失業率對股票市場之探討-不對稱門檻共整合模型

Stock Price Responses to Unemployment - The Application of the Threshold Co-integration Model

安宜亭(Yi-Ting An)

指導教授 ： 陳冠儒

義守大學/管理學院/財務金融學系/碩士(2015年)

https://doi.org/10.6343/ISU.2015.00084

摘要

股市一直是國家的經濟櫥窗，隨著股票市場的發展和總體經濟的關係越來越密不可分，決策者和投資者開始重視總體經濟對股票市場的影響，故本研究探討總體經濟指標之一的失業率對我國股票市場的影響。本研究選取了失業率作為變數，股票市場則選用月平均加權股價指數，並使用了Enders and Siklos(2001)的不對稱門檻共整合模型來探討失業率和股價的共整合關係，研究結果顯示股價和失業率脫離均衡時並未發生修正，而是脫離至一門檻後，才發生劇烈修正，回到共整合的均衡。根據以上研究結論，提供投資者對失業率變動時應持審慎的態度，合理調整持有的投資組合。

關鍵字

股票市場 ； 失業率 ； 不對稱門檻共整合

並列摘要

The stock market always is the national economical display window, along with the relation between stock markets and macro economy is closely connected and inseparable. Decision makers and investors began to pay attention to the influence between economy and stock market.
Therefore, this study examines the relations between the unemployment rate, which is one of the macroeconomic indicators, and domestic stock market. This study takes the unemployment rate as variables, and Taiwan Stock Index TAIEX as stock market indicator. In addition, this study utilizes the Asymmetric threshold Co-integration Model of Enders and Siklos (2001) to examine the co-integration relationship between unemployment rate and stock index. The error correction does not take place until the deviation crosses beyond a certain threshold, where the deviation reverts back to long-term equilibrium significantly at a high speed. According to the empirical results, this study suggests that investors should be more careful when unemployment rate is changing violently and adjust portfolios.

並列關鍵字

stock markets ； unemployment rate ； The Application of the Threshold Co-integration

參考文獻

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