人口與長期股票報酬之關聯

The Relationship Between Demographics and Long-Run Stock Market Returns

陳郁雯(Yu-Wen Chen)

指導教授 ： 繆震宇

淡江大學/商管學院/保險學系保險經營碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00882

摘要

隨著生活型態的改變、醫療科技進步，造成生育率與死亡率不斷地下降，使得各國面臨愈趨嚴重的長壽風險，雖然年齡的延長代表民眾擁有優良的醫療環境及更好的生活水準，但老齡化也帶來了社會衝擊與經濟影響。本文欲驗證Favero et al., (2011)所提出之假說，故利用美國、加拿大、英國、法國、德國、義大利、日本及台灣的資料探討人口與資本市場之關聯。若人口結構與股票報酬間的關係愈緊密，則愈能透過資本市場來管理長壽風險。
實證結果發現，除義大利之外的國家，股利殖利率皆對股票報酬有顯著正向影響，而人口變數也對多數樣本國家的長期股票報酬有顯著影響，北美、德國及日本的人口結構與報酬呈現正相關，英國、法國、義大利及台灣的MY(40至49歲人口對20至29歲人口的比例)與股票報酬則為負向關係。本研究之結果發現人口結構與股票報酬間確實存在某種關聯，此結果隱含了透過資本市場管理死亡率風險的可能。

關鍵字

人口 ； 資本市場 ； 死亡率風險

並列摘要

In recent year, the development of medical technology and the lifestyle has experienced many changes. As a result, both of fertility rate and mortality rate dropped significantly. Also, these improvements enhance the medical environment and bring a better living standard to human being. However, an amount of countries has faced with the risk of longevity over time. They have to tackle the consequence of population aging, such as the impact of society issue and the catastrophic losses. Therefore, the purpose of this dissertation is to measure the hypothesis which published by Favero et al., (2011). The chosen financial markets and population are those of the United State, Canada, United Kingdom, France, Germany, Italy, Japan and Taiwan. If the population structure has a strong connection with the stock market, we could utilize the capital market to manage the longevity risk.
Our empirical results demonstrate that the dividend yield is significantly positively correlated with the stock returns expect Italy. Moreover, the demographic variable, MY, is significantly related to long-run stock market returns. United State, Canada, Germany and Japan indicate that there are positive relationships between MY (the proportion of the number of aged 40–49 to the number of aged 20–29) and stock returns. In contrast, the United Kingdom, France, Italy and Taiwan present the opposite outcomes. To conclude, this research provides the evidence that the demographic and stock returns exists some level of connection. It implies the possibility that the risk of mortality rate may be managed through the capital market.

並列關鍵字

Demographic ； Capital market ； Mortality risk

參考文獻

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