以GARCH模型探討人口結構與股票報酬關係

The Relationship between Demographic Structure and Long-Run Stock Market Returns on Garch model

陳奕安(Yi-An Chen)

指導教授 ： 繆震宇

淡江大學/商管學院/風險管理與保險學系保險經營碩士班/碩士(2020年)

https://doi.org/10.6846/TKU.2020.00293

摘要

隨著醫療技術的進步、衛生環境的改善等因素，人口結構正處於一個低出生率、低死亡率和高齡化的階段，進而對資本市場造成影響。目前已有不少研究探討人口結構與資本市場報酬率之間的關係。
本研究以七大工業國(G7)及台灣為研究對象，並透過GARCH模型探討人口結構與股票累積報酬率之間的關係。本研究發現中壯年人口比例和老年人口比例越高則越不利股票累積報酬率發展。而青壯年人口變動和中壯年人口變動對股票累積報酬率有正面影響，老年人口數則反之。並且預期老年人口對股票累積報酬率的影響力會隨著年份而日益加重，叢聚效應也越來越明顯。

關鍵字

人口結構 ； 資本市場 ； 死亡率風險 ； GARCH

並列摘要

With the development of the medical technologies and sanitary environment, the demographic structure is being in the stage characterized by its low birh and mortality rate and the aging population.Consequently,there is such a huge impact on capital market.Nowadays there are lots of researchs on the relationship between the demography structure and capital market.
In the paper, studying on the relationship between the dempgrapic structure and dividend yield of G7 and Taiwan is through GRACH model. The results of study show that the proportion of middle-aged and the elderly population has a negative impact on dividend yield. The change of young and middle-aged population is as well. However, the impact of elderly population is just opposite. Therefore, it is expected that the impact of elderly and clustering will be more and more powerful in the future.

並列關鍵字

Demographic ； Stock returns ； Longevity risks,GARCH

參考文獻

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