标题: 台湾股价与总体经济变数之动态关系:向量误差修正模型之应用
The Dynamic Relationship between Taiwan Stock Price and Macroeconomic Variabls: An Application of Vector Error Correction Model
作者: 郑聪彬
Chung, Tsong-Bin
尤克强, 洪志洋
Keh-Chiang Yu, Chih-Younf Hung
资讯管理研究所
关键字: 股价;总体经济变数;共积分析;向量误差修正模型;时间序列;计量经济;stock price;macroeconomic variables;cointegration analysis;vector error correction model;time series;econometrics
公开日期: 1995
摘要: 本研究检定总体经济变数的变动,对股市造成的影响. 根据表准股
价评价模式,股价的变动,乃是由于预期的现金流量与折现率所造成的.
Chen, Roll, and Ross(1986)指出经济状态变数<经由他们对未来股利与
折现率的影响,发挥系统影响力在股价的报酬上, 而对股价造成影响. 一
些相关财务研究指出, 汇率, 货币供给, 通货膨胀,实质产出, 长期政府
公债利率, 与短期货币市场利率, 将造成对股价的影响. 藉由建立一
包含七个内生变数的系统的向量误差修正模型, 我们发现台湾股市是由一
群六个总体经济变数共机在一起. 股价与总体经济变数的长期均衡的正负
向变动关系, 与所预期的财务论点一致, 再者,对于这个共机关系做稳定
性检定, 发现股价与六个经济变数中的任五个, 其均衡关系都是稳定的.
本文并将样本期间分成两个子期间, 其结果也是稳定的. 最后, 在找
出系统的共积向量数目之后, 本研究继续对于系统的弱外生性做检定,并
对这些共机关托Y检定一些结构化经济关系.检定的结果, 发现汇率与短期
利率对于整个系统而言是弱外生性的, 而对于共积关系所作的线性假设
检定,也发现利率并不存在共积空间中.
This paper test whether innovations in macroeconomic
variables are risks that are rewarded in the stock market.
According to the standard valuationmodel, the determinants of
stock price are the expected cask flow from the stock and the
required rate of return commensurate with the cash flow's
riskiness. Chen, Roll, and Ross(1986) demonstrate that economic
state variabls, via their effect on future dividends and the
discount rates, exertsystematic influence on stock returns.
Financial theory suggests that thefollowing macroeconomic
variables should systematically affect stock market returns:
exchange rate, inflation, money supply, real economic activity,
long-term government bond rate, and call money rate. By
Employing the vector error correction model(VECM) in a system of
seven equation, we find that Taiwan stock index is cointegrated
with a group od six macroeconomic variables. The sign of the
long-term elasticity coefficients of the macroeconomic variables
on stock prices generally support the hypothesized equilibrium
relation. Our findings are robust to different combinations of
5macroeconomic variables in six-dimension systems and two
subperiods. Lastly, having determining how many cointegration
vectors there are, we test for weak exogeneity and some
structural economic hypotheses. On the basisof these tests, both
exchange rate and short-term interest rate are weakly exogenous
to the system. The results obtained from testing for linear
hypotheses on cointegration relations suggest that the term
structure ofinterest rate doesn't exist in the cointegration
space.
URI: http://140.113.39.130/cdrfb3/record/nctu/#NT840396012
http://hdl.handle.net/11536/60543
显示于类别:Thesis