探討物價指數與股價報酬之非線性關係-TAR與M-TAR之實證研究

A Study of Non-linear Relationship between Price Index and Stock Index Returns

謝依容(Yi-Rong Xie)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2013年)

摘要

近年來，油電與國際原物料價格上漲進一步牽動物價上揚，不僅影響人們日常生活，也造成企業成本上升和利潤下降等國計民生問題，也會影響股市之表現。股市是一個敏感的市場，造成股市波動的因素包括總體經濟因素、政治因素、人為操縱因素和其他因素等。其中，總體經濟因素包括實質國民生產毛額、貨幣供給額、利率、匯率及通貨膨脹率等因素。通常物價會伴隨股價上揚而上漲，當股市呈現多頭行情時，使民眾財富增加，透過財富效果，民眾會增加消費，進而促使物價上漲；相反地，當存在物價上漲壓力時，央行將採取緊縮性貨幣政策-調升利率，造成市場上資金銳減，進而使股價下跌。
本論文之研究主要是探討消費者物價指數年增率和台灣股價指數月報酬率之非線性關係。研究期間為1997年1月至2012年6月，共186筆月資料進行實證研究。本文利用單根檢定、Johansen共整合檢定、非線性門檻自我迴歸模型(TAR)、動能門檻自我迴歸模型(M-TAR)及Granger因果關係檢定來進行分析。實證結果彙整如下：
一、從單根檢定發現，消費物價指數年增率與台灣加權股價指數報酬率均屬於I(0)之時間序列。由Johansen共整合檢定中發現，消費者物價指數年增率與台灣加權股價指數報酬率之間存在二組共整合關係，意即二變數間具有長期均衡關係。
二、從門檻自我迴歸(TAR)、動能門檻自我迴歸(M-TAR)檢定中發現，消費者物價指數年增率 與台灣加權股價指數報酬率之間雖不具有顯著不對稱門檻共整合效果，但在高度震盪期之下，不對稱效果是增加的。
三、由Granger因果關係檢定中發現，消費者物價指數年增率有領先台灣加權股價指數報酬率的因果關係，意即消費者物價指數年增率的變動會影響台灣加權股價指數報酬率。

關鍵字

消費者物價指數年增率 ； 台灣加權股價指數報酬率 ； 門檻自我迴歸模型 ； 動能門檻自我迴歸模型

並列摘要

Commodity prices have been further affected with the rising prices of petroleum, electricity and raw materials. Therefore, stock market performances have been influenced with the worsening living conditions, rising entrepreneurial costs, and decreasing their revenues (profits). Stock market has been considered to be a sensitive market which is affected by several factors, including macroeconomic, political, human manipulative factors, etc. To be specified with regard to macroeconomic, it is composed of Real Gross National Product (real GNP), Money Supply, Interest Rates, Foreign Exchange Rates, and Inflation Rate, etc. It is shown that rising commodity prices are accompanied with high stock prices. In other words, bull markets enable investors to make huge profits, facilitate general expenditure which lead to high inflation. On the contrary, the Central Bank adopted tight money policy-raising interest rates to decrease the amount of money in the market which lead the stock prices decrease.
The research is an empirical study on the Non-linear relationship between consumer price index and stock index returns. The study covers the period from Jan. 1997. to June. 2012. The sample has 186 monthly data. The study utilizes Unit Root, test, Johansen cointegration test, Non-linear threshold autoregression model(TAR), momentum TAR model(M-TAR) and Granger causality test to test the relationship of two variable. The main results of the study are summarized as follows：
1.The results of unit roots test in the time series indicates that two series are integrated of order 0, I(0).From the results of Johansen cointegration test, there is an underlying long-term relationship between consumer price index and stock index returns.
2.From the results of TAR and M-TAR model, we find that consumer price index and stock index returns doesn't exist asymmetric relationship.
3.From the Granger causality test, we find the relationship between consumer price index and stock index returns is one-way causality, that means stock index returns is affected the consumer price index.

並列關鍵字

consumer price index ； Taiwan stock index returns ； TAR ； M-TAR

參考文獻

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