利率政策，股票市場報酬與波動性

Interest Rate Policy, Stock Market Return and Volatility

簡鈺婷(Yu-Ting Chien)

指導教授 ： 郭文忠 教授 ； 辛敬文 教授

元智大學/管理學院/財務金融學系/碩士(2004年)

摘要

此篇論文的主要目的是在檢試利率政策的改變對股票市場報酬與波動性的影響，在此的利率政策變動包括貼現率與聯邦基金目標利率的變動。相對於先前的文獻是以投資人預期利率變動的日期當事件日，此篇論文改採利率真正改變的日期為事件日來測試市場的反應。結果顯示投資人在波動性的反應比報酬的反應來的顯著，且市場反應對於在非例行性會議發生的改變是比例行性會議的改變來的劇烈的；此外，結果顯示貼現率的改變可用來預測聯邦基金利率的改變，然而利率調升與調降的效果卻是不對稱的；最後，也發現期貨市場並完全無法反應投資人對利率變動的預期，不管是在報酬或波動性上，因此可推測在期貨市場中存在著一些未預測到的變數。

關鍵字

利率 ； 市場報酬 ； 波動性

並列摘要

The purpose of this paper is to examine the market return and volatility response to the monetary police changes including the discount rate changes and the federal funds rate target changes and using the change actually occurred dates be a event date. The result indicates that the reaction of volatility is more violent than the reaction of return and the reaction in irregular meeting is more extensive than the regular. The discount rate may be a predictor to the federal fund rate target change and the effect of rate increase and rate decrease is asymmetric. Finally, it can be found that the future markets did not fully react the expectation of rate change, there are other factors influence the market return and volatility.

並列關鍵字

Interest Rate ； Stock Market Return ； Volatility

參考文獻

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