貨幣市場價量因素與股價指數關聯性之實證研究

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/21314

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Title:	貨幣市場價量因素與股價指數關聯性之實證研究
Other Titles:	AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX
Authors:	謝家欣 Hsieh, Chia-hsin
Contributors:	財務管理研究所賴靖宜 Jing-Yi Lai
Keywords:	向量自我迴歸模型;衝擊反應函數;預測誤差變異數分解 Impulse Response function;Forecast Error Variance Decomposition;Vector Autoregressive Model
Date:	2003
Issue Date:	2015-06-02 16:48:14 (UTC+8)
Abstract:	本文的研究目的係探討在貨幣市場中，由資金供給與需求所決定的貨幣數量及貨幣價格，與股價指數及其報酬率之間，有無領先或落後的關係及對其衝擊強弱之關聯性。本研究採用Johansen的最大概似估計法檢定變數間的共整合關係來探討貨幣市場價量因素與股價指數間的長期均衡關係。在短期動態關係的檢定方面，乃透過向量自我迴歸模型(VAR)，利用預測誤差變異數分解及衝擊反應函數來表現估計模型的動態特性。　　　本文選取的貨幣市場因素包括金融業隔夜拆款利率及貨幣供給額(M1B)，另外加入工業生產指數及通貨膨脹率兩總體經濟變數代表非貨幣市場因素之變數；股價指數則選取發行量加權股價指數、金融類股股價指數及電子類股股價指數。研究期間自1995年至2001年，資料型態為月資料。實證結論如下：　(一) 根據Johansen的最大概似估計法，研究發現股價指數及貨幣市場因素間無共整合向量，表示股價指數及貨幣市場因素間沒有長期均衡關係。(二) 根據VAR中的預測誤差變異數分解，研究發現貨幣供給額(M1B)與股價指數間有較密切之短期動態關係，並且解釋加權股價指數的程度大於解釋金融類及電子類股股價指數的程度，貨幣變數對股價指數變異之解釋能力明顯高於非貨幣變數之解釋能力。(三) 根據衝擊反應函數分析，可知貨幣供給額變動短期間會造成股價指數的正面影響；隔夜拆款利率變動會造成股價指數的負面影響。　　　The study investigates the long-term interrelationships between stock index and monetary factors, by the cointegration analysis. Vector Autoregression (VAR) is first estimated, from which yields forecast error variance decomposition and impulse response function to captures their dynamic characteristics.This paper uses monthly data from 1995 to 2001. 　　　The empirical results indicate:(1) By Johansen's estimation method, it is found that stock index has no stable long-term relationship with monetary variables.(2) According to its forecast error variance decomposition from the VAR model, we find that M1B has a closer short-term dynamic relationship with the monetary variables of concern.(3)Based on impulse response function, we conclude that a short-term change in the money supply has a positive effect on stock index returns, and over-night rate has a negative effect on stock index returns.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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