房價指數對金融股價報酬的非線性效果:恐慌指數的角色

Nonlinear effect of housing price index on financial firms' stock returns: The role of volatility index

林伊姍(Yi-Shan Lin)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700290

摘要

銀行扮演著金融中介的重要角色。隨著多家新銀行的成立，使得原有銀行的競爭壓力與日劇增，加上近十年來全球經歷多次的金融風暴，更使得銀行必須面對授信品質惡化與自身不良放款過高的問題。此外，面對經濟環境惡化與資金不足的企業及投資人，銀行的擔保品價值亦面臨下跌的壓力，這些問題均可能直接反應在銀行的股價上。目前台灣金融業經營所面臨最大的風險，即是擔保品價值變動的風險。在所有的擔保品中，不動產就佔其中的七成以上。因此，房價變動如何影響金融股股價報酬是本研究的主要研究動機。
本研究以資本資產定價模型 (capital asset pricing model , CAPM) 為基礎，將其改寫成縱橫平滑移轉迴歸模型 (panel smooth transition regression model , PSTR) 之架構，並以恐慌指數 (volatility index , VIX) 為轉換變數，評估房價指數對金融股股價報酬率的非線性動態效果。實證期間為2007年第一季至2016年第一季之季資料，實證對象為台灣的金融股，在排除金融中介、產壽險業及票券公司後，最後選出23檔金融股。實證結果可供投資人投資股市及房市時的參考、金融業者調整擔保品 (不動產) 核放成數、估價及規避因大環境變動時所產生風險的參考依據，以及供政府穩定房地產市產、股市及金融市場的參考。
實證結果顯示:
1. 落後一期金融股股價報酬對當期金融股股價報酬的影響 (亦稱為遞延效果)為負向的。當投資人愈恐慌時，該遞延效果愈低。
2. 無論恐慌指數VIX的數值為何，金融股股價隨加權指數的漲跌而呈現同向變動。此外，該影響係數 ( 值) 小於1，代表金融股相對於集中市場加權指數的風險較低。
3. 房價指數報酬率對金融股股價報酬率的影響為負向的，且隨著恐慌指數VIX上升，該負向效果減弱。
4. 匯率升貶率對金融股股價報酬的影響為負向的，且隨著恐慌指數VIX上升，該負向效果逐漸減弱。

政策建議如下:
1. 對投資人而言，金融股股價報酬隨恐慌指數VIX的變動而呈現非線性的走勢，故金融股的投資人必須依各期的VIX調整投資決策。其次，房地產與金融股股票呈現替代性資產關係，故金融股的投資者應在房市下降時介入投資。此外，在新台幣兌美元貶值期間，資金宜移往美元，故不利於金融股股價報酬;惟在市場情緒恐慌時，貶值對金融股股價報酬的不利衝擊將下降，故持有美元的額度亦不宜過度擴張。
2. 對金融業而言，在房地產不景氣與新台幣對美元升值期間，是金融業者現金增資的好時機。其次，金融股股價呈現逐季波動的現象，在金融股價下跌當季的末期發布增資訊息，其效果更佳。此外，經濟環境愈恐慌 (即VIX愈大)，房市不景氣或新台幣對美元升值帶動金融股價上升的效果愈低，故金融業者辦理增資，宜在經濟環境由安定開始轉向不安時，其效果愈大。
3. 對政府而言，新台幣貶值與房市繁榮期間，金融股股價降下跌，進而造成加權股價指數下跌，不利於股市的安定。因此，金管單位應採取因應措施，慎防股市與金融市場失序。此外，當經濟體系處於較惶恐的階段時，若房地產市場位於不景氣期間，金融股吸納房市所釋出的資金能耐變弱，政府應採適當措施以慎防房市、股市與金融體系所產生的風暴。

關鍵字

縱橫平滑移轉迴歸模型、恐慌指數、房地產價格、匯率

並列摘要

Banks play an important role as an intermediary in financial field. With the rise of new banks, the banking industry has faced a more competitive environment. After experiencing many times of the global financial crises, banks have to face the problems of credit quality deterioration and overloading in the last decade. In addition, the deteriorated economic environment, funds-lacking enterprises and investors ,and decrease pressure in the value of bank's collateral all may lead to the reduce of the share prices of banks. The greatest risk in Taiwan’s financial industry is the fluctuation of the collateral value .In all collaterals, real estate accounted for more than 70%. Therefore, the major aim of this thesis is to study how the change in house prices affect the returns of financial stocks.
This study extends the capital asset pricing model (CAPM),and rewrites it as the panel smooth transition regression (PSTR)framework with ,a volatility index (VIX) as the transition variable to evaluate the non-linear dynamic effect of the index of housing price on the returns of financial stock. A panel data set of twenty-three financial stocks in Taiwan during 2007:Q1-2016:Q1 is used to conduct the empirical estimation. The empirical results are for not only investors as a reference to invest in the stock market and housing market, also as a reference for financial industry to adjust the conditions of the collaterals (real estate) and to evaluate and avoid the risks caused by the changes in the environment. Furthermore, the results provide meaningful information for the government to stabilize the real estate market, stock market, and financial market.

The empirical results are summarized as follows:
1. The influence of one-period lagged stock return on current stock price (also known as the persistence effect) is negative. The more the investors panic, the lower the persistence effect would be.
2. Regardless of the level of the volatility index, financial stocks prices display similar change pattern to the weighted stock index. In addition, the data coefficient ( value) is less than one, representing the financial stocks face less volatility risk relative to the weighted stock index.
3. The influence of housing returns on financial stock returns is negative, the negative effect weakens as the volatility index rises.
4. Exchange rate has negative impact on financial stock returns, and the negative effect weakens as the volatility index rises.

The associated policy suggestions are as follows:
1. The financial stock returns vary with the volatility index to show a non-linear process. Thus, investors must adjust their investment decisions period by period according to the volatility index. Second, real estate and financial stocks show an alternative complementary relationship, so investors should invest in house market when the financial stock prices has declined. In addition, during the depreciation of the New Taiwan dollar against the US dollar, arbitrage funds should move to the dollar, which would lead to the fall of the financial stock returns. However, when the market is panic, the negative impact of the depreciation to the returns of financial stocks will decrease; therefore, the holdings of the US dollar should not be excessively expanded. 2. Financial banks can raise funds, during the periods of NT dollar appreciation and the recession of real estate market. The timing to raise funds is better when the one period lagged financial stocks falls. In addition, the more the economic environment panic (the bigger the VIX is), the lower effect of housing market recession or NT dollar appreciation against US dollar on financial stock returns would be. Hence, the effect of raising funds is bigger when the economic environment shifts from stability to turmoil.
3. The financial stock returns fell during the periods of NT dollar depreciation and housing market boom, which leads to the weighted stock index fell and stock markets unstable. Therefore, the financial management authority should take actions to against the disorder caused by stock and financial markets. In addition, when the economy is in turmoil stages and the real estate market is in recessionary periods, the financial stocks to absorb the funds releaser from the housing market becomes weak. The government should take actions to prevent the housing market, stock market and the financial system from forming economic storms.

並列關鍵字

panel smooth transition regression model, volatility index, real estate price, exchange rate

參考文獻

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