匯率及利率對台灣半導體公司股價報酬之影響 —縱橫平滑轉換迴歸模型之應用

The effects of exchange rate and interest rate on semiconductor stock returns in Taiwan:an application of panel smooth transition regression model

卓欣怡(Hsin-Yi Cho)

指導教授 ： 吳博欽 ； 劉曉燕

中原大學/商學院/國際經營與貿易研究所/碩士(2014年)

https://doi.org/10.6840/cycu201400712

摘要

本研究以Fama and French (1993) 所提出的三因子模型為基礎，將其轉化為縱橫平滑移轉迴歸模型（panel smooth transition regression model，PSTR），並以利率與匯率為其轉換變數，評估股價報酬的動態非線性走勢，以及利率與匯率對股價報酬所產生的門檻效果。實証期間為2003年1月至2013年12月，樣本資料為台灣上市半導體公司。
實證結果歸納如下：
一、股價報酬呈現非線性的走勢，其路徑決定於各期的利率與匯率水準。Fama-French 的三因子對於台灣半導體股票報酬呈現非線性且隨時間變動的影響，其值決定於利率與匯率位於不同的區間。
二、在以利率為轉換變數的PSTR模型 (PSTR-IR模型) 中，市場風險溢酬為正，且隨著利率上升，市場風險溢酬增加。規模風險溢酬與價值風險溢酬則不確定，惟隨著利率水準提升，兩種風險溢酬由正值逐漸轉為負值。明顯地，利率水準愈高，規模與價值風險溢酬愈小。一般而言，利率水準愈高，代表景氣狀況愈佳，故投資小型股與大型股，或投資價值型股票與成長型股票的差異不大，以致於規模與價值風險溢酬愈小，甚至轉為負值。
三、在以匯率為轉換變數的PSTR模型 (PSTR-ER模型) 中，市場風險溢酬為正，且隨著利率上升，市場風險溢酬增加。規模溢酬與價值溢酬則不確定，惟隨著匯率水準提升，兩溢酬由負值逐漸轉為正值。顯然地，匯率水準愈高，規模與價值溢酬愈大。
四、在較高利率水準或全球性金融風暴期間時，股價報酬會產生快速的下降效果。當匯率超過其門檻值 (亦即台幣貶值) 時，股票報酬率為正的；反之，當匯率低於其門檻值 (亦即台幣升值) 時，股票報酬率為負的。

關鍵字

Fama-French三因子模型 ； 市場風險溢酬 ； 價值溢酬 ； 規模溢酬 ； 縱橫平滑轉換迴歸模型

並列摘要

This research revises the three-factor model, proposed by Fama and French (1993), as a panel smooth transition regression model with interest rate and exchange rate as the transition variables to evaluate the nonlinear path of stock returns, anf the threshold effects of interest rate and exchange rate on stock returns. The sample period spans from 2003:M1 through 2013:M12, and the sample objects are the 55 semiconductor companies listed on Taiwan Security Exchange Corporation.
The empirical results can be summarized as follows:
1.The stock returns display a nonlinear path, depending on interest rate and exchange rate. The three factors in Fama and French (1993) have nonlinear and time-varying effects on stock returns, depending on interest rate and exchange rate locate in different regimes.
2.In the PSTR model with interest rate as the transition variable, the market premium is positive and increases with the rise of interest rate. Although the signs of scale premium and value premium are ambiguous, scale premium and value premium shift from positive to negative as interest rate increases. That is, the higher the interest rate, the smaller the scale and value premiums would be. In general, a high interest rate means that the economy is in good stage of business cycle; therefore, the differentiated returns of holding either small capitalization stocks or large capitalization stocks, or holding either value stocks or growth stocks are small, which narrows scale and value premiums.
3.In the PSTR model with exchange rate as the transition variable, the market premium is positive and increases with the rise of exchange rate. Although the signs of scale premium and value premium are ambiguous, scale premium and value premium shift from negative to positive as exchange rate increases. That is, the higher the exchange rate, the larger the scale and value premiums would be.
4.In the periods of high level of interest rate and global financial crisis, the stock returns of semiconductor companies reduce speedily. In addition, when the exchange rate is over its threshold (00028), the return of stock is positive; contrarily, when the exchange rate is below its threshold, the return of stock is negative.

並列關鍵字

market premium ； panel smooth transition regression (PSTR) model ； scale premium ； Fama-French three-factor model ； value premium

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