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系統識別號 U0026-1607201412510800
論文名稱(中文) 中國的政策改革如何影響股票市場的投資? 以深圳股票市場為例
論文名稱(英文) How China's economic reforms will affect trends in the domestic stock market: Evidence from the Shenzhen stock market.
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 103
研究生(中文) 謝文凱
研究生(英文) Wen-Kai Hsieh
學號 R46011298
學位類別 碩士
語文別 英文
論文頁數 58頁
口試委員 指導教授-康信鴻
口試委員-蔡惠婷
口試委員-張紹基
口試委員-傅英芬
口試委員-鄭美幸
中文關鍵字 貨幣政策  財政政策  股票市場  股票成交量 
英文關鍵字 The monetary supply  Stock Market  Government Policy  The Trading Volume 
學科別分類
中文摘要 本研究探討美國、日本貨幣供給、中國的財政政策、貨幣政策與近期事件對中國股票市場的影響,並探討中國政策、量化寬鬆與安倍經濟哪些為中國股票市場的影響因素。本研究採用OLS法進行迴歸分析,被解釋變數為深圳股票市場每日的成交量,而解釋變數為一年期貸款利率、法定準備金率、匯率、政府支出、政府收入、中國貨幣供給(M2)、美國貨幣供給(M2)、日本貨幣供給(M2)、上海銀行間拆借利率,虛擬變數則有三中全會的舉行、中國開放台港澳居民投資股市、IPO與上海自由貿易區的設立。實證發現匯率、貨幣政策、銀行同業間拆款利率對於股票市場有顯著的負面影響,由於目前錢荒下由於資金不正確的運用,造成市場上資金的流動性不足,即使政府增加貨幣供給補足市場的流動性,只會導致資金流向更高槓桿的運用方式,導致無法有效刺激股票市場。政府稅收、上海自由貿易區概念的規劃對於股票市場有正面的影響,亦即政府只要進行稅收改革,也許能夠吸引更多企業設立與外商到中國投資。上海自由貿易區的規劃不僅帶動了其他自由貿易區的興起,也能帶動鄰近的區域發展,也將產生國際貿易與外商投資的吸引力。而美國、日本的貨幣供給對於中國股票市場的為正向影響,但不顯著,表示當美國、日本經濟轉好而分別將量化寬鬆、安倍經濟減碼時,全球資金的流動長期下來對中國股市將不會有顯著的衝擊。
英文摘要 This research discusses the impact on the trading volume of the Shenzhen Stock Market under United States Monetary Supply, Japanese Monetary Supply, Chinese Fiscal and Monetary Policy and recent events in China. It also investigates whether the Chinese Fiscal and Monetary policy, Quantitative easing, or Abenomics are the factors that influence the trading volume of the Shenzhen stock market.
In this study, ordinary least squares is used for the regression analysis. The dependent variable is the daily trading volume of the Shenzhen Stock Exchange. The independent variables are government revenue, government spending, exchange rate, benchmark one - year loan rate, required deposit reserve ratio,Chinese money supply M2, U.S. money supply M2, Japanese money supply M2, and the Shanghai Interbank Offered Rate. The dummy variables, which are policy for limitation in stock investment, China Pilot Free Trade Zone, initial public offerings, and the 3rd Plenary Session of the 18th CPC Central Committee.
It was found that the exchange rates, the monetary policy, and the Shanghai Interbank Offered Rate have significant negative impacts on trading volume. The findings explain why during the cash crunch on China’s money storage, misuse of funds caused insufficient liquidity in the market fund. Therefore, even though the government increased the monetary supply, it still could not stimulate the stock market efficiently. The planning on government taxes and the China (Shanghai) Pilot Free Trade Zone have been found to have a positive impact on trading volume, which means that as long as there are reformations on tax policies, this may attract more enterprises and foreigners to invest in China. The China (Shanghai) Pilot Free Trade Zone has not only increased the development in nearby districts and other free trade zones, but also has generated international trade and attracted foreign investment. The monetary supply from the U.S. and Japan have been found to have a positive effect on the trading volume in China (PRC) but not at a significant level. The economic indication is that regardless of whether the no matter there are increasing or decreasing in the future QE or Abenomics, there it will be would hard difficult to affect the economic structure of China (PRC).
論文目次 Table of contents

Chapter 1 Introduction............1
1.1 Research background..........1
1.2 Research motivation and Objectives.........5
1.3 Research process...........7
Chapter 2 Literature Review and Research Direction.......8
2.1 The relationship between fiscal policy and stock market......8
2.2 The relationship between monetary policy and the stock market....10
2.3 Comparison of literature and the research direction.......15
Chapter 3 Main Event..........17
3.1 The related literature of the impact on the stock market......17
3.2 Variables in the recent stock market........19
Chapter 4 Research Method.........24
4.1 Test method...........24
4.2 Model Modification..........28
4.3 Research Variables and Data.........29
4.3.1 Dependent variable: the daily trading volume of the Shenzhen stock market..29
4.3.2 Independent Variable or Explanatory Variable......29
4.3.3 Dummy Variable...........33
4.3.4 Tables of data sources.........35
4.4 Regression model and the definition of variables......36
4.4.1 Establishment of regression model........36
Chapter 5 The Empirical Results.........37
5.1 Unit root test..........37
5.2 Preliminary regression model........38
5.3 Multicollinearity test..........39
5.4 Heteroskedasticity test..........40
5.5 Autocorrelation test..........41
5.6 Empirical results...........43
Chapter 6 Conclusions............47
6.1 The comparison of empirical results.........47
6.2 Investment indications...........52
6.3 The research limitations and future directions........54
Reference.............55

List of Tables and Figures

Table 1: World GDP Ranking (from 1970 to 1990)......2
Table 2: World GDP Ranking (from 2000 to 2013)......3
Table 3: % of World Stock Market Cap by Country.......3
Table 4: Statistical ranking by the end of 2011 the global exchange.....4
Table 5: Largest exchange by EOB number of trades in 2013......4
Figure 1: Research process.........7
Figure 2: The Model Modification Flowchart........28
Table 6: Explanation of the Variables and Data Sources in this study....35
Table 7: Unit root test..........37
Table 8: Initial regression model..........38
Table 9: VIF test...........39
Table 10: VIF Test(without exchange rate).......40
Table 11: Heteroskedasticity test.........40
Table 12: Final Regression Model.........42
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