殖利率曲線異常性對股市收益有影響？

Does the Yield Curve Anomaly Matter to the Stock Market Return?

陳明君(Ming-Jun Chen)

指導教授 ： 李瑞琳 ； 林益倍

朝陽科技大學/管理學院/財務金融系/碩士(2020年)

摘要

本文研究了殖利率曲線的每週異常與1990年至2019年美國股市收益的關係。我們考慮道瓊斯指數的對數價格變動以及10年期和2年期美國國債之間的殖利率利差。我們進行Granger因果關係檢驗，以基於門檻向量回歸模型（TVECM）分析動態關係。我們的結果證明了殖利率曲線和股票市場的門檻效應，暗示了結構變化的證據。然後，我們分別觀察了正常和異常下的門檻因果關係，並找到了異常下兩個變量之間的回饋關係以及正常下從股市收益率到殖利率曲線的單向關係。具體而言，發現從殖利率曲線到股票市場收益的幅度大於反向關係，這表明殖利率曲線異常對股市的影響。我們的發現為殖利率曲線和股市之間的閾值關係提供了有價值的見解。

關鍵字

殖利率曲線 ； 異常 ； 股市 ； Granger因果關係檢驗 ； 門檻向量回歸模型

並列摘要

This paper examines that the weekly anomaly of yield curve matters to the U.S. stock market return from 1990 to 2019. We consider the log price movement in Dow Jones index and yield spread between the 10- and 2-year Treasury bond respectively. We conduct the Granger causality test to analyze threshold dynamics based on the threshold vector error correction model (TVECM). Our results demonstrate the threshold effect of yield curve and stock market, implying the evidence of structure change. Then, we observe the threshold relation in the usual and unusual regime respectively and find feedbacks between two variables in the unusual regime and the unidirectional relation from stock market return to the yield curve in the usual regime. Specifically, the larger magnitude running from yield curve to stock market return than the reverse relation is found, suggesting that the impact of yield curve anomaly matters to the stock market. Our findings shed valuable insights on the threshold relation between yield curve and stock market.

並列關鍵字

Yield curve ； Anomaly ； Stock market ； Granger causality test ； Threshold vector error correction model

參考文獻

References

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