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研究生:徐慧明
研究生(外文):Hsu Huei-Ming
論文名稱:存款準備率與重貼現率變動對金融類股報酬率之影響--介入模型之應用
論文名稱(外文):The Influence of Monetary Policy on the Return of the Financial Sector Stocks
指導教授:古永嘉古永嘉引用關係
指導教授(外文):Koo Yeng-Chia
學位類別:碩士
校院名稱:國立中興大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
畢業學年度:87
語文別:中文
論文頁數:82
中文關鍵詞:存款準備率重貼現率貨幣政策金融類股股票報酬率介入模式轉換函數模式
外文關鍵詞:Reserve RequirementRediscount RateMonetary PolicyFinancial Sector IndexRate of Stock ReturnIntervention ModelTransfer Function Model
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論文提要內容: 證券市場為一國之「經濟櫥窗」,股市之榮枯與該國總體經濟之發展息息相關,近十幾年來台灣股市蓬勃發展,股市的需求日益強烈,有鑑於政府部門在總體經濟中扮演影響股市之角色越來越重要,因此有關貨幣政策對股市報酬率影響之議題,十分值得探討。 本研究以金融類股為研究對象,以市場加權股價指數及商業本票利率為控制變數,並擬定貨幣政策中之存款準備率與重貼現率為介入變數,運用介入模式分析存款準備率與重貼現率變動時,對金融類股報酬率之影響。 本研究實證結果得到以下結論:一、存款準備率下降 當存款準備率下降時,在訊息宣告後極短期內(當日及次一日)股價會有明顯波動,而往往因當日反應過度呈現超買使股價上漲,次日即調整過量買單立刻賣出,而使股價下跌。在訊息宣告後較長期間內(次二日至次六日),則逐日回調持續賣出股票,使股價逐漸回到原均衡水準。投資人可根據存款準備率下降之訊息於極短期內(當日及次一日),進行買賣獲得超額報酬。二、重貼現率上升 重貼現率上升時,股價呈現延滯下跌,且隨著時間的累積下跌情況趨於顯著。即在訊息宣告後極短期內(當日至次二日)股價並無明顯波動,但在訊息宣告後較長期間內(次三日至次六日),股價逐日下跌而移動至另一均衡水準。投資人可根據重貼現率上升之訊息宣告之後較長期間時段(次三日至次六日),進行買賣獲得超額報酬。三、重貼現率下降 重貼現率下降時,僅在訊息宣告後之次二日,股價會有明顯上漲,其他期間股價並沒有顯著波動情形,整體而言重貼現率下降對股價的影響,比存款準備率下降或重貼現率上升對股價的影響小。 綜上所述,存款準備率下降在極短期內,對股價產生立即之影響,但重貼現率上升時,股價則呈現延滯下跌,且隨著時間的累積下跌情況趨於顯著。這隱含存款準備率影響信用乘數程度大,而重貼現率變動主要為政策宣示效果。投資人可參考存款準備率與重貼現率變動之訊息,加上其他技術性及基本面共同分析,作為投資風險之評估來進行操作,以獲得超額報酬。
Security market is "Window of a Nation''s Economy" The performance of the security market is closely associated with the economy. Over the past few decades, Taiwan security market has been developing prosperously.As the role government agency plays is getting more and more important on the development of security market. This paper examines the influence of monetary policy on the return of the financial sector stocks.Applying intervention model to examine the effect of reserve requirement or rediscount rate changes on the return of Financial Sector Stocks, this study focuses on financial sector stocks. Controllable variables are weighted average index and commercial paper rate. Intervening variables are reserve requirement and rediscount rate.The findings of this empirical research:1. Reserve requirement downWithin short time span after the announcement of reserve requirement down(on the very day or the next day), the stock price fluctuates remarkably. On the very day of the announcement, the market over-reacts and appears excess buying. On the next day, the market adjusts and appear excess selling which makes stock price down. In longer time span after the announcement(two days till six days later), the market will move towards original equilibrium as a result of constant offset selling. Investors may gain abnormal return by trading according to the information of the reserve requirement down on the very day and the next day.2. Rediscount rate upStock price lag slide becomes substantial as time runs. Within short time span(on the very day till the next day), stock price fluctuates insignificantly. However, in longer time span(three days till six days later), the stock price goes down and move towards another equilibrium. Investors may gain abnormal return by trading in the longer time span after the announcement of rediscount rate up, three days till six days later.3. Rediscount rate downStock price rise significantly one day after the announcement of the rediscount rate down. In the rest of tested time span, stock price fluctuates insignificantly. Overall, the rediscount rate down has less influence on the stock price than reserve requirement or rediscount rate up.To sum up, reserve requirement down has instant influence on the stock price, but rediscount rate up has lag-slide effect which gets significant as time runs on the stock price. This suggests that the reserve requirement influences the multiplier severely but the rediscount rate has only policy effect. To gain abnormal return, investors may trade according to the investment risk evaluation which is based on the information of reserve requirement and rediscount changes and some other technical and fundamental analysis.
目錄目錄…………….I表次…………….III圖次…………….IV第一章 緒論1第一節 研究背景與動機1第二節 研究目的4第三節 研究範圍4第二章 相關理論與文獻探討6第一節 股票價格評估的動態性6第二節 股價變動相關理論9第三節 存款準備率與重貼現率對股票市場之影響12第四節 實證文獻回顧15第三章 研究方法20第一節 觀念性架構21第二節 研究流程22第三節 單根檢定23第四節 模型的介紹27第五節 轉換函數模型與介入模型之推導28第六節 參數估計與假設檢定34第七節 模式診斷37第八節 資料說明及來源41第四章 實證結果與分析43第一節 恆定性檢定43第二節 參數之估計與模式之診斷44第三節 假設檢定59第四節 探討與分析70第五章 結論與建議74第一節 結論74第二節 研究限制76第三節 建議77參考文獻78表次表2-1貨幣政策變動實證文獻摘要表19表3-1資料來源41表3-2研究期間我國存款準備率調整日期表42表3-3研究期間我國重貼現率調整日期表42表4-1市場指數、利率與個別股票報酬率數列恆定性檢定44表4-2-1介入模型之實證結果(續)49表4-2-2介入模型之實證結果(續)50表4-2-3介入模型之實證結果(續)51表4-2-4介入模型之實證結果(續)52表4-2-5介入模型之實證結果(續)53表4-2-6介入模型之實證結果(續)54表4-2-7介入模型之實證結果(續)55表4-2-8介入模型之實證結果(續)56表4-2-9介入模型之實證結果(續)57表4-2-10介入模型之實證結果58表4-3-1重貼現率上升異常報酬檢定表60表4-3-2重貼現率下降異常報酬檢定表61表4-3-3存款準備率下降異常報酬檢定表62表4-4-1重貼現率上升平均異常報酬檢定表64表4-4-2重貼現率下降平均異常報酬檢定表65表4-4-3存款準備率下降平均異常報酬檢定表66表4-5-1重貼現率上升累積報酬檢定表67表4-5-2重貼現率下降累積報酬檢定表68表4-5-3存款準備率下降累積報酬檢定表69圖次圖1-1MIT學派之貨幣傳遞途徑1圖1-2貨幣政策工具類型3圖1-3論文架構圖5圖2-1證券評估流程圖6圖2-2證券動態之評估流程圖7圖2-3價格的隨機波動假設圖9圖3-1論文觀念性架構圖21圖3-2研究流程圖22圖3-3時點動態反應效果圖32圖3-4時期動態反應效果圖33圖4-1重貼現率上升累積報酬走勢圖67圖4-2重貼現率下降累積報酬走勢圖68圖4-3存款準備率下降累積報酬走勢圖69
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