人民幣匯率變動對台灣、香港股票報酬關聯性研究

對於投資人而言，影響股價變動的因素雖有很多，但匯率在每一個國家的經濟發展中，都扮演著不可或缺的角色。由於中國大陸是台灣與香港極重要的貿易夥伴，且相互間之經濟關係益常密切，因此人民幣匯率的變動對台、港的股票報酬率之影響至為重要。本研究主要探討人民幣匯率之變動對台灣與香港股票報酬率之影響，並進一步探討人民幣匯率變動對台灣八種類股之影響，以及探討金融海嘯前後及近期，人民幣匯率變動對台灣和香港股票市場的影響。本研究採用人民幣實質有效匯率指數的月資料以代表人民幣匯率，研究期間自2005年7月至2016年12月，本研究結論彙總如下： 1.在全體樣本期間，人民幣實質有效匯率指數對台灣、香港的股票報酬呈現顯著負向影響，即當人民幣實質有效匯率上升時，台灣與香港之股票報酬率會下降。 2.在探討人民幣匯率之變動對台灣八種類股之影響方面，本研究發現，人民幣實質有效匯率指數對台灣水泥工業類指數、食品工業指數、塑膠工業類指數、紡織纖維類指數、電機機械類指數、造紙工業類指數、建材營造類指數以及金融保險類指數等八大類皆呈現顯著負向影響。 3.本研究在探討金融海嘯前、後及近期的人民幣匯率變動對台灣和香港股票市場的影響時，發現台灣與香港地區呈現相同結果，即在金融海嘯前，人民幣實質有效匯率指數對台、港之股票報酬率並沒有顯著影響，但在金融海嘯之後，人民幣實質有效匯率指數對台、港股票報酬率卻呈顯著負向影響，但在近期，即2013年2月至2016年12月，人民幣實質有效匯率指數對台、港之股票報酬並無顯著影響。

關鍵字

人民幣；金融海嘯；股票報酬率；匯率；實質有效匯率指數

並列摘要

There are various factors affecting stock price changes. Of which, exchange rate in the national economic development for each country plays a very important role. Particularly, China is an important trading partner for both Taiwan and Hong Kong, and the close economic relations between Taiwan and China as well as Hong Kong and China make the change in Reminbi exchange rate have great impacts on Taiwan and Hong Kong’s stock remuneration. This study examines the impact of the change in Reminbi on the rates of return on stocks in Taiwan and Hong Kong. Furthermore, we examine the impact of the change in Reminbi on the rates of return on stocks in Taiwan’s eight-stock sectors. This investigation also examines the impact of the change in Reminbi on the rates of return on stocks in Taiwan and Hong Kong before and after the financial tsunami, and for the recent four-year period. This study uses China’s real effective exchange rate index to represent the Reminbi exchange rate. The study period runs from July, 2005 to December, 2016 and we employ the monthly data. The conclusions are summarized below. 1.During the whole sample period, the China’s real effective exchange rate index has significant negative impact on Taiwan and Hong Kong’s rates of return on stocks. This fact suggests that, when the China’s real effective exchange rate index rises, Taiwan and Hong Kong’s rates of return on stocks decline. 2.To examine the impact of Taiwan’s eight-stock sectors, it is found that the China’s real effective exchange rate index has significant negative impact on the cement industry index, the food industry index, the plastic industry index, the textile fiber index, the electrical machinery index, the paper industry index, the building materials construction index, and the financial and insurance index. 3.To examine the impact of the change in Reminbi on the rates of return on stocks in Taiwan and Hong Kong before and after the financial tsunami and for the recent four-year period, we found that the results in Taiwan and Hong Kong are the same. Empirical findings also indicate that the China’s real effective exchange rate index before the financial tsunami has no significant impact on rates of return on stocks in Taiwan and Hong Kong. However, the China’s real effective exchange rate index has a significant negative impact on rates of return on stocks in Taiwan and Hong Kong after the financial tsunami. Additionally, we found that China’s real effective exchange rate index has no significant impact on rates of return on stocks for the recent four-year period.

並列關鍵字

Exchange Rate ； financial tsunami ； real effective exchange rate index ； Reminbi ； stock returns.

參考文獻

Adler, Michael, and Bernard Dumas. (1984), "Exposure to Currency Risk: Definition

and Measurement", Financial Management, 1984, 13, pp. 41-50.

Agrawal, G., Srivastav, A. K., & Srivastava, A. (2010), "A Study of Exchange Rates

Movement and Stock Market Volatility", International Journal of Business and

Aydemir, O., & Demirhan, E. (2009), "The Relationship between Stock Prices and

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人民幣匯率變動對台灣、香港股票報酬關聯性研究

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