金融資產證券化與資本市場之關聯性 ──以台灣市場為例

The Relationships between Financial Asset Securitization and Capital-Market -- A Perspective of Taiwan Market

吳光長(Kang-Chang Wu)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2004年)

https://doi.org/10.6840/cycu200400598

摘要

論文摘要
　　政府將2001年訂為「金融改革年」，決定開始推動金融資產證券化制度，並於2002年7月完成立法，而國內各界對資產證券化相關議題廣泛討論，多數著重在國內外制度之探討、法令及稅法問題之探討、及對商品評價方法等，但較少對於證券投資與市場關係做論述，並提供投資人參考。本論文以研究金融資產證券化為主，針對台灣資本市場之關聯性作探討，以期對國內甫興起之證券化市場，嘗試提供投資人芻建。
本研究結果發現，政府公債、公司債及股價指數三者彼此間能分散投資風險，而受益證券的發行量與經濟成長率呈顯著負向變動關係；基本放款利率的變動會受到前一期基本放款利率之影響，因此投資人在作投資決策時，應將前期變動之影響加以考量；本研究亦發現受益證券之發行量對發行利率及GDP成長率均有顯著的領先關係，且M2成長率為受益證券發行量的領先指標。且發現有受益證券發行量領先發行利率、發行利率領先M2成長率、M2成長率領先受益證券發行量之三角關係。基本放款利率與股價指數間，能分散大部份風險。

關鍵字

金融資產證券化 ； M2成長率 ； 受益證券 ； 因果關係

並列摘要

Abstract
Taiwanese Government and initialized Financial Asset Securitization in the year of 2001 named the year 2001 as “The Financial Innovation Year”, and had been enacted in year 2002. Although there has been many articles discussed the issue on Financial Asset Securitization, yet most of them focused on the foreign and domestic tax law and regulations, or concentrated on the valuation of the commodity, little discussed the relationship between security investment and capital markets. This study mainly examines the relationship between financial asset securitization and Taiwanese Capital Market and attempts to provide suggestions for investors in the emerging securitization market.
The empirical results of this work are summarized as follows.
1.The investigation showed there is a diversification effect among the risks of the government bond, that of the company bond, and that of the stock price index, can be diversified, which suggests that the issuing amount of the beneficial security is negatively related to the growth rate of GDP.
2.As the change in the prime rate of loan would be significantly affected by previous period’s prime rate of loan, the investors should consider the change in the prime rate when making their investment decisions.
3.The empirical results show that the issuing amount of the beneficial security is the leading indicator of the coupon rate, while the coupon rate is the leading indicator of the growth rate of GDP, and the growth rate of Money Supply（M2）is the leading indicator of the issuing amount of the beneficial security. Therefore, this investigation concludes that there is a triangular relationship among the issuing amount of the beneficial security, the coupon rate and the growth rate of Money Supply（M2）.
4.There is a diversification effect between the prime rate of loan and stock price index.

並列關鍵字

Financial Asset Securitization ； M2 ； Causal Relations

參考文獻

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