市場擇時能力對資本結構影響之探討：以東南亞市場為例

The Impact of Market Timing Ability on Capital Structure –Evidencesfrom Southeastern Asian Markets

林立信(Li-Shin Lin)

指導教授 ： 許光華 ； 李見發

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

本研究旨在探討市場擇時效果(market timing)對資本結構的影響，Hovakimian(2006)指出使用市價淨值比(M/B ratio)並不是探討市場擇時效果的良好指標。因此本研究擬採用Alti(2006)市場擇時模型，以熱變數(hot variables)探討市場擇時理論於東南亞市場的適用性；其次以Pagan and Sossounov(2003)提出的修正之B-B法計算股市景氣週期循環的方法，作為區分出景氣的熱市(hot market)與冷市(cold market)的指標。本研究發現不論以Alti(2006)或依修正之B-B法定義熱變數在馬來西亞、新加坡、印尼、印度、南韓的資本市場具擇時效果皆較有解釋能力；而臺灣與菲律賓的資本市場則不存在市場擇時效果。此外，就各國的個別市場而言，以南韓的資本市場之市場擇時效果最為顯著；就公司面的熱市與冷市場而言香港與新加坡的解釋能力較弱；而泰國與印尼則在市場擇時效果對資本結構的持續性衝擊上較無解釋能力。

關鍵字

市場擇時能力 ； 資本結構 ； 修正之B-B法

並列摘要

The present study empirically investigates the market timing ability on capital structure. Hovakimian(2006) pointed out the market-to-book ratio is not a crucial indicator in measuring the market timing. First, we adopt the market timing model developed by Alti(2006), who used hot variables to measure the market timing effect. Then, we employ the B-B algorithm by Pagan and Sossounov(2003) to define the stock markets as a hot or cold scenario in a business cycle. We find that the market timing ability of capital market prevails in southeast Asia countries except Taiwan and Philippines both in terms of the market timing model by Alti(2006) or the B-B algorithm model by Pagan and Sossounov(2003). Especially South Korea has the most strong market timing effect. On the contrary, the market timing effect is much weaker in capital market in Kong Hong, Singapore, Thailand, and Indonesia.

並列關鍵字

Market Timing Effect ； B-B algorithm. ； Capital Structure

參考文獻

1. Alti, A.(2006) How persistent is the impact of market timing on capital structure?, Journal of Finance 61(4), 1681-1710

2. Baker, M. and Wurgler, J.(2002) Market timing and capital structure, Journal of Finance 57(1), 1-32.

3. Bry, G. and Boschan, C. (1971) Cyclical analysis of time series: Selected procedures and computer programs, NBER: New York.

4. Canova, F. (1994) Detrending and turning points, European Economic Review 38, 614-623.

5. Canova, F. (1999) Does detrending matter for the determination of the reference cycle and the selection of turning points?, Economic Journal 109, 126-150.