- 學位論文
外匯市場與股票市場之連動性：現金增資分析
The Interaction between Exchange rate Market and Stock Markets：Analysis of Seasoned Equity Offerings
摘要
回顧相關延伸股票市場理論的文獻多著重於融資、融券對小型開放經濟體系的影響，本文擬將過去文獻較少著墨的現金增資行為納入小型開放經濟體系，期待能以不同的角度再詮釋股票市場與外匯市場的互動，同時使股票市場的信用交易制度分析更趨完備。 我們以Blanchard（1981）模型為架構，將股票市場的「現金增資」行為信用交易制度納入該模型，並修改封閉經濟體系為小型開放經濟體系模型，據以探討經濟體系處於壞消息且資本移動程度大時，民眾參與現金增資行為對股價與匯率的影響。 根據本文的分析，我們得發現政府實施預料到的恆久性調升認購價格成數，長期對股價有下挫的影響且對本國貨幣有貶值的影響。預料到的暫時性調升認購價格成數，只要政策宣告迄執行的時間夠長，匯率會發生錯向調整的現象。預料到的恆久性擴張財政政策長期對股價有下挫的影響且對本國貨幣有升值的影響。
並列摘要
Review the relevant literature about the theory of stock market in a small open economy, it has always been biased towards “margin transaction.” We create the viewpoint of “Seasoned Equity Offerings” bring into line with this study and expect to enrich the analysis of the credit trading system. In this article we adopt the stock model of Blanchard（1981）to study SEO in a small open economy. We stand in investors’ position and attempt to depict he effects of the policies on exchange rate and stock price. Our assumption is that investors face the large degree of capital mobility and bad news from stock market. According to our research, we can get the conclusions as following: When the government announces to permanently increase the issue price of seasoned equity offerings rate in the future, it depreciates the exchange rate and reduces the stock price level in the long run. When the government announces to temporarily increase the issue price of seasoned equity offerings rate and implements simultaneously the policy, the direction of the exchange rate to adjust will depend on the phenomenon of Misadjustment. When the government announces to permanently adopt the expansionary fiscal policy in the future, it appreciates the exchange rate and reduces the stock price level in the long run.
參考文獻
延伸閱讀
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