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系統識別號 U0026-1307201611101900
論文名稱(中文) 歐洲實行負利率對於台灣與亞洲股市連動關係的影響
論文名稱(英文) The Transmission of EU Monetary Policy to Asian Stock Markets: A Case Study of Negative Interest Rates as an Unconventional Monetary Policy
校院名稱 成功大學
系所名稱(中) 企業管理學系
系所名稱(英) Department of Business Administration
學年度 104
學期 2
出版年 105
研究生(中文) 林鈺軒
研究生(英文) Yu-Xuan Lin
學號 R46031426
學位類別 碩士
語文別 中文
論文頁數 65頁
口試委員 指導教授-莊雙喜
口試委員-康信鴻
口試委員-周信輝
中文關鍵字 負利率  台灣股市  總體經濟變數  國際股市連動 
英文關鍵字 negative interest rate  international transmission  stock market  macroeconomic variables 
學科別分類
中文摘要 2008年金融海嘯以後,許多國家為了避免陷入衰退相繼實施非傳統的貨幣政策,世界最早進行負利率實驗的國家為瑞典,在2009-2010年曾經將其利率調為負值;在2012年7月丹麥央行首度實施負利率政策,之後瑞士和瑞典以及歐洲中央銀行也在2014年陸續跟進實施負利率政策。歐洲的寬鬆政策貨幣會造成外溢效果,因此本研究想要研究歐洲實行負利率會對於台灣股市產生的影響效果,並研究歐洲負利率背景下台股與亞股的連動的關係。
本研究以E-views 8進行實證研究,資料型態為月資料,時間從2009年1月至2016年1月為止,並加入虛擬變數以區分政策前後期以探求是否具有結構性的改變。
在歐洲各國陸續實施負利率後,台灣股市的波動來自國際股市的影響有顯著提高,台灣大盤加權指數與歐洲股市還有上海A股為顯著正向影響,這顯示出台灣與國際股市的連動較為明顯,這也說明投資者可以藉由觀察國際股市連動的關係來預測台灣股市的走勢,同時歐洲短期利率與歐洲M2貨幣供給雖然沒有對於台股有顯著的影響,但是實施負利率後歐洲股市與台灣股市產生正向顯著影響,代表歐股的報酬會溢出到台灣股市。
由整體期間的迴歸模型也可以發現台灣短期利率對於政策前期台灣股市有顯著的負向影響,但是在政策實施之後台灣短期利率對於股市的影響並不顯著,利率對於股價具有顯著的負向影響,這表示投資者可以利用利率的走勢來預測長期台灣股市的走勢,此外美元兌新台幣匯率,雖然在短期內具有顯著的負向影響,亦即新台幣貶值對於股價具有負面的效應,但是在長期並沒有顯著的關係,可以說明利用匯率預測台灣股市只在政策實施前具有短期的效果。
英文摘要 Since the global financial crisis of 2007~2008, many countries have implemented unconventional monetary policies, one of which is the use of negative nominal interest rates. Therefore, in this study we want to investigate the implementation of this unconventional policy, and thus examine how the negative interest rates in Europe have impacted Taiwan’s stock market. We use a multiple regression model to analyze the macroeconomic variables and stock markets. Our data include monthly data, and the time period ranges from January 2009 to January 2016.
Our results show that for this whole period of time European monetary policy did not directly influence the Taiwanese stock market, but may have affected it through linkages and the interdependence of stock markets. In addition, SHA, STOXX, and KOSPI have positive relations with the Taiwanese stock market, but the other stock markets do not have a significantly impact on the Taiwanese stock market. Among the domestic macroeconomic variables, CPI and exchange rate only had negative impacts on the Taiwanese stock market before the policy, and short-run interest rates are negatively correlated with the market in the long run.
論文目次 中文摘要 I
EXTENDED ABSTRACT II
致謝 VI
目錄 VII
表目錄 IX
圖目錄 XI
第一章 諸論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第四節 研究流程 5
第二章 文獻回顧與探討 6
第一節 政府政策對於預期股價的影響 6
第二節 相關股價理論 11
第三節 總體經濟變數對於股價的影響 14
第四節 不同市場之間的連動關係 16
第三章 研究方法 18
第一節 研究流程與方法 18
第二節 研究來源與變數選取 24
第三節 研究對象及研究期間 27
第四章 實證研究結果 29
第一節 單根檢定結果 29
第二節 建立初步迴歸模型 34
第三節 共線性檢定結果 41
第四節 鳥巢檢定結果 44
第五節 異質變異檢定結果 47
第六節 序列相關檢定結果 48
第七節 加入虛擬變數 49
第八節 最終迴歸模型 51
第五章 研究結論及建議 56
第一節 研究結論及建議 56
第二節 管理意涵 59
第三節 研究限制 60
第六章 參考文獻 61
中文文獻 61
外文文獻 61
參考網站 65

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