股票報酬與經濟成長－亞太新興國家之實證研究

Stock Returns and Economic Growth-Evidence from Asia Pacific Emerging Countries

董澍琦(Shuh-Chyi Doong) ； 楊聲勇(Sheng-Yung Yang) ； 藍淑鳳(Shu-Feng Lan)

《東海管理評論》 7卷1期 (2005/07) Pp. 285-304

https://doi.org/10.29724/TMR.200507.0012

摘要

本研究主要探討亞太新興國家實質股票報酬與經濟成長間的關係，以各國月資料進行實證分析，研究對象包括大陸、印尼、韓國、馬來西亞、菲律賓、台灣及泰國等七個國家，取樣期間為1971年1月至2001年3月。實證結果首先發現七個亞太新興國家中，唯印尼的實質股價指數與工業生產指數存在長期均衡關係；表示亞太新興國家的實質股價指數和工業生產指數間並無長期相近的走勢；有關預測能力方面，在七個亞太新興國家中，有四個國家（包括：韓國、馬來西亞、菲律賓以及台灣等國）的實質股票報酬對未來經濟成長有顯著正向的影響，顯示新興國家的股票報酬大多能預先反映未來經濟成長；最後，以亞洲金融風暴分割研究期間，發現部分亞太新興國家（包括：大陸、台灣及泰國等國），在金融風暴後，股票報酬對於未來經濟成長的預測能力增加。可能是因為在金融風暴之後，投資人更加謹慎，蒐集所有相關資訊後才決定投資策略，也就使得部分國家的股票報酬更能反映實質經濟活動。

關鍵字

股票報酬 ； 經濟成長 ； 亞太新興國家 ； 單根檢定 ； 共整合檢定 ； 亞洲金融風暴

並列摘要

This paper examines the relationship between industrial production growth rates and lagged real stock returns for Asia Pacific emerging countries using cointegration tests, error-correction models, and linear autoregressive models. Moreover, we divide the sample into two sub-periods to investigate whether the relationship is different after 1997's Asia financial crisis. The empirical evidence can be summarized as follows:
First, the cointegration tests do not show a long-run equilibrium relationship between the industrial production and real stock price except for Indonesia. It means that there is no long-run equilibrium relationship between real stock price and industrial production in most of the Asia Pacific emerging countries. The empirical results in Asia Pacific emerging countries are different from the empirical results in the G-7 countries.
Secondly, the results also indicate that the ability of stock returns to explain economic growth is obvious in Korea, Malaysia, Philippine, and Taiwan.
Finally, after 1997's Asia financial crisis, the ability of real stock returns to explain future economic growth becomes more obvious in China, Taiwan, and Thailand. It implies that the investors became more cautious in making investment decisions after Asia financial crisis.

並列關鍵字

Stock Market Returns ； Economic Growth ； Asia Pacific Emerging Countries ； Unit Root Tests ； Cointegration Tests ； Asia Financial Crisis

參考文獻

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