美國量化寬鬆政策對股票市場正向回饋行為之探討

The Impact of U.S. Quantitative Easing Policy on Positive Feedback Trading Behavior in the Stock Markets

游碧瑤(PI YAO YU)

指導教授 ： 李命志 ； 李彥賢

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.01092

摘要

美國因次級房貸事件引發全球性金融風暴，造成全球經濟恐慌，故美國在該期間實施一連串的量化寬鬆政策提升經濟。本文研究目的在美國股票市場是否存在正向回饋行為、美國股票的波動性是否具有不對稱效果及量化寬鬆是否會增強正向回饋效果等三個議題。本文利用單根檢定、ARCH效果、波動度不對稱檢定與GARCH模型進行實證分析。
本文實證結果發現：
一、在一般情形下，S&P500與費城半導體指數具有正向回饋效果。
二、股票市場的波動性存在波動群聚特性，且S&P500與費城半導體指數市場波動皆存在不對稱效果。
三、美國實施QE期間，S&P500指數於QE1、QE2與QE3期間漲幅分別約為79%、30%與53%，顯示在QE利多下投入股市誘因大，帶動漲幅，投資人大多為正向回饋交易投資者，具追漲殺跌的投資特性，故QE實施後，美國股票市場具有增加正向回饋行為。

關鍵字

量化寬鬆、正向回饋、GARCH模型

並列摘要

The subprime mortgage crisis in the United States led to the global financial crisis in 2008. To improve the economy, the U.S. government launched a series of quantitative easing (QE) policies. This thesis investigated three topics: whether the U.S. stock market exhibits positive feedback, whether the volatility of U.S. stocks leads to an asymmetric effect, and whether the QE policies strengthened positive feedback in the stock market. The results are summarized as follows:
First in the general case, the S&P500 and Philadelphia Semiconductor Index exhibit positive feedback. Second the stock market exhibits volatility clustering; the S&P500 and Philadelphia Semiconductor Index indicate an asymmetric effect on market volatility. Third when the QE policies were implemented, the S&P500 increased by 79% in QE1, 30% in QE2, and 53% in QE3. This indicates that the QE policies stimulated stock prices, thereby increasing stock market investment incentives and leading to stock market gains. Most investors are positive feedback investors who buy when prices are rising and sell when prices are falling. Therefore, the implementation of the QE policies led to an increase in positive feedback in the U.S. stock market.

並列關鍵字

Quantitative Easing Policy, Positive Feedback, GARCH model

參考文獻

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