臺灣博碩士論文加值系統

It is wide believed that the economic growth is good to stockholders, but there still exist some arguments about the positive relationship between the economic growth and stock market returns. We prove that the economic growth has positive effect on the stock market returns. As a result, the stockholders could use the economic index to choose their target market to earn return. We find that the stock market could only reflect the short term condition of the country and could not reflect the long term accumulation of a country. That is, the national competitiveness could not reflect on the stock market return for stockholders in the long term. Otherwise, we also find that the capital formation and productivity are significantly positive to the stock market returns.
We use the real GDP growth rate as the economic growth proxy and the national competitiveness rank to measure the national competitiveness from IMD competitiveness center. The time period of data is from 1997~2010. Fifty countries included in our sample.

Table contents ...........................................IV
Figure content............................................IV
Chapter1 Introduction..................................... 1
Chapter2 Literature Review................................ 5
Chapter3 Hypothesis Development and Methodology.......... 11
3.1 Dependent variables ................................. 11
3.2 Independent variables................................ 11
3.3 Control variables ................................... 14
3.4 Methodology ..........................................16
Chapter4 Data Description and Empirical Result........... 23
4.1 Data collection procedure ........................... 23
4.2 Data analysis ....................................... 24
4.3 Empirical result .................................... 28
Chapter5 Conclusion...................................... 33
Reference................................................ 36
Appendix ................................................ 38

1. Anderson, C. W., L. G.-F. O, 2006, "Empirical Evidence on Capital Investment, Growth Options, and Security Returns" Journal of Finance 62, 171-192.
2. Banz, Rolf W., 1981, "The relationship between return and market value of common stocks" Journal of Financial Economics 9, 3-18.
3. Barro, R., Sala-i-Martin, X., 1992, "Convergence" Journal of Political Economy 100, 223-251.
4. Barro, R., Sala-i-Martin, X., 1995, "Economic Growth" McGraw Hill, New York.
5. Begg, 1999, " Cities and Competitiveness" Urban Studies 36. 5/6 : 795-809
6. Berk J. B., R. C. Green, V. Naik, 1999, " Optimal Investment, Growth Options, and Security Returns", Journal of Finance54, Issue 5, 1553-1607
7. Bhandari, 1988, "Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence", Journal of Finance 43, No. 2, 507-528
8. Bodurtha, J., James N., D. C. Cho, 1989, "Economic forces and the stock market: An international perspective" Global Finance Journal 1, 21-46.
9. Burton A. Weisbrod, 1962, "Education and Investment in Human Capital" Journal of Political Economy 70, No. 5, 106-123
10. Chen, N., R. Roll and S. Ross, 1986, "Economic Forces and the Stock Market." Journal of Business 59, 383-403.
11. Clark J. , Guy K., 1998, " Innovation and competitiveness: a review", Technology Analysis & Strategic Management, Vol 10, issue 3, 363-395
12. Eugene F. Fama and Kenneth R. French, 1992, "The Cross-Section of Expected Stock Returns", The Journal of Finance, Vol. 47, No. 2, 427-465
13. Fama E. and French K., 1993, "Common risk factors in the returns on stocks and bonds" Journal of Financial Economics, 3-56.
14. Faug`ere, C., J. V. Erlach, 2006, "The Equity Premium: Consistent with GDP Growth and Portfolio Insurance" The Financial Review 41, 547-564.
15. Garcia V. F. and Liu L., 1999, "macroeconomic determinant of stock market development" Journal of Applied Economics, Vol. II, No. 1, 29-59
16. Georghiou L. G., J. S. Metcalfe, "Evaluation of the impact of European community research programmes upon industrial competitiveness", R&D Management Volume 23, Issue 2, 161-170
17. Levine, R., Renelt, D., 1992, "A sensitivity analysis of cross-country growth regressions" The American Economic Review 82, 942-963.
18. Lu Zhang, 2005, " The Value Premium", Journal of Finance, Volume 60, Issue 1, 67-103
19. Mankiw, G., Romer, D., Weil, D., 1992, "A contribution to the empirics of economic growth." Quarterly Journal of Economics 107, 407-437.
20. Moretti, E., 2004, "Workers' Education, Spillovers, and Productivity: Evidence from Plant-Level ProductionFunctions." The American Economic Review 94 (3), 656-690.
21. Myoung-jae Lee, 2002, "Panel Data Econometrics, Methods of Moments and Limited Dependent Variables."
22. Nonneman, W., Vanhoudt, P., 1996, "A further augmentation of the Solow model and the empirics of economic growth for OECD countries." Quarterly Journal of Economics 111, 943-953.
23. Porter M.E., 1990, " The competitive advantage of nations: with a new introduction"
24. Rapkin, DP and J, R. Strand, 1995, "Competitiveness: useful concept, political slogan or dangerous obsession", International Journal of Political Economy Yearbook, 8, 1-20.
25. Ritter, J. R., 2005, "Economic Growth and Equity Returns" Pacific-Basin Finance Journal 13, 489-503.
26. Roger G. Ibbotson and Peng Chen, "Long-Run Stock Returns: Participating in the Real Economy", Financial Analysts Journal ,Vol. 59, No. 1: 88-98
27. 陳冠位, 2002, "Study on the Evaluation System of City Competitiveness." ,博士論文
28. 薛瀾, 1995, “從國際競爭力評估美國在全球競爭地位”，美歐月刊，pp.44-60。