物價膨脹對電機電器類股價報酬的依時變動與非線性效果

Time-varying and nonlinear impact of inflation on stock returns of electrical machines and equipments

劉德珍(Te-Chen Liu)

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(2017年)

https://doi.org/10.6840/cycu201700356

摘要

台灣屬於一個小型的開放經濟體系，國家的經濟成長主要來自於出口貿易的提升。電機電器類產品的銷售以出口為主，其出口占全體出口總額的 55%，位占第 1 位，顯示其對台灣出口與經濟成長的貢獻與重要性。本研究主要將 Markowitz (1952) 利用資本資產定價模型所提出的投資理論 (portfolio theory) ，重新建構為 González, Teräsvirta and van Dijk (2005) 所提出縱橫平滑轉換迴歸模型 (panel smooth transition regression model,PSTR)，再以通貨膨脹率 (CPI) 為轉換變數，評估股價報酬的非線性路徑，以及檢視隨著時間變動的利率、匯率與產業相關指數等變數對股票報酬之門檻效果。實證的樣本期間為 2004 年 9 月至 2016 年 4 月，研究對象為 17 家市價高於 10 元以上的上櫃電機機械公司。
一、實證結果包括：
1、電機機械股股價報酬呈非線性的路徑，決定於各期通貨膨脹率的變化。
2、當物價上漲超過門檻值時，利率和集中市場電機機械類股指數對股價報酬的影響為負向的。其因為投資者的實質所得大幅減少，為維持既定的消費水準，投資人拋售持股，導致股價下跌。
3、當物價上漲超過門檻值時，容易引發新台幣貶值的預期，有利於提升以出口為主的電機機械公司之出口與獲利，提升其股價報酬，造成匯率對電機機械公司的股價之負面影響逐漸縮小，甚至轉為正值。
4 、加權股價指數報酬對股價報酬的影響，當經濟處於高物價膨脹期間，造成實質所得(或財富)明顯地下降，導致電機機械公司股價與加權指數呈現同向的變動。
5、當物價上漲幅度超過門檻值時，上櫃電機類股指數對電機機械股價報酬的影響程度更高。

二、政策建議
對於投資者而言，利率上升不利於上櫃電機類股票的投資，尤其是經濟同時面臨高物價上漲的階段。其次，新台幣兌美元貶值且高物價上漲期間，投資上櫃電機類股票，可以獲得正的報酬；然而當新台幣貶值幅度且物價漲幅度較小時，不利於該類股票的投資。此外，投資者在低物價膨脹且加權股價指數面臨較大幅修正期間，投資組合中可加入上櫃電機類股票，以降低投資風險。
對於電機機械業者而言，低利率、低物價上漲與新台幣兌美元匯率大幅貶值期間，有利於電機類公司股價，故較適合電機類業者進行增資。
對於政府而言，當經濟處於高利率與高物價上漲期間時，對於電機機械公司的股價較為不利，應慎防公司股價下挫而造成其競爭力下降且籌資能力變弱，阻礙公司正常營運。此外，當經濟處於較高物價上漲時，採行貶值政策，將有利於提升電機機械產業公司的出口競爭力與經營績效，進而有利於股價上漲。然而在低物價上漲期間，貶值政策的效果較為有限。

關鍵字

縱橫平滑轉換迴歸模型、門檻效果、消費者物價指數、市場溢酬

並列摘要

Taiwan belongs to a small open economy; therefore, the economic growth mainly comes from the advance of exports. The sales of electrical and electronic products are mainly export-oriented and their exports account for 55% of total exports, revealing that they are the top one export industry and have important contributions to Taiwan's exports and economic growth. This study reconstructs the capital asset pricing model, proposed by Markowitz (1952), as the panel smooth transition regression model (PSTR), recently developed by González, Teräsvirta and van Dijk (2005) and uses the inflation rate (measured by CPI) as the transition variable to investigate the threshold effects of interest rates, exchange rates and industry-related indices on the stock returns. The empirical sample period spans from September 2004 to April 2016 and the sample objects are 17 OTC electrical machinery companies with market prices over ten NT dollars.

The empirical results include:
1.The stock returns of the electrical machinery display a non-linear path, depending on the change in each period’s inflation rate.
2.When CPI is above the threshold value, the impacts of interest rates and the return of the electrical machinery stock index on the stock returns of the electrical machinery are negative. The reason may be that investors’ real incomes significantly reduce as the CPI rises above the threshold, and to maintain the given level of consumption, investors should sell their shares, causing the stock prices to fall.
3.It is easily to form the expectation of NT dollar depreciation when the CPI rises above the threshold, which would be favorable to push the export, profits and share prices of the electrical machinery companies. Under this circumstance, the negative impacts of exchange rates on the stock returns of the electrical machinery companies will weaken, and even turn toward positive impacts.
4.In the high inflation periods, the decrease in real income causes the returns of the weighted stock price index have a positive influence on the stock returns of the electrical machinery.
5.The index of the electrical machinery in the OTC has a more significant effect on the sample stock prices as the inflation rate is over the threshold value.
The associated policy suggestions include:
1.For investors, the rise in interest rates has an unfavorable influence on the investment of the OTC electrical machinery stocks, especially during the periods of high inflation. In addition, the investment in the OTC electrical machinery stocks can generate positive returns during the periods of the devaluation of the New Taiwan dollar against the US dollar and high inflation. However, the result is opposite as investors face the economic environments of the New Taiwan dollar depreciation and low inflation. Moreover, in the periods of low inflation and substantial correction of the weighted stock price index, investors can add the OTC electrical machinery stocks into the investment portfolio to reduce investment risk.
2.Low interest rates, low inflation, and New Taiwan dollar depreciation are beneficial to push up the share prices of the electrical machinery companies. Thus, it is more suitable for the companies to raise funds under these circumstances.
3.The prices of the electrical machinery stocks fall down when the economy is in the periods of high interest rates and high inflation. To avoid the decrease of the companies’ competitiveness and financing capacity to disturb the normal operation of the companies, the government should adopt a devaluation policy to enhance the export competitiveness and operating performance of the electrical machinery companies. However, in the periods of low inflation, the effect of the devaluation policy is relatively limited.

Keywords: panel smooth transition regression model (PSTR), threshold effect, consumer price index, market premium.

並列關鍵字

panel smooth transition regression model (PSTR), threshold effect, consumer price index, market premium.

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