臺灣博碩士論文加值系統

本文之研究目的在於探討貨幣政策對於股票市場的之間的關係，貨幣政策是否可預測股票市場報酬率，而以台灣為研究對象。經過實證的結果後，可以發現到貨幣政策可以預測股票市場的報酬率；當中央銀行執行寬鬆貨幣政策時，股票市場會有較高的報酬率，採取緊縮貨幣政策時，股票市場會有較低的報酬率。此外各個產業之夏普指數在寬鬆貨幣政策期間皆為正，在緊縮貨幣政策期間則會為負值，投資者可依據貨幣政策環境的不同將投資組合重新配置。此外根據迴歸的結果我們可以發現到股票報酬率會與貨幣政策相關，不論名目報酬率或超額報酬率，代表重貼現率政策的虛擬變數DR與股票目報酬率皆呈現負向關係。明瞭貨幣政策與產業報酬率的關係後，利用市場擇時策略，在寬鬆政策期間投資對貨幣政策敏感的產業，而緊縮政策期間則投資無風險資產，觀測到此投資策略能夠獲得顯著的報酬，發現所得的報酬明顯優於無市場擇時策略。此外我們並做更進一步的研究，去探討貨幣政策期間，造成不同產業間產業報酬率差異的原因，我們檢驗產業特性(β值)與產業規模大小以及產業的市價淨值比是否為中介因素。實證結果發現貨幣政策對產業報酬率的影響會與產業特性(β值)與產業規模大小有正向關係，而與產業市價淨值比有負向關係。

目錄

第一章緒論 1
1.1研究動機 1
1.2研究目的 5
1.3研究限制 7
1.4研究流程 7

第二章.相關文獻回顧 9

第三章.研究方法與資料來源 16
3.1研究範圍 18
3.2樣本變數 18
3.2.1股票報酬率 18
3.2.2貨幣政策環境 20

第四章.實證結果與討論 23
貨幣政策環境V.S產業報酬率與產業報酬率波動 23
4.1名目報酬率………………………………………………………………..23
4.2超額報酬率………………………………………………………………..25
4.3市場調整率………………………………………………………………..25
4.4無母數檢定............................................…………………………………..27
4.5兩貨幣政策環境股票報酬績效衡量-夏普指數.......................…………. 28
4.6迴歸結果(貨幣政策V.S.產業報酬率)………...……………….…………29
4.7實證結果討論……………………………………………………………. 31
4.8迴歸結果(中介因素)...........................………...……………….…………34

第五章.市場擇時策略(Market Timing Strategy) 38

第六章.總結與結論 40

參考文獻 44

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