臺灣博碩士論文加值系統

本研究主要探討未預期失業訊息在不同的景氣循環階段，對股價報酬以及股價報酬波動所產生之衝擊是否存在不對稱的現象。樣本期間為1981年1月至2005年12月，為捕捉未預期的失業訊息，茲以1981年1月至1993年6月為配適失業率模型之期間，將預期值和實際值的差異視為失業消息；而1993年7月至2005年12月則為真正探究該消息對股價報酬及股價報酬波動影響之研究期間。實證結果發現，景氣處於緊縮狀態時，未預期失業訊息會對宣告後一日的股價報酬帶來顯著的影響，同樣的失業消息，在景氣緊縮的時期為股價報酬帶來之負向衝擊，遠超過景氣擴張時期對報酬產生的正向影響；就失業消息與股價報酬波動的關係而言，不管是好消息或壞消息宣佈，在經濟緊縮期都會引起正向的波動，反觀經濟擴張期，則消息的公布反而會對股價報酬波動產生負向的衝擊。此外，無關景氣良窳，壞消息宣告所引起對波動之衝擊遠比好消息宣告帶來的影響幅度大且顯著。最後，單就壞消息對股價報酬波動的影響而言，在經濟景氣不佳時，失業消息釋放使得股價報酬波動的震盪加劇，經濟景氣佳時則股價報酬波動會變得較溫和。

Based on the different state of business cycle, this study investigated the impacts of unemployment surprises releases upon stock returns and stock return volatilities in the Taiwan Stock Weighted Index. In order to catch the unexpected news of unemployment, from January 1981 to June 1993, that requires a model to measure the anticipated and the unanticipated components of the unemployment. We find that on average, an announcement of unemployment surprises is good news for stock return during economic expansions and bad news during economic contractions. The magnitude of influence on stock returns during economic contractions is larger than that during expansions. With regard to stock return volatilities, no matter the good or bad news, we show that positive impact during constractions and negative impact during expansions. Whatever the state of business cycle, the shock of bad news on stock return volatilities is stronger than that of good news on stock return volatilities. Finally, in the light of bad news, the releasing of unemployment news causes an increase in stock return volatilities when state of economic is in bad shape, and causes a decause in volatilities during economic expansions.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 本文架構 4
第二章 文獻回顧 6
第一節 總體經濟變數與股票市場關聯性之文獻 6
第二節 未預期事件或訊息對金融市場衝擊之文獻 10
第三節 造成失業因素及預測失業率相關文獻 12
第四節 市場反應的不對稱性 15
第三章 研究方法 20
第一節 定態的時間序列與單根檢定 20
第二節 變數選取之方式 22
第三節 落遲分配模型 23
第四節 最適落後期之選取、序列相關與異質性檢定 27
第五節 一般化自我迴歸條件異質變異數模型 29
第六節 非對稱自我迴歸條件異質變異數模型 31
第四章 實證結果與分析 33
第一節 研究流程、資料來源與變數說明 33
第二節 敘述統計分析 41
第三節 單根檢定 44
第四節 失業率預測模型配適結果與平均失業率變動值之分配性質 46
第五節 失業消息對股價報酬之衝擊 57
第六節 失業消息對股價報酬波動之衝擊 63
第五章 結論與建議 69
第一節 結論 69
第二節 研究限制 71
第三節 研究建議 72
參考文獻 73
中文部分 73
英文部分 74
附錄 78

中文部分：
王甡（1995），「報酬衝擊對條件波動所造成之不對稱效果─台灣股票市場之實證分析」，證券市場發展季刊，第7卷第1期，頁125-161。
王啟豪（2003），股價報酬與總體經濟變數之關聯性─貝式馬可夫鏈蒙地卡羅之分析研究，清華大學經濟學研究所未出版碩士論文。
吳榮欣（1997），「從西方國家失業原因看台灣失業問題」，貿易週刊，第1726期，頁13-17。
吳慶忠（2005），金融與總體經濟變數對股票報酬之影響，中原大學國際貿易研究所未出版碩士論文。
林華德與王甡（1995），「台灣股市成交量對股價波動的影響1986-1994─GARCH修正模型的應用」，企銀季刊，第19卷第2期，頁40-58。
林建甫與張焯然（1997），「ARCH族模式的估計檢定與檢定的問題」，經濟論文叢刊，第24卷第3期，頁339-355。
胡愈寧、張宏淵與陳靜怡（2004），「整合時間序列資料與總體經濟變數於失業率預測之應用」，育達學院學報，第8期，頁139-170。
郭祥兆與李憲杰（1995），「一般化自我迴歸條件變異數模型參數之選定、估計與檢定─以台灣加權股價指數為例」，成功大學學報，第30期，頁53-71。
陳俊宏（1996），總體經濟因素與股價指數關聯性之分析，台灣大學商學研究所未出版碩士論文。
陳雯倩（1997），台灣地區失業率之影響因素評估，成功大學統計學研究所未出版碩士論文。
陳韻如（1999），盈餘與股價VAR模型之實證研究─台灣上市電子業，朝陽科技大學財務金融研究所未出版碩士論文。
張峻穎（2000），總體經濟變數與類股指數互動關聯之實證研究，國立台灣科技大學管理研究所未出版碩士論文。
曾仲森（2001），台灣都市勞動市場結構的探討，國立中正大學數學研究所未出版碩士論文。
黃勁豪（2001），台灣股票市場波動性與總體經濟波動性關係之研究，東海大學企業管理研究所未出版碩士論文。
黃偉芳（2001），台灣鄉鎮勞動市場結構的統計方析，國立中正大學數學研究所未出版碩士論文。
劉亞秋（1996），「台灣與香港股市成交量對股票報酬及其波動性關係之研究」，管理科學學報，第13卷第2期，頁331-352。
趙慕芬（2003），「灰預測GM(1, 1) 於台灣地區失業率之應用」，台灣銀行季刊，第54卷第4期，頁164-181。

英文部分：
Achla, M. and H. A. Shawky (1994), “Predictability of Stock Returns and Real Output,” Quarterly Review of Economics and Finance, 34, pp. 317-331.
Antoniou, A., P. Holmes, and R. Priestley (1998), “The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to News,” Journal of Futures Markets, 18(2), pp. 151-166.
Ang, A. and G. Bekaert (2001), “Stock Return Predictability: Is It There? ,” Working Paper, National Bureau of Economic Research.
Black, F. (1976), “Studies of Stock, Price Volatility Changes,” Proceedings of the American Statistical Association: Business and Economic Statistics Section, pp. 177-181.
Blanchard, O. J. (1981), “Output, the Stock Market, and Interest Rates,” American Economic Review, 71, pp. 132-143.
Balvers, R. J., T. F. Cosimano, and B. McDonald (1990), “Predicting Stock Returns in an Efficient Market,” Journal of Finance, 45, pp. 1109-1128.
Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedaticity,” Journal of Economietrics, 31, pp. 307-327.
Bollerslev, T., R. Chou, and K. Kroner (1992), “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics, 52, pp. 5-59.
Bessembinder, H. and P. J. Seguin (1993), “Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets,” Journal of Financial and Quantitative Analysis, 28, pp. 21-39.
Boyd, J. H., J. Hu, and R. Jagannathan (2005), “The Stock Market’s Reaction to Unemployment News: Why Bad News is Usually Good for Stocks,” Journal of Finance, 60, pp. 649-672.
Christie, A. (1982), “The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects,” Journal of Financial Economics, 10, pp. 407-432.
Cover, J. P. (1992), “Asymmetric Effects of Positive and Negative Money-Supply Shocks,” Quarterly Journal of Economics, 107, pp. 1261-1288.
Connolly, R. and C. Stivers (2005), “Macroeconomic News, Stock Turnover and Volatility Clustering in Daily Stock Return,” Journal of Financial Research, 28, pp. 235-259.
Dickey D. A. and W. A. Fuller (1979), “Distribution of the Estimations in Autoregressive Time Series with a Unit Root,” Journal of American Statistical Association, 74, pp. 427-431.
Dickey D. A. and W. A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 49, pp. 1057-1072.
Datta, S. and U. S. Dhillon (1993), “Bond and Stock Market Response to Unexpected Earnings Announcements,” Journal of Financial and Quantitative Analysis, 28, pp. 565-577.
Dolian, D. L. and D. A. Louton, (1995), “Business Cycle Asymmetry and the Stock Market,” The Quarterly Review of Economics and Finance, 35, pp. 451-465.
Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, pp. 987-1007.
Engle, R. F., V. Ng, and M. Rothschild (1990), “Asset Pricing with a Factor ARCH Covariance Structure Empirical Estimates for Treasury Bills,” Journal of Economietrics, 45, pp. 213-238.
Engle, R. F. and V. Ng (1993), “Measuring and Testing the Impact of News on Volatility,” Journal of Finance, 45, pp. 1749-1777.
Fama, E. F. and G. W. Schwert (1977), “Asset Returns and Inflation,” Journal of Financial Economics, 5, pp. 115-146.
Fama, E. F. (1981), “Stock Returns, Real Activity, Inflation and Money,” American Economic Review, 71, pp. 545-565.
Falk, B. (1986), “Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle,” Journal of Political Economy, 94, pp. 1096-1109.
Ferson, W. E. and J. J. Merrick (1987), “Non-Stationarity and Stage-of-the-Business-Cycle Effects in Consumption-Based Asset Pricing Relations,” Journal of Financial Economics, 18, pp. 127-146.
French, R. K., G. W. Schwert, and R. F. Stambaugh (1987), “Expected Stock Returns and Volatility,” Journal of Financial Economics, 19, pp. 3-29.
Fama, E. F., and K. R. French (1989), “Business Conditions and Expected Returns on Stocks and Bonds,” Journal of Financial Economics, 25, pp. 23-49.
Fama, E. F. (1990), “Stock Returns, Expected Returns, and Real Activity,” Journal of Finance, 45, pp. 1089-1108.
Funke, M. (1992), “Time-Series Forecasting of the German Unemployment Rate,” Journal of Forecasting, 11, pp. 111-125.
Flannery, M. J. and A. A. Protopapadakis (2002), “Macroeconomic Factors Do Influence Aggregate Stock Returns,” The Review of Financial Studies, 15, pp. 751-782.
Geske, R. and R. Roll (1983), “The Fiscal and Monetary Linkages between Stock Returns and Inflation,” Journal of Finance, 38, pp. 1-34.
Glosten, L., R. Jagannathan, and D. Runkle (1993), “On the Relation between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks,” Journal of Finance, 48, pp. 1779-1801.
Harris, E. S. and N. M. Zabka (1995), “The Employment Report and the Dollar,” Fedral Reserve Bank of New York, Current Issues in Economics and Finance, 1, 8, pp. 1-6.
Jensen, G. R., J. M. Mercer, and R. R. Johnson (1996), “Business Conditions, Monetary Policy, and Expected Security Returns,” Journal of Financial Economics, 40, pp. 213-237.
Kmenta, J. (1986), Elements of Econometrics. 2nd ed., New York: Macmillan Publishing Co.
Klein, M., B. Mizrach, and R. G. Murphy (1991), “Managing the Dollar Has the Plaza Agreement Mattered? ,” Journal of Money Credit and Banking, 23, pp. 103-132.
Kearney, C. and K. Daly (1998), “The Causes of Stock Market Volatility in Australia,” Applied Financial Economics, 8, pp. 597-605.
L. A. Gil-Alana (2001), “A Fractionally Integrated Exponential Model for UK Unemployment,” Journal of Forecasting, 20, pp. 329-340.
McQueen, G. and V. V. Roley (1993), “Stock Prices, News, and Business Condition,” Review of Financial Studies, 6, pp. 683-707.
Marathe, A. and H. Shawky (1994), “Predictability of Stock Returns and Real Output,” Quarterly Review of Economics and Finance, 34, pp. 317-331.
Neftci, S. N. (1984), “Are Economic Time Series Asymmetric Over the Business Cycle? ,” Journal of Political Economy, 92, pp. 307-328.
Nelson, D. (1990), “ARCH Models as Diffusion Approximations,” Journal of Econometrics, 45, pp. 7-38.
Nelson, D. (1991), “Conditional Heteroskedasticity in Asset Returns:A New Approach,” Econometrica, 59, pp. 347-370.
Nikkinen, J. and P. Sahlstrom (2001), “Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspective,” Multinational Finance Journal, 5, pp.129-148.
Orphanides, A. (1992), “When Good News is Bad News: Macroeconomic News and the Stock Market,” Working Paper, Board of Governors of the Federal Reserve System.
Pearce, D. K. and V. V. Roley (1983), “The Reaction of Stock Prices to Unanticipated Changes in Money,” Journal of Finance, 38, pp. 1323-1333.
Pearce, D. K. and V. V. Roley (1985), “Stock Prices and Economic News,” Journal of Business, 58, pp. 49-67.
Rothem, D. F. (1991), “Further Evidence on the Asymmetric Behavior of Unemployment Rates over the Business Cycle,” Journal of Macroeconomics, 13, pp. 291-298.
Schwert, G. W. (1990a), “Stock Market Volatility,” Financial Analyst Journal, 46, pp. 23-34.
Schwert, G. W. (1990b), “Stock Volatility and the Crash of 87,” Review of Financial Studies, 3, pp. 77-102.
Sill, D. K. (1993), “Predicting Stock Market Volatility,” Business Review Federal Reserve Bank of Philadelphia, pp. 15-27.
Silvapulle, P. and Silvapulle, M. J. (1999a), “Business Cycle Asymmetry and the Stock Market,” Applied Financial Economics, 9, pp.109-115.
Silvapulle, P. and Silvapulle, M. J. (1999b), “Testing for Asymmetry in the Relationship between the Malaysian Business Cycle and the Stock Market,” Quarterly Journal of Business and Economics, 38, pp.16-27.
Siklos, P. and B. Kwok (1999), “Stock Returns and Inflation: A New Test of Competing Hypotheses,” Applied Financial Economics, 9, pp. 567-581.
Veronesi, P. (1999), “Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model,” Review of Financial Studies, 12, pp.975-1007.
Woolridge, J. R. (1983), “Dividend Changes and Security Prices,” Journal of Finance, 38, pp. 1607-1615.