臺灣博碩士論文加值系統

本研究旨在探討台灣的貨幣政策指標對股票超額報酬之影響，並衡量中央銀行在採行不同的貨幣政策環境之下，是否會改變貨幣政策指標與股票超額報酬之關係？本研究嘗試將三種貨幣政策工具─公開市場操作、重貼現政策、準備金政策各設定為貨幣政策環境虛擬變數，透過簡單迴歸模型與VAR 模型探討貨幣政策指標對股票超額報酬之影響，並利用預測誤差變異數分解衡量貨幣政策指標對股票超額報酬變異的解釋能力。
研究結果發現：金融業隔夜拆款利率與股票超額報酬有顯著負相關。若以公開市場操作或重貼現率政策為貨幣政策環境的代理變數時，無論是在緊縮還是寬鬆的政策環境下，各種貨幣政策指標對股票超額報酬並沒有顯著的影響；若以準備金政策為貨幣政策環境的代理變數時，則準備貨幣成長率與準備金成長率對股票超額報酬具有負向的影響，在緊縮貨幣政策環境下將被顯著地抵銷。
而當央行採取公開市場操作與準備金政策為貨幣政策環境時，我國屬進出口貿易的產業類股較易受貨幣政策的影響；金融隔夜拆款利率（FF）則在重貼現政策與準備金政策裡，對玻璃陶瓷類、水泥窯製類、水泥類、紡織纖維類、塑膠類、塑膠化工類等傳產類股有相對較明顯的解釋力；然而貨幣供給成長率（dM1B）則在準備金政策的環境下，反而對該傳產類股並無顯著相關。

This study investigates the impacts of monetary policy indicators on the excess return of stock. We discuss whether this relationship will change under different monetary policy environment. Observing the three monetary policy tools manipulated
by the central bank respectively, we set the dummy variable to identify the central bank’s overall policy stance. To provide robustness, both a generalized least squares regression-based approach and variance decompositions from a VAR-based approach are utilized to analyze this issue.
The results indicate the negative relationship between Interbank Call Loan Rates-Overnight and the excess return of stock. Using open market operation or rediscount policy as the dummy variable to proxy the central bank’s policy stance, this
relationship is not different between strict and broad policy stances. However, using reserve requirement policy as the dummy variable of the central bank’s policy stance, the growth rates of monetary base and reserves both have negative impacts on the excess return of stock. This relationship will be destroyed when the central bank’s policy is restrictive.
For the analysis of Taiwan’s industry, the stock returns of those industries relevant to exports and imports are influenced by the monetary policy indicators when the open market operation or reserve requirements policy are used as the policy stance. With the Interbank Call Loan Rates as the monetary indicator under the rediscount policy stance, the industries that appear to be most sensitive to changes in monetary conditions are glass, cement kiln, cement, spin and weave, plastics, chemicals. In contrast, with the growth rate of money supply as the monetary indicator under the reserve requirements policy stance, these industries show the least sensitivity to changes in monetary conditions.

論文合格同意書
誌謝........................................................................I
中文摘要...................................................................II
英文摘要..................................................................III
目次.......................................................................IV
表次....................................................................... V
圖次.......................................................................VI
第一章 緒論.................................................................1
第一節 研究背景與動機...................................................... 1
第二節 研究目的............................................................ 6
第三節 研究方法與步驟.......................................................6
第二章 文獻探討..........................................................................8
第一節 貨幣政策對股票市場的影響.............................................8
第二節 貨幣政策指標的建立：單一國家時間序列的研究......................... 11
第三節 貨幣政策指標的建立：跨國性追蹤資料研究..............................16
第四節 影響股市報酬的其他因素之研究....................................... 18
第五節 產業分析............................................................20
第三章 研究方法............................................................22
第一節 單根檢定........................................................... 22
第二節 最適落後項期數選擇與序列相關檢定方法................................25
第三節 迴歸模型........................................................... 28
第四節 向量自我迴歸模型（VAR） ........................................... 30
第四章 實證結果與分析......................................................35
第一節 資料敘述........................................................... 35
第二節 時間數列定態性檢定................................................. 47
第三節 簡單迴歸實證結果................................................... 49
第四節 多元迴歸實證結果................................................... 55
第五節 產業分析........................................................... 71
第五章 結論與建議......................................................... 89
第一節 結論............................................................... 89
第二節 建議............................................................... 91
參考文獻.................................................................. 92

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