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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/106821
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/106821

    Title: 貨幣政策與不同類型投資人情緒對台股期貨報酬的影響
    The effect of monetary policy and different types of investors sentiment on TAIEX futures index returns
    Authors: 盧建勳
    Lu, Chien Hsun
    Contributors: 周冠男
    Lu, Chien Hsun
    Keywords: 貨幣政策
    Monetary policy
    Future index returns
    Trading volume
    Date: 2016
    Issue Date: 2017-03-01 17:04:02 (UTC+8)
    Abstract: 本研究第一部份在探討實際、非預期與非預期的緊縮與寬鬆的貨幣政策對期貨報酬的影響,是否具有不對稱效果,而第二部分將進一步分析在不同類型投資人處於高情緒的情況下,貨幣政策對於報酬的影響。
    The paper analyzes the relationship between actual, unexpected and unexpected tight and easy monetary policy and TAIEX futures index returns at first and attempt to know whether there are asymmetric reactions. It makes a further effort to examine the correlation between monetary policy decisions and the returns when different types of investors’ sentiments are high.
    The results show that the coefficients of actual or unexpected monetary policies are not statistically significant. However, the unexpected easy M2 monetary policy has significant and positive influence on the returns. Besides, when dividing the data into different regimes, we can discover the asymmetric reactions that actual and unexpected rediscount rate has significant and positive influence in bull market, and unexpected tight and easy monetary policy rediscount rate is more effective in bear market, indicating that there are asymmetric reactions in different regimes.
    On whether there are different influences of the monetary policy decisions for each of the investors in high sentiment, it turns out that the actual, unexpected and unexpected tight and easy monetary policy decisions greatly affect the returns when investors’ sentiment are high, especially the overnight rate. Moreover, when data is divided into different regimes, in the actual, unexpected and unexpected tight and easy monetary policy, the relationship between monetary policies and rate of return are significant when each of the investors in high sentiment in different regimes.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103357016
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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