總體經濟變數對股價的非線性影響

The Non-linear Influences of Macroeconomic Variables on Stock Prices

李權威(Chun-Wei Lee)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200798

摘要

自2008年全球金融風暴起，各國政府紛紛採行寬鬆的貨幣政策以穩定金融情勢，而股市受到此資金的注入，短期上雖趨於穩定，長期上則因資金浮濫，造成各國面臨物價上漲，甚且通貨膨脹的隱憂。過去在研究總體經濟變數對股價的關係時，多以匯率、利率及貨幣供給等變數進行評估，且多以線性模型估計其效果。
本研究以台灣加權股價指數、金融保險加權股價指數，以及電子類加權股價指數的月資料為對象，探討利率、實質匯率及物價對其之影響效果。實證上使用McMillan (2001)所提出的外生平滑轉換自我迴歸模型(smooth transition autoregressive model in exogenous, STARX) 進行估計，並以物價為轉換變數，探討總體經濟變數是否與對股價造成非線性的影響。
實證結果可獲得下列的結論：(1)大盤股價指數在整體樣本期間適用於以LSTARX 模型進行估計；金融風暴前適用於ESTARX模型；金融風暴後則適用於LSTARX模型，且金融風暴後調整速度的比金融風暴前為迅速，造成整體樣本期間大盤股價指數的STARX模型結果顯示其門檻值為不顯著的；惟當分割所有樣本期間時，不同期間適用不同的非線性模型，故樣本期間的選擇是影響估計結果的重要因素。(2) 金融保險股價指數和電子類股價指數適用於LSTARX，當金融風暴發生後，政府實行貨幣政策，會優先投入資金至金融類股以穩定金融市場，故金融保險指數模型中轉換變數的轉換速度大於電子類指數的轉換速度。(3)通貨膨脹的高低對整體股價有相對的影響，高通貨膨脹率下，利率與匯率對股價的影響較大，反之亦然。

關鍵字

外生平滑轉換自我迴歸 ； 非線性調整 ； 通貨膨脹 ； 轉換變數

並列摘要

Since the financial turmoil in 2008, most governments all over the world have adopted an expansionary monetary policy to stabilize the financial situation. With the injection of funds derived from the expansionary monetary policy, the stock markets have gradually returned to stable path in the short-term; however, most countries may still face the situation of a higher price level and inflation. Previous studies on the effects of macroeconomic variables on stock return frequently used the variables such as interest rates, real exchange rates, and inflation rates, and employed linear models.
This research uses the monthly data of the weighted shares index, financial insurance weighted shares index, and electronic weighted shares index, in Taiwan as sample objects. We use interest rates and real exchange rates as independent variables, and the inflation rates as the transition variable in the smooth transition autoregressive model in exogenous (STARX) adopted by McMillan (2001) to estimate the nonlinear effects of macroeconomic variables.
The empirical results can be summarized as follows: (1) the weighted shares index over the entire sample period is properly estimated by employing the LSTARX model. However, during the period of pre- (post-) financial storm, the optimal estimation model is the LSTARX (ESTARX) model. In addition, the transition speed of transition variable in the period of post-financial storm is faster than the period of pre-financial storm. Thus, the selected sample period apparently influences the estimation methods adopted to assess the relationship between macroeconomic variables and stock return; (2) the optimal estimation model for the finance and insurance stock index and electronic share price index is the LSTARX model. Besides, after the financial turmoil, government in Taiwan first employs expansionary monetary policy to buy the financial stock shares for stabilizing financial markets; therefore, the transition speed of finance and insurance index is faster than electronic weighted shares index; (3) high and low inflation rates have different impacts on the effects of macroeconomic variables on stock returns. High inflation rate has larger impact on the fundamentals-stock nexus than low inflation rate.

並列關鍵字

Smooth Transition Autoregressive Model in Exogenous ； Transition Variable ； Non-linear Adjustment ； Inflation

參考文獻

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