Y., 2008, Convergence to Market Efficiency of NASDAQ Hedging Stock, Graduate Institute of Finance, National Taiwan University

1.Acharya, V., and Pedersen , L., 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 385-410.

2.Admati, A. and Pfleiderer, P., 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.

3.Amihud, Y., and Mendelson, H., 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.

國際替代計量

美國量化寬鬆政策對不動產貸款公司之市場效率性影響

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