Asset Returns and Monetary Policy in the Emerging Taiwan Financial Markets

Ming-Hsiang Chen ； Su-Jane Chen ； Yi-Chi Kuo

《Advances in Investment Analysis and Portfolio Management》 3期 (2008/11) Pp. 39-62

https://doi.org/10.6291/AIAPM.2008.03.03

並列摘要

This study investigates the impact of monetary policy on stock and bond markets in Taiwan. Specifically, stock market indexes exhibit higher returns during expansive monetary policy environment, whereas returns on bonds and bills show no difference between expansive and restrictive monetary environments. Sharpe ratios of stock indexes are all positive and relatively large during expansive monetary environment. In contrast, Sharpe ratio of bond index during restrictive periods is larger than that during expansive periods. Regression results show that stock returns are significantly related to monetary policy, while returns on bonds and bills are not. Furthermore, the impact of monetary policy on industry index returns is found to be positively associated with industry size.

並列關鍵字

Asset Returns ； Monetary Policy ； Industry Size ； Financial Markets ； Taiwan

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