股市利多消息、預期形成與股價之動態調整

Good News, Expectation Formations, and Stock Price Dynamics

戴孟宜(Meng-Yi Tai)

《東海管理評論》 14卷1期 (2012/07) Pp. 69-108

https://doi.org/10.29724/TMR.201207.0003

摘要

不少投資大眾對股價一直存在著「追高、殺低」的行為，因此讓我們心中產生疑問：民眾的預期形成是否為理性預期或完全預知？且民眾對股價的預期形成方式不同是否將左右股價短期的調整風貌？另外，當股市出現利多消息時，是否會導致股價有過度調整現象，實證文獻對此有不同看法。綜上，本文將建立連結商品市場、貨幣市場、股票市場與外匯市場的開放動態總體模型，除了探討若民眾有不同之預期形成，是否會導致政策變動對經濟體系有不同之調整路徑，亦將分析不同之利多消息是否為導致股價出現過度調整與否的要素之一。本文發現：（1）當民眾對股價有不同之預期形成，短期股價將呈現不同之動態走勢。（2）國內信用擴張之利多消息出現，股價會出現過度調整現象；而當股利分配比例提高之利多消息出現，股價則將出現多樣化的調整風貌，其取決於民眾之預期形成方式以及資本移動程度的相對大小而定。

關鍵字

國內信用 ； 股利分配 ； 預期形成 ； 動態調整

並列摘要

Lots of investors are used to manage the stock based on ”buy high and sell low”; hence we can not help wondering and then having the following questions: The expectation of the multitude is rational expectation or is perfect foresight? At the same time, if public from their expectations with other expectations, does the stock price has alternative dynamic adjustment when policy announcement? Otherwise, if the occasion will lead to over-adjustment phenomena on stock value when the stock market has good news released. For this, we found various kind opinions on the empirical literatures about this issue. The aim of this study is to investigate the dynamic adjustment of the economy under alternative expectation structures, including regressive expectations, distributed-lag expectations, and rational expectations and under different good news.Three major conclusions can be established from the analysis. Firstly, the stock price adjusts with various dynamic patterns in the short run under alternative expectation formations. Secondly, the stock price displays overshooting as good news come from the domestic credit expansion. Finally, the stock price may exhibit overshooting or undershooting depending on the public form their expectation formations and the degree of capital mobility as increasing in good news from the dividends sharing.

並列關鍵字

domestic credit ； dividends sharing ； expectation formations ； dynamic adjustment

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