亞太地區貨幣政策與股市報酬之關聯性分析---以向量自我迴歸及共整合模型為例

The Analysis of the Relation between Monetary Policy and Stock Returns in the Asian and Oceanian Region---the Example of the Vector Autoregression and Co-integration Model

繆燕鴦(Yen-Yang Miao)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2002年)

https://doi.org/10.6840/cycu200200281

摘要

在資本市場中，股票一直是投資人最常使用的投資工具之一，每個投資人均希望能藉由一些訊息在股市獲取超額報酬。然而股票報酬是否具有可預測性，亦即股票市場是否具有市場效率性？如具可預測性，哪些因素可作為預測股市報酬的指標？長久以來一直是投資人及財經學者深入研究的課題。由於國內過去有關貨幣政策與股市關聯性之研究文獻均侷限於台灣，且國外文獻也較少針對亞太地區各國探討貨幣政策與股市報酬之關聯性。

因此本研究乃以台灣、印尼、泰國、馬來西亞、菲律賓、韓國及中國大陸為研究對象，選取1990年1月至2000年12月之月資料，採用銀行拆款利率、貨幣供給成長率及重貼現率作為貨幣政策的衡量變數，利用單根檢定ADF、Granger因果關係檢定、共整合及VAR向量自我迴歸模型等統計方法分析，以瞭解亞太地區各國貨幣政策對股價報酬的影響，進而探討亞太地區股市是否具有市場效率性。實證結果顯示，除了台灣以外，印尼、泰國、馬來西亞、菲律賓、韓國及中國大陸等國其貨幣政策變數當中，以重貼現率為股市報酬較佳的預測指標，台灣的貨幣政策變數在長期則有較佳的預測性。印尼、泰國、馬來西亞、菲律賓及韓國的股價報酬率與股利收益率具有雙向的因果關係，且在預測誤差變異數分解中，股利收益率皆佔各國股市報酬變異來源蠻重的比例，可見股利收益率皆是各國股市報酬良好的預測指標。由此可知貨幣政策變數對於股市報酬有相當的預測能力，表示亞太地區七國之股票市場對於貨幣政策的訊息而言，是屬於非效率市場。

亞太地區將於近十年成為全球最大的區域性經濟組織---東協自由貿易區，屆時廣大的股票市場必將是全球投資人的關注焦點。本研究冀望此實證結果可使各國央行在研擬和執行貨幣政策時，可作為穩定股票市場的參考，並且也可使投資人在作投資決策時，有明確的參考依據。

關鍵字

因果關係 ； 貨幣供給 ； 衝擊反應 ； 變異數分解 ； 單根檢定 ； 向量自我迴歸 ； 股利收益率 ； 拆款利率 ； 股價報酬 ； 共整合 ； 重貼現率

並列摘要

Up until now investors always prefer to use the stock as one of the important investment instruments in the capital market. Everyone hope to get excess returns by reflecting available news in the stock market. But, could the stock returns be predicted, and are the stock markets effectiveness? If they are effectiveness, which factors can accurately predict the stock returns? This field always has wanted to be probe into by the economists and the investors for a long time. However, this field which domestic scholars explore is limited in Taiwan’s monetary issues. Besides, foreign scholars seldom research about the relation between monetary policy and stock returns in the countries for the Asia and the Pacific Ocean.

Therefore, this study takes the samples of seven countries, including Taiwan, Indonesia, Thailand, Malaysia, Philippines, South Korea, and China, and uses the variables of inter-bank rate, the growth rate of money supply, and discount rate as monetary variables during January, 1990 to December, 2000. This study makes use of the measures of Unit Root, Granger’s Causality Test, Johansen’s Co-integration method, and VAR model to find out the relation between monetary policy and stock returns in the countries of the Asia and the Pacific Ocean, and test the effectiveness for these stock markets? The empirical evidences show that the discount rate of Indonesia, Thailand, Malaysia, Philippines, South Korea, and China are good indicators for predicting stock returns, except Taiwan. The variables of monetary policy in Taiwan have more predictive in the long time. We found that the stock returns and dividend yields of Indonesia, Thailand, Malaysia, Philippines, and South Korea have the two-way causality effects for each other. By using variance decomposition analysis, dividend yield has a significant impact on the variance decomposition of stock return. Thus, dividend yield is an excellent indicator of the stock returns for the seven countries. From the monetary policy perspective, it appears that the stock markets of seven countries do not conform to be effective.

Hopefully, the Association of South East Asian Nation (ASEAN) will become one of the great economic regions in the global world. The majority of foreign investors will focus on such vast stock markets. This study expects to evaluate the results of the empirical evidences that provided helpful references for policy makers to stabilize the price of stock market when the central bank plans to implement monetary policy, and were good for the investors to make decisions clearly.

並列關鍵字

money supply ； fund rate ； decomposition variance ； VAR ； impulse response ； dividend yield ； Unit Root ； Johansen’s Co-integration method ； stock return ； Granger’s Causality Test ； discount rate

參考文獻

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