美國量化寬鬆貨幣政策對台灣股票市場之影響-事件研究法之應用

The Study of American Quantitative Easing Monetary Policy on the Effect of Taiwan Stock Market-The Application of Event Study

李建璋(Chien-Chang Lee)

指導教授 ： 李沃牆

共同指導教授 ： 謝宗佑

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.00445

摘要

本文探討2008 年的次貸風暴的產生後，美國在2008 年11 月開始實施第一波的量化寬鬆(Quantitative Easing 1)貨幣政策，從QE1 到QE3，不斷的把大量美元貨幣供給推到全球尤其是新興國家市場，當然台灣也是其中之一。本研究利用事件研究法(Event Study)探討量化寬鬆前後對於電子、金融及營建類股指數是否產生顯著的異常報酬？實證結果顯示，事件日期間各類股的平均標準化異常報酬(SAR)及平均累積異常報酬(SCAR)觀察，各類股表現則不相同。此結果意涵QE對相關類股在短期間因當時政策及時空環境下或有利空效應，但長期而言，其效應為利多政策。因此，美國的量化寬鬆貨幣政策確實會引動美國的資金流往像台灣這樣的新興市場並對台灣股票市場造成影響。

關鍵字

量化寬鬆 ； 事件研究法 ； 標準化的異常報酬率

並列摘要

This paper discusses the subprime mortgage crisis in year 2008, the United States conduct the first quantitative easing (Quantitative Easing 1) monetary policy on November 2008. Hence, there are lot of U.S. dollar money be issued to the world, especially emerging markets after Q1 to Q3. Taiwan is also one of the emerging market. In this study, I will apply event study methodology (Event Study) to investigate the affect of quantitative easing money policy to the electronics, financial and construction index whether to generate significant abnormal returns in Taiwan stock market?
The empirical results show that the average standardized abnormal return (SAR) and the average cumulative abnormal returns (SCAR) are not the same in various types of stocks during the event . Which implied that there is a bad effects for QE related stocks in the short term due to the time and the space environment., but in the long run, it will have an advantage. Therefore, the U.S. quantitative easing monetary policy will indeed motivate capital flows to the United States in emerging markets such as Taiwan and will have a significant impact on Taiwan stock market.

並列關鍵字

Quantitative easing, ； Event study ； Standardized abnormal rate of return

參考文獻

4.陳璽豔(2012)，實施特種貨物及勞務稅對不動產市場的影響評估，淡江大學財務金融學系碩士論文。

6.鄭義崧(2011)，美國、中國、印度、巴西、俄羅斯五地股市指數關聯性之研究─以美國量化寛鬆貨幣政策實施前後期為例，中央大學財務金融學系碩士論文。

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