景氣指標對股票報酬影響之研究－縱橫平滑移轉迴歸模型之應用

A Study of the Effect of the Business Indicators on Stock Returns-Approach by Panel Smooth Transition Regression Model

蘇孟睿(Meng-Jui Su)

指導教授 ： 聶建中

共同指導教授 ： 陳達新

淡江大學/商學院/財務金融學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00289

摘要

股票市場是經濟發展的重要指標，一國經濟體質的好壞，對於股票市場會造成相當程度的影響，本研究利用 Gonza'les, Teräsvirta and van Dijk (2004, 2005)發展的縱橫平滑移轉迴歸模型（Panel Smooth Transition Regression Model, PSTR），以景氣指標做為模型中的轉換變數，觀察景氣指標對股價報酬是否存在平滑移轉效果，並進一步分析景氣指標對股價報酬之平滑移轉效果下，營收、負債比、公司規模與股票成交量對股價報酬之影響變化。研究發現若希望將股價報酬提高，則當景氣領先指標超過89.21時，應提升營收、減少負債比、縮減公司規模與提高股市成交量，低於89.21時，應擴大公司規模與提升股市成交量；當景氣同時指標超過104.1時，應減少公司負債比、縮減公司規模提升股市成交量，低於104.1時，應擴大公司規模；當景氣落後指標超過104.8時，應減少負債比、擴大公司規模與提升股市成交量，低於104.8時，應縮減公司規模與提高股市成交量；當景氣對策信號小於17.64時，應減少公司負債、擴大公司規模與提高股市成交量，大於17.64時，應增加公司營收、增加公司負債比、縮減公司規模與提升股市成交量。本研究另將產業分類，針對各產業研究景氣指標對各產業股價報酬之影響。期望本研究能提供公司經理人調整經營決策，提高經營績效，並提供投資大眾不同的投資依據，提升投資報酬。

關鍵字

景氣指標 ； 股票報酬 ； 縱橫平滑移轉迴歸模型

並列摘要

This study is to investigate the panel smooth transition effect associated with Business Indicators and stock return on the empirical data of listed company in Taiwan Stock Exchange. Utilizing the panel smooth transition regression model developed by Gonza'les, Teräsvirta and van Dijk（2004, 2005）test whether Business Indicators can cause the panel smooth transition effect on stock return.
The results show that there is a significant positive effect of size and turnover on stock return during the lowest region where Composite Leading Index is less than 89.21. The positive effect of earning and turnover and significant negative effect of debit and size on stock return when Composite Leading Index is larger than 89.21. The positive effect of size on stock return during the lowest region where Composite Coincident Index is less than 104.1. The positive effect of turnover and negative effect of debit and size on stock return when Composite Leading Index is larger than 104.1. The positive effect of turnover and negative effect of size on stock return during the lowest region where Composite Lagging Index is less than 104.8. The positive effect of size and turnover and negative effect of debit on stock return when Composite Lagging Index is larger than 104.8. The positive effect of size and turnover and significant negative effect of debit on stock return during the lowest region where Monitoring Indicators is less than 17.64. The positive effect of earning, debit and turnover and negative effect of size on stock return when Monitoring Indicators is larger than 17.64.
Therefore, suggesting that we can reference more information about the Business Indicators and financial side, investors can refer to this conclusion to control their own investment portfolio and develop appropriate investment strategies.

並列關鍵字

Business Indicators ； Stock Returns ； Panel Smooth Transition Regression Model

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