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題名：雜訊交易對貨幣政策與股價關聯性影響之研究
書刊名：經濟論文叢刊
作者：李春安 引用關係
作者(外文)：Li, Chun-an
出版日期：2001
卷期：29:3
頁次：頁339-364
主題關鍵詞：貨幣政策；股價；雜訊交易；Monetary policy；Stock price；Noise trading
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:26
  • 點閱點閱:21
　　　　　貨幣政策與股價關聯性的問題，一直是財務經濟學界所關切與熱門研究的題材。近年來，相關的理論與實證研究發現雖較傾向於貨幣對股市的影響為非中性的結果，但卻還是無法以較令人信服的論點，反駁貨幣為中性的說法。本研究嘗試由雜訊交易的觀點，解釋與預測各種貨幣政策下，經濟不確定性與股價之間的關聯。研究結果顯示，經濟系裡雜訊交易的存在與雜訊投資人的認知偏誤，在正面作用上，會凸顯貨幣政策效果，對因經濟不確定性所引起的實質股價變動，產生助漲助跌效果，提高實質股價的波動性；在抵消作用上，會使實質股價不漲反跌，降低實質股價的波動性。此特性顯示，雜訊交易現象為貨幣是否為中性問題的重要關鍵。同時，本研究的結果亦為近年來有關雜訊交易的研究，提供了一此新的詮釋。
　　　　　While the issue of monetary neutrality has been extensively investigated, none of the related theoretical and empirical studies has been devoted to the important influence of noise trading. The basic model of this paper is similar to Boyle and Peterson (1995). However, the activity of noise trading is considered in this paper. The main result of this study shows that the existence of noise traders and their misperceptions concerning the security price have two opposing effects on the relationship between monetary policy and the stock price. On the positive side, insider trading will increase the volatility of the stock prices, thus making the effect of the given monetary policy more obvious. On the negative side, it will offset the increasing or decreasing pressure on the stock price, thus making the effect of the given monetary policy more ambiguous. The former effect implies that money is not neutral. But the latter opposing effect tends to reinforce the neutrality of money.
期刊論文
1.Stulz, Rene M.(1986)。Interest Rates and Monetary Policy Uncertainty。Journal of Monetary Economics，17(3)，331-347。  new window
2.Kaul, G.(1987)。Stock Returns and Inflation: The Role of the Monetary Sector。Journal of Financial Economics，18(2)，253-276。  new window
3.Thorbecke, Willem(1997)。On Stock Market Returns and Monetary Policy。Journal of Finance，52(2)，635-654。  new window
4.Shleifer, Andrei、Vishny, Robert W.(1997)。The Limits of Arbitrage。Journal of Finance，52(1)，35-55。  new window
5.薛立言、黃志傑(1996)。影響國內股市雜訊交易之因素分析。證券市場發展季刊，8(3)，63-88。new window  延伸查詢new window
6.Bhushan, R.、Brown, D. P.、Mello, A. S.(1997)。Do Noise Traders "Create Their Own Space?"。Journal of financial and quantitative analysis，32，25-45。  new window
7.Boudoukh, Jacob、Richardson, Matthew、Whitelaw, Robert F.(1994)。Industry returns and the Fisher effect。Journal of Finance，49，1595-1616。  new window
8.Lucas, R. E.(1982)。Interest Rates and Currency Prices in a Two-country World。Journal of Monetary Economics，10(3)，335-360。  new window
9.Boyle, G.(1990)。Money demand and the stock market in a general equilibrium model with variable velocity。Journal of Political Economy，98，1039-1053。  new window
10.Danthine, J. P.、Donaldson, J. B.(1986)。Inflation and asset prices in an exchange economy。Econometrica，54(2)，585-605。  new window
11.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。  new window
12.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1989)。The Size and Incidence of the Losses from Noise Trading。Journal of Finance，44(3)，681-696。  new window
13.DeLong, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1991)。The survival of noise traders in financial markets。Journal of Business，64(1)，1-19。  new window
14.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics，49(3)，307-343。  new window
15.Black, Fisher(1986)。Noise。Journal of Finance，41(3)，529-543。  new window
16.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy，98(4)，703-738。  new window
17.Shleifer, Andrei、Summers, Lawrence H.(1990)。The Noise Trader Approach to Finance。Journal of Economic Perspectives，4(2)，19-33。  new window
18.Benos, A. V.(1998)。Aggressiveness and Survival of Overconfident Traders。Journal of Financial Markets，1(3/4)，353-383。  new window
19.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance，53(6)，1839-1885。  new window
20.Poterba, James M.、Summers, Lawrence H.(1988)。Mean Reversion in Stock Prices: Evidence and Implications。Journal of Financial Economics，22(1)，27-59。  new window
21.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance，54(6)，2143-2184。  new window
22.Friedman, M.(1988)。Money and the Stock Market。Journal of Political Economy，96(2)，221-245。  new window
23.Rogalski, Richard J.、Vinso, J. D.(1977)。Stock Returns, Money Supply and the Direction of Causality。The Journal of Finance，32(4)，1017-1030。  new window
24.Geske, Robert、Roll, Richard(1983)。The Fiscal and Monetary Linkage between Stock Returns and Inflation。The Journal of Finance，38(1)，1-33。  new window
25.Palomino, Frederic(1996)。Noise Trading in Small Markets。The Journal of Finance，51(4)，1537-1550。  new window
26.陳隆麒、翁霓、郭敏華(1995)。雜訊交易對臺灣地區投資人行為及股價之影響。證券市場發展季刊，7(1)，101-124。new window  延伸查詢new window
27.Boyle, G. W.、Peterson, J. D.(1995)。Monetary Policy, Aggregate Uncertainty, and the Stock Market。Journal of Money, Credit and Banking，27，570-582。  new window
28.Lucas, R. E.(1984)。Money in a Theory of Finance。Carnegie-Rochester Conference Series on Public Policy，21(Autumn)，9-46。  new window
29.Abel, Andrew B.(1988)。Stock Prices Under Time-varying Dividend Risk: An Exact Solution In An Infinite-horizon General Equilibrium Model。Journal of Monetary Economics，22(3)，375-393。  new window
30.Barsky, R. B.(1989)。Why don't the prices of stocks and bonds move together?。American Economic Review，79，1132-1145。  new window
31.Chan, K. C.、Foresi, S.、郎咸平(1996)。Does money explain asset returns? Theory and empirical analysis。The Journal of Finance，51(1)，345-361。  new window
32.Finn, M. G.、Hoffman, D. L.、Schlagenhauf, D. E.(1990)。Intertemporal asset-pricing relationships in barter and monetary economies。Journal of Monetary Economics，25(June)，431-451。  new window
33.LeRoy, S. F.(1984)。Nominal prices and interest rates in general equilibrium: Money shocks。The Journal of Business，57，177-195。  new window
34.Rozeff, M. S.(1974)。Money and stock prices。Journal of financial Economics，1(January)，245-302。  new window
35.Singleton, K. J.(1985)。Testing specifications of economic agents intertemporal optimum problems in the presence of alternative models。Journal of Econometrics，30，391-413。  new window
36.Sorenson, E. H.(1982)。Rational Expectations and the Impact of Money upon Stock Prices。Journal of Financial and Quantitative Analysis，17(5)，649-662。  new window
37.Svensson, L. E. O.(1985)。Money and Asset Prices in a Cash-in-Advance Economy。Journal of Political Economy，93.10，919-944。  new window
38.Gennotte, G.、Marsh, T. A.(1993)。Variations in Economic Uncertainty and Risk Premiums on Capital Assets。European Economic Review，37(5)，1021-1042。  new window
學位論文
1.翁霓(1993)。雜訊交易對股價行為影響之研究(博士論文)。國立政治大學。new window  延伸查詢new window
2.李文順(1993)。雜訊交易在臺灣股市是否存在(碩士論文)。淡江大學。  延伸查詢new window
3.葉順吉(1994)。臺灣股市封閉型基金折溢價之研究(碩士論文)。國立中山大學。  延伸查詢new window
4.陳翠玲(1990)。總體經濟因素與股價關係之研究--以臺灣股票市場為例(碩士論文)。國立中山大學。  延伸查詢new window
5.劉子瑯(1987)。臺灣地區貨幣供給與股票價格關係之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
6.陳俊傑(1993)。股價與總體經濟變數關聯性之實證研究－向量自我迴歸模型之應用，0。  延伸查詢new window
7.石博仁(1993)。臺灣地區市場因素與股價波動之實證研究，0。  延伸查詢new window
8.郭建忠(1989)。貨幣供給與物價對股價關係之研究，0。  延伸查詢new window
9.黃水法(1986)。影響臺灣地區股價變動因素之研究，0。  延伸查詢new window
10.謝養(1988)。臺灣地區貨幣供給理性預期與股價，0。  延伸查詢new window
11.李建華(1994)。臺灣地區股價與貨幣供給、物價、利率、匯率因果關係之實證研究，0。  延伸查詢new window
圖書
1.Black, F.(1990)。Business cycle and equilibrium。Business cycle and equilibrium。Cambridge, MA。  new window
圖書論文
1.Friedman, Milton(1953)。The Case for Flexible Exchange Rates。Essays in Positive Economics。Chicago：University of Chicago Press。  new window
 
 
 
 
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