股價新聞效果的研究－VAR-VECM模型之應用

Macroeconomics News and the Stock Price-An Application of the VAR-VECM Model

黃柏農(Bwo-Nung Huang)

《中國財務學刊》 2卷1期 (1994/07) Pp. 57-73

https://doi.org/10.6545/JoFS.1994.2(1).4

摘要

本文以一套多變量模型來討論總體變數創新部份與股價的關係。在討論草根及共積間的關係之後，以向量自迴歸向量誤差修正模型來估計系統內預期變數的部份。以變數預期的結果納入新聞效果的模型當中來分析，結果發現：就總體變數（包括物價、匯率、所得、貨幣供給與短期利率）的新聞效果部份來看，東京消費者物價的新聞對東京的股價有正顯著影響，此外，東京股市的股價與貨幣供給的創新間有正的關係，但與短期利率間則有負向的關係。至於臺灣方面，匯率創新與股價間有一種負向關係。而除了倫敦股市在10%顯著水準左右可以拒絕簡單效率性的假設外，其餘國家的實證結果顯示均無法拒絕簡單效率性的假設。

並列摘要

This paper applies a multivariate model to explore the relationship between unanticipated variation in macroeconomic variables and the aggregated stock price indices. By considering the possible cointegrating relationship exists among variables, we use the VAR-VECM Model to generate the expected values in the system. Our results indicate that the macroeconomic (including price, exchange rates, income, money supply and short-term interest rates) news are very small. The influences of the consumer prices' news on the stock prices in Tokyo are positive. In addition, there is a positive relationship between the stock price and unexpected money supply, yet a negative one with short-term interest rates innovations. Regarding Taiwan, a negative relationship exists between exchange rate innovations and stock prices at Moreover, the empirical results also reveal that the weak form efficiency hypothesis of the stock market cannot be rejected in most countries except for the London stock markets.