臺灣博碩士論文加值系統

在經濟體系運行過程中，物價水準波動與貨幣的購買力、生活水準息息相關，而通貨膨脹率的變化則扮演重要角色。近20年來，主要帶動台灣經濟發展的產業係以高科技電子產業(代表實質部門)及金融產業(代表金融部門)為主，而兩者也在股票市場的交易與募集資金上居於絕對主流趨勢，故本文選取對台股漲跌變動有舉足輕重地位的電子類股與金融類股股股價指數報酬率作為主要研究標的。
為探討決定台灣電子類股與金融類股報酬率的因素，進而驗證在通貨膨脹過程中，兩種類股報酬率與通貨膨脹率間的互動關係，以及貨幣政策與財政政策帶來的影響等，本文選擇研究期間為1995年1月至2006年12月的月資料作實證迴歸分析，而針對總體變數的預期，本文採用適應性預期與理性預期兩種方法，分別對電子類股及金融類股兩者的股價指數報酬率作預測之比較。
本文實證結果摘錄如下：
(1) 在通貨膨脹過程中，電子類股和金融類股反映出特定產業的性質，使得其各有不同的反應。電子業屬於製造業，由於產業特質是生命循環較短，其獲利與否主要仰賴本身營運狀況、產業前景、訂單需求等實質面因素，凡此均屬於個體變數的範疇，是以對過去通貨膨脹率變動反應不顯著。反觀金融業進行存放款業務，面對的市場供需即為總體市場供需，是以金融業和總體因素息息相關，而過去的通貨膨脹率對其有延續性影響。
(2) 針對 Fisher 方程式的檢驗，無論使用適應性預期或理性預期的方法，電子類股或金融類股的實證結果都和Fisher方程式預設通貨膨脹率和實質利率係數為1的設定不同。其中的重要原因是：Fisher方程式是針對固定收益證券(債券)，而本文是股票報酬率進行實證，而後者將涉及公司營運的實質面變化，影響的因素較多，因而造成和Fisher臆說不同的實證結果。
(3) 關於兩類股價指數報酬率的決定總體經濟因素，由於電子產業和金融產
業的特性，基本上此處所選取的總體經濟變數對於金融類股價指數報酬率有著較大的影響，例如：通貨膨脹率、貨幣政策、財政政策、商業本票利率變動等，而對電子類股價指數報酬率有較明確影響的是過去M1b成長率以及未來一期政府淨支出成長率。
(4) 在預期方法的採用上，本文適應性預期採用前三期的歷史資料，理性預期則是採取平均猜中未來一期的變數值，而不同總體經濟變數預期方法對兩類股價指數報酬率的影響有所不同。經由觀察實證結果，由於歷史資料數據明確，在實證結果中有較為良好的表現，此兩產業實際上對於預期的變數或政策拿捏都不太精確，不能進而直接影響報酬率，其中較能夠掌握的只有通貨膨脹率和財政政策。
(5) 比較貨幣政策和財政政策效果的影響，可以發現貨幣政策有其延續性效果，過去的貨幣政策會持續影響到現今的股票報酬率，但過去的財政政策卻無此效果，預期政府淨支出成長率對兩產業報酬率皆有正向顯著影響，此觀察結果映證了股票報酬率對財政政策會提前反應其變動。
(6) 針對M1b與M2成長率在一對一變數關係的實證結果比較，可以發現和股市息息相關的M1b成長率顯著影響電子業與金融業，而M2成長率則對金融業有著較大的影響。另外，本文拿M1b與M2成長率作為比較的基準，建立兩個不同的完整模型，比較兩模型的解釋能力則可得知，在電子類股中，包含M1b成長率為解釋變數的完整模型解釋能力較好，意即和股市資金流通較相關的M1b成長率，較能反映電子類股票市場中真正的情況；而在金融類股中，卻是包含M2成長率為解釋變數的完整模型解釋能力較好，由此可見央行實際操作目標的M2成長率，的確和金融產業有較大的關聯。

In the economic system movement process, the variation of price level are closely linked with the level of living and the money purchasing power, but the inflation rate plays a strong role. In the recent 20 years, electronic and financial industries mainly led the Taiwan’s economy development, therefore this article selects Taiwan stock exchange return rate of electronic and financial industries
as the main research.
In order to discuss which factor decides sotck return rates in the process of inflation, as well as to see the effects of monetary policy and the financial policy, this article chooses month material which is from January, 1995 to December, 2006. In view of overall expected variable, this article uses adaptive expectation and rational expectation method.
This article’s empirical results are simply as follows:
(1) In the inflation process, the electronic and the financial industry reflected the specific industry the nature which enable them respectively to have the different response. The electronic industry belongs to the manufacturing industry, this industry’s special characteristic is that the industry cycle is shorter, and it makes a profit or not mainly relies on its own business condition. The counter- finance industry carries on the service of deposit and loan, facing the market supply and demand namely for the overall market supply and demand, therefore it has bigger connection with macroeconomic variables.

(2) In view of Fisher equation examination, regardless of using adaptive expectation and rational expectation method, the empirical results are different from Fisher hypothesis. The important reason is that this article uses stock return rate as research target, it will involve the company’s factors more.

(3) Because of different industry characteristics, the variables which this article chooses have stronger effect on the financial industry, for example: Inflation rate, monetary policy, fiscal policy, and commercial paper rate. For electronic industry, past M1b growth rate as well as future net government expenditure have significant effects.

(4) The monetary policy has its continuous effect, the past monetary policy can continue to affect the nowadays stock return rate, but the past fiscal policy actually did not have this effect.

(5) In view of M1b and the M2 growth rate, the stock market is closely linked the M1b growth rate, but the M2 growth rate has a bigger influence to the financial industry.

第一章 緒論 10
1.1 研究動機 10
1.2 研究範圍與目的 14
1.3 研究架構 15
第二章 文獻回顧 17
2.1 理論文獻回顧 17
2.2 實證文獻回顧 21
第三章 實證模型的設立 26
3.1 實證模型建立 26
3.2 實證方法介紹 28
第四章 實證結果 32
4.1 變數處理與資料來源 32
4.2 單根檢定實證結果 36
4.3 相關係數分析 39
4.4 迴歸結果分析 42
4.5 小結 57
第五章 結論與建議 61
5.1 結論 61
5.2 建議 63
參考文獻 64

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