Loading...
|
Please use this identifier to cite or link to this item:
https://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
盧建勳
Lu, Chien Hsun |
| Keywords: | 貨幣政策
期貨報酬
情緒
成交量
Monetary policy
Future index returns
Sentiment
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。
研究發現，實際或非預期的貨幣政策對於期貨報酬影響性低，然而非預期寬鬆M2貨幣政策對於報酬有顯著正向影響；此外，當區分於不同景氣狀態時，在牛市中，實際與非預期的重貼現率對於報酬皆有顯著正向關聯，而非預期緊縮與寬鬆重貼現率則在熊市影響較顯著，具有不對稱效果。
此外，我們更進一步研究當各類型投資人在高情緒的情況下，貨幣政策對於報酬的影響。發現於實際、非預期與非預期的緊縮或寬鬆的貨幣政策中，幾乎在各類型投資人處於高情緒的情況下，貨幣政策會顯著影響期貨報酬，且以隔夜拆款利率影響為最。區分景氣狀態後發現在實際、非預期與非預期的緊縮或寬鬆貨幣政策中，不同類型投資人處於高情緒時，在不同景氣狀態下貨幣政策對於報酬呈現顯著性。
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. |
| Reference: | 1.Chinese Literatures
宋妍儒 (2013)，「利率變動對股票市場的影響」，銘傳大學財務金融學系研究所碩士論文。
汪琬甄 (2015)，「貨幣政策在牛熊市下對台灣股市場之不對稱性影響」，中正大學國際經濟學系研究所碩士論文。
邱建良，李命志與李玉玲，(2002)。「貨幣政策對股價報酬之不對稱效果」。華岡經濟論叢。第2卷第1期，29-50。
張傳盛 (2009)，「多空期間投資人情緒與台股期貨報酬關係」，高雄第一科技大學金融學系研究所碩士論文。
張佳欣 (2015)，「機構投資人情緒對期貨市場報酬之影響」，銘傳大學財務金融學系研究所碩士論文。
詹場，胡星陽，呂朝元，徐崇閔，(2011)。「市場狀態與投資人對盈餘訊息之反應」。經濟論文叢刊，第39卷第4期，463-510。
歐瓊鎂 (2013)，「台灣非預期貨幣政策對股票報酬率之不對稱影響─馬可夫轉換模型之應用」，台北大學經濟學系研究所碩士論文。
蔡怡純 (2009)，「台股指數與投資人情緒：現貨與期貨市場比較」，台灣期貨與衍生性商品學刊，第9期，76-95。
羅玟甄 (2011)，「股票成交量與報酬率關係之研究-從投資人情緒觀點探討」，淡江大學管理科學系研究所博士論文。
2.English Literatures
Baker, M. and Wurgler, J., (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61, 1645-1680.
Basistha, A. and Kurov, A., (2008). Macroeconomic cycles and the stock market’s reaction to monetary policy. Journal of Banking and Finance, 32, 2606-2016.
Bernanke, B. S. and Kuttner, K. N., (2005). What explains the stock market’s reaction to Federal Reserve policy? Journal of Finance, 60, 1221-1257.
Black, F., (1986). Noise. Journal of Finance, 40, 529-543.
Chan, K., (1992). A further analysis of the lead-lag relationship between the cash market and stock index futures market. Review of Financial Studies, 5, 123-152.
Chen, S. S., (2007). Does monetary policy have asymmetric effects on stock returns? Journal of Money, Credit and Banking, 39, 667-688.
Chou, R. K., Lin, C. B. and Wang, G. H. K., (2016). Investor Sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets. 1-48.
Cooper, M. J., Gutierrez JR. R. C. and Hameed, A., (2004). Market states and momentum. Journal of Finance, 59, 1345-1365.
Cover, J. P., (1992). Asymmetric effects of positive and negative money-supply shocks. Journal of Economics, 107, 1261-1282.
De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J., (1990). Noise trader risk in financial markets. Journal of Political Economy, 98, 703-738.
Dickey, D. A. and Fuller, W. A., (1979). Distribution of estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
Durham, J. B., (2003). Monetary policy and stock price returns. Financial Analysts Journal, 59(4), 26-35.
Fama, E. F., (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 31(1), 383-417.
Farka, M., (2009). The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases. Review of Financial Economics, 18, 47-55.
Granger, C. W. J. and Newbold, P., (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120.
Gully, D. and Sultan, J., (2003). The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract. Applied Financial Economics, 13, 199-209.
Hasbrouck, J., (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50, 1175-1199.
Hsieh, Y. F., (2016). The effect of weather on disposition effect of different types of investors: Evidence from the Taiwan Futures Exchange. 1-33.
Jansen, D. W. and Tsai, C. L., (2010). Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets. Journal of Empirical Finance, 17, 981-990.
Jensen, G. R. and Johnson, R. R., (1995). Discount rate changes and security returns in the U.S., 1962-1991. Journal of Banking and Financing, 19, 79-95.
Karras, G., (1996). Are the output effects of monetary policy asymmetric? Evidence from a sample of European countries. Oxford Bulletin of Economics and Statistics, 58, 267-278.
Kraft, J. and Kraft, A., (1977). Determinants of common stock prices: a time series analysis. Journal of Finance 32, 417-425.
Kumar, A. and Lee, C. M. C., (2006). Retail investor sentiment and return comovements. Journal of Finance, 61, 2451-2486.
Kurov, A., (2010). Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking and Finance, 34, 139-149.
Kuttner, K. N. and Mosser, P. C., (2002). The monetary transmission mechanism: some answers and further questions. Economic Policy Review, 8, 15-26.
Lin, C. B., (2015). Market efficiency and investor sentiment: Evidence from the pricing dynamics between futures and spot markets. 1-45.
Lobo, B. J., (2002). Asymmetric effects of interest rate changes on stock prices. Financial Review, 35, 125-144.
Morgan, D. P., (1993). Asymmetric effects of monetary policy. Economic Review- Federal Reserve Bank of Kansas City, 78(2), 21-33.
Rigobon, R. and Sack, B., (2004). The impact of monetary policy on asset prices. Journal of Monetary Economics, 51, 1553-1575.
Said, E. S. and Dickey, D. A., (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71, 599-607.
Simon, D. P. and Wiggins, R. A., (2001). S&P futures returns and contrary sentiment indicators. Journal of Futures Markets, 21, 447-462.
Stoll, H. R. and Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative, 25, 441-468.
Thaler, R. H. and Johnson, E. J., (1990). Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice. Management Science, 36, 643-660.
Ying, C. C., (1966). Stock market prices and volumes of sales. Econometrica, 34, 676-685. |
| Description: | 碩士
國立政治大學
財務管理研究所
103357016 |
| 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
|
Files in This Item:
| File |
Size | Format | |
|---|
| 701601a.pdf | 1809Kb | Adobe PDF2 | 39 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
