臺灣博碩士論文加值系統

本研究第一部份在探討實際、非預期與非預期的緊縮與寬鬆的貨幣政策對期貨報酬的影響，是否具有不對稱效果，而第二部分將進一步分析在不同類型投資人處於高情緒的情況下，貨幣政策對於報酬的影響。
研究發現，實際或非預期的貨幣政策對於期貨報酬影響性低，然而非預期寬鬆M2貨幣政策對於報酬有顯著正向影響；此外，當區分於不同景氣狀態時，在牛市中，實際與非預期的重貼現率對於報酬皆有顯著正向關聯，而非預期緊縮與寬鬆重貼現率則在熊市影響較顯著，具有不對稱效果。
此外，我們更進一步研究當各類型投資人在高情緒的情況下，貨幣政策對於報酬的影響。發現於實際、非預期與非預期的緊縮或寬鬆的貨幣政策中，幾乎在各類型投資人處於高情緒的情況下，貨幣政策會顯著影響期貨報酬，且以隔夜拆款利率影響為最。區分景氣狀態後發現在實際、非預期與非預期的緊縮或寬鬆貨幣政策中，不同類型投資人處於高情緒時，在不同景氣狀態下貨幣政策對於報酬呈現顯著性。

The paper analyzes the relationship between actual, unexpected and unexpected tight and easy monetary policy and TAIEX futures index returns at first and attempt to know whether there are asymmetric reactions. It makes a further effort to examine the correlation between monetary policy decisions and the returns when different types of investors’ sentiments are high.
The results show that the coefficients of actual or unexpected monetary policies are not statistically significant. However, the unexpected easy M2 monetary policy has significant and positive influence on the returns. Besides, when dividing the data into different regimes, we can discover the asymmetric reactions that actual and unexpected rediscount rate has significant and positive influence in bull market, and unexpected tight and easy monetary policy rediscount rate is more effective in bear market, indicating that there are asymmetric reactions in different regimes.
On whether there are different influences of the monetary policy decisions for each of the investors in high sentiment, it turns out that the actual, unexpected and unexpected tight and easy monetary policy decisions greatly affect the returns when investors’ sentiment are high, especially the overnight rate. Moreover, when data is divided into different regimes, in the actual, unexpected and unexpected tight and easy monetary policy, the relationship between monetary policies and rate of return are significant when each of the investors in high sentiment in different regimes.
 

1. Introduction 1
1.1 Motivation of the study 1
1.2 Objective of the study 4
1.3 Chapter outlines 6
2. Literature review 7
2.1 Empirical evidence on the efficiency of monetary policy 7
2.2 The asymmetric effect of monetary policy actions. 8
2.3 The asymmetric effect of monetary policy actions in different regimes. 10
2.4 Empirical evidence about the impact of trading volumes on the market returns relation. 11
2.5 The relationship between monetary policy, market returns and the investor sentiment. 12
2.6 The relationship between the equity index and equity index futures. 13
3. Data and Methodology 14
3.1 Data Description 14
3.1.1 Sample variable 14
3.1.2 Market regimes 15
3.1.3 Investor sentiment measures 16
3.2 Research Methodology 17
3.2.1 Unit root rest 17
3.2.2 Autoregressive Integrated Moving Average (ARIMA) Model 18
3.3 Hypotheses Development 20
4. Empirical Results 22
4.1 Unit root test 22
4.2 Effect of actual monetary policy decisions on TAIEX futures index returns. 22
4.3 Effect of the actual monetary policy decisions on TAIEX futures index returns in different market regimes. 24
4.4 Effect of unexpected monetary policy decisions on TAIEX futures index returns. 25
4.5 Effect of the unexpected monetary policy decisions on TAIEX futures index returns in different market regimes. 26
4.6 Effect of the unexpected tight and easy monetary policy decisions on TAIEX futures index returns. 27
4.7 Effect of the unexpected tight and easy monetary policy decisions on TAIEX futures index returns in different market regimes. 29
4.8 Effect of investor sentiment and the actual monetary policy on TAIEX futures index returns. 30
4.9 Effect of investor sentiment and the actual monetary policy on TAIEX futures index returns in different regimes. 36
4.10 Effect of investor sentiment and the unexpected monetary policy on TAIEX futures index returns. 42
4.11 Effect of investor sentiment and the unexpected monetary policy on TAIEX futures index returns in different regimes. 48
4.12 Effect of investor sentiment and the unexpected tight and easy monetary policy on TAIEX futures index returns. 53
4.13 Effect of investor sentiment and the unexpected tight and easy monetary policy on TAIEX futures index returns in different regimes. 62
4.14 Summary statistics of empirical result 65
5. Summary and conclusion 68
6. References 71

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