台灣上市公司各產業之類股報酬型態分析─亞洲金融風暴期間之驗證(1996.12-1999.12)

Abstract

一九八七年十月，美國股市大崩盤造成世界各主要股市之連鎖反應，此現象迅速影響衍生性證券市場及世界上其他證券市場，同樣對我國證券市場造成嚴重影響。一九九八年十月，我國股市幾近崩盤，加權股價指數由10,200點跌至5,421點，近因究係為中國大陸導彈威脅或亞洲金融風暴之影響，遠因是否為股價過度反應真實價值，則為各方爭執。 本研究則透過各種不同的文獻探討，歸納出可能影響證券市場之因素，用以探討臺灣地區股票上市公司各產業類股平均每股市值、平均每股盈餘、本益比、股價淨值比、股利收益率（殖利率）及總市值占國內生產毛額，在亞洲金融風暴期間對各產業類股發行量加權股價指數之影響關係。 本研究以95﹪的信賴水準下，就每月底各產業類股中之平均每股市值、平均每股盈餘、本益比、股價淨值比、股利收益率及產業類股市值占國內生產毛額值等變數對全體上市公司及各產業類股每月底發行量加權平均股價指數間關係，經多元迴歸分析後產生的結果顯示，影響股市六大因素中，以股價淨值比最具顯著關係，其次為平均每股盈餘及平均每股市值，再次為本益比，而股利收益率及產業類股市值占國內生產毛額值則分別僅有與四個及三個產業類股有顯著關係，另顯示總體經濟對股市影響是全面性的，該值應具有高度參考價值，而為考量各產業類股之獲利能力及資本結構亦為對股市影響深具參考價值，而股利發放情形，對股市影響並不顯著。

The last U.S. stock market crash occurred in October 1987 had triggered major world bourses to tumble in a domino effect, a phenomenon that also quickly swept across the derivative product markers and other global securities markets, sending rippling effects that also severely crippled the listings at Taiwan Stock Exchange. Another financial crisis loomed in October of 1998 sent the TAIEX plummeting, where the weighted index had taken a free-fall from its high of 10,200 points straight down to bottom at an all-time low of 5,421 points, can this be the immediate cause of the missile threats by mainland Chinese authorities or the ripple effects of the Asian financial crisis, or a long-term effect of over-speculated stock valuations, something that has been much debated by many watchers. The study attempts to examine various types of publications in an effort to conclude factors that are likely to impact the stock markets, which can be used to examine the correlation’s among the average market value per share, average earnings per share, price-earnings ratio, share-net value ratio, dividend return rate or yield, and contribution of share listings to the gross domestic product on shares listed by public-held firms in Taiwan against the fluctuations of the weighted stock index on various types of local share listings during the particular period hit by the Asian financial woes. The study takes to a 95% reliability level in evaluating the correlation’s of the variables, including the month-end industrial average market value per share, average earnings per share, price-earnings ratio, share-net value ratio, dividend return rate and industrial share market value to GDP against the fluctuations to weighted share index on the total shares issued at each month’s end by public-listed companies. And findings derived from the multiple reversal analysis indicate that of the six major factors that impact the stock markets, share net valuation has the most onerous correlation, followed by earnings per share and market value per share, trailed by price-earnings ratio, whereas dividend return rate and share listing valuation to GDP are merely linked to four and three share listings by industry respectively. Moreover, what has been indicated also shows that the overall economy plays a key role to the impacts felt by the stock markets, hence the ratings do offer valuable reference points, yet noteworthy is that the state of dividend distribution has virtually very little impact to the stock markets.