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題名：應用追蹤資料模型探討影響股價的因素
作者：梁晉嘉
作者(外文)：Chin-Chia Liang
校院名稱：國立中興大學
系所名稱：企業管理學系所
指導教授：林正寶
學位類別：博士
出版日期：2008
主題關鍵詞：動態追蹤資料模型；股價；總體經濟因素；完全修正普通最小平方法；系統之ㄧ般動差法；Dynamic Panel Data Model；Stock Prices；Macroeconomic Fundamentals；Fully Modified OLS；System-Generalized Method of Moments
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自1973年世界主要工業國家實施浮動匯率制度以來，以美元表示的各種金融資產價格及國際油價經常呈現巨幅的波動。更重要的是，發生於2006-2008年期間的美國次級房貸風暴，已造成全球證券價格的崩跌。過去文獻聚焦於深入探討經濟及非經濟事件對個別國家的股市及實質經濟活動產生何種的衝擊效應？惟股市此種的波動傳遞了若干總體經濟因素（包括實質GDP成長、物價波動、匯率波動、利率變動等）的重要訊息。鑒於國際間與國內的實質面與金融面因素之相互影響的事實，本研究基於計量方法的需要，在追蹤資料模型下分別利用FMOLS及GMM-SYS估計法以推估股價與各項總體基本面因素（主要是匯率、經濟成長及油價）的長短期動態關係。本研究使用相同的研究方法以分析三篇不同主題的文章。第一篇文章實證檢定2001Q1- 2008Q1期間，亞洲四國(日本、韓國、新加坡及台灣)的股價與匯率、實質GDP、消費者物價及利率間的短期與長期動態關係，研究結果發現：在5％的顯著水準下，日本的消費者物價、日本與韓國的實質GDP，以及新加坡與台灣的匯率對各自的股價呈顯著的長期關係。惟在進行追蹤資料的FMOLS估計時，消費者物價呈顯著的正向關係，而實質GDP與匯率對各自的股價則呈顯著的負向關係。另一方面，在短期因果關係的結果中發現：股價領先匯率以及股價領先消費者物價；同時，實質GDP與匯率以及實質GDP與消費者物價皆呈雙向因果關係。基於追蹤資料模型，上述股價與各項總體因素間的單向及雙向因果關係具有重要政策上的意涵。其次，第二篇文章實證檢定1998Q1- 2007Q4期間，七大工業國的股價與實質GDP、消費者物價及利率間的短期與長期動態關係，研究結果發現：在5％的顯著水準下，消費者物價對加拿大、義大利、日本及英國的股價呈長期正向關係，而對德國及美國則呈長期負向關係；此外，對七大工業國整體而言，消費者物價、實質GDP與利率三者間呈顯著的長期均衡關係。另一方面，在短期，消費者物價領先實質GDP，但利率與股價、實質GDP與股價，以及消費者物價與股價之間皆呈雙向因果關係。因此，上述七大工業國股價與這些總體因素的單向與雙向因果關係之結果，可提供這些國家的政策決策者在制定消除景氣循環與物價波動的短期貨幣政策工具之重要參考。最後，第三篇文章實證檢定1998Q1- 2008Q1期間，針對美國37種產業，依據油價與股價的相關性，分成高相關及低相關的產業，股價與油價及其他總體因素間的短期與長期動態關係，研究結果發現：在5％的顯著水準下，在長期實質GDP、消費者物價及貨幣供給對股價呈顯著的正向關係，但產業股利、油價與利率對與油價高相關產業的股價呈顯著的負向關係。然而，消費者物價與貨幣供給對與油價低相關產業的股價呈顯著正向關係，但產業股利與利率對與油價低相關產業的股價則呈顯著負向關係。另一方面，由短期因果關係檢定發現：油價領先與油價高相關產業整體的股價。此項研究結果提供了美國股市投資人，在考慮股票投資決策時，應將油價變動作為影響其判斷未來股價變動之重要參考因素。
Dramatic changes in financial asset prices and crude oil prices in terms of US dollar have frequently occurred since the operation of floating rate regimes started in the 1973. More importantly, global security prices declined dramatically when the sub-prime residential mortgage crisis appearing in the US housing market in the period 2006-2008 caused big shocks to the global financial markets. Previous literature have focused on investigating in-depth what impacts of some economic and non-economic events there had been or have been on the stock markets and real economic activities on an individual country basis. However, fluctuations of stock markets convey relevant information concerning changes in macroeconomic fundamentals including real GDP growth, changes in prices, variation in currency value, changes in interest rates, and so on. Observing the fact that the factors on the real side and financial side are interrelated internationally and domestically, there are sufficient incentives to employ the fully modified OLS (FMOLS) method in examining empirically how some macroeconomic fundamentals such as exchange rates, real gross domestic product, crude oil price, and other factors (consumer price index, interest rates, money supply and industry dividend) affected stock prices in the long run, and to apply the system generalized method of moments (GMM-SYS) in investigating what causal relationships among these fundamentals there were in the short run for four Asian economies, the Group-7 countries and the 37 industries of the United States, as a whole. Therefore, this dissertation contains three working papers investigating the relationships among macroeconomic fundamentals using dynamic panel data models. The first paper examines empirically the short-run and long-run dynamics between stock prices and the fundamentals including real GDP, consumer price index and interest rates in a panel framework for the four Asian economies by using data over 2001Q1 – 2008Q1. In the long-run relationship among these macroeconomic variables, the coefficients of consumer price index in Japan, real GDP in Japan and Korea, and exchange rates in Singapore and Taiwan are statistically significant at the conventional level. However, in conducting the panel FMOLS estimation, the coefficient of consumer price index is significantly positive while the coefficients of real GDP and exchange rates are significantly negative at the conventional level. On the other hand, in the short run there is uni-directional causality from stock prices to exchange rates and from stock prices to consumer price index. Also, there exists bi-directional causality relation between real GDP and exchange rates and between consumer price index and real GDP. Based on the dynamic panel data model, these uni-directional and bi-directional causalities give important implications for policy makers of these governments. Next, the second paper investigates empirically the short-run and long-run dynamic relationships between stock prices and the fundamentals including real GDP, consumer price index and interest rates in the dynamic panel data framework for the G-7 by using data over the period 1998Q1 – 2007Q4. For the long- run equilibrium analysis, there are the positive effects of changes in consumer price index on variations in stock prices for Canada, Italy, Japan and the UK, and the negative effects of this relation for Germany and the US. In addition, there exist the relations of changes in consumer price index, real GDP growth and changes in interest rates for the G-7 as a whole. On the other hand, in the short run there is uni-directional causality from consumer price index to real GDP, and that there exists evidence of bi-directional causality from interest rates to stock prices, from real GDP to stock prices and from consumer price index to stock prices. Based on the dynamic panel data model, these uni-directional and bi-directional causalities give important implications for policy makers of the G-7 governments which may direct short-term monetary policy instruments toward a solution for business cycle and fluctuation in the price level. Finally, the third paper examines empirically the short-run and long-run relationships between oil prices and stock prices in a dynamic panel framework using data from 37 industries in the United States, which are divided into two categories of oil-correlation industries according to the correlation between industry''s stock price and oil price over the period 1998:Q1– 2008:Q1. It is found that, in the long run, real GDP, consumer price index and money supply have positive significant effects, but industry’s dividend, oil prices and interest rates reveal negative significant effects on the stock price of high oil-correlation industry. Consumer price index and money supply have positive significant effects, but industry’s dividend and interest rates show negative significant effects on the stock price of low oil-correlation industry. On the other hand, the short-run Granger causality test finds that, there exists only uni-directional relation running from oil prices to stock prices in the group of high oil-correlation industries. This implies that the investors in the US stock market consider crude oil as one of the crucial factors influencing future changes in the stock prices, thus taking into account changes of crude price prices in making their investment decisions when trading in stocks.
CHAPTER 2
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