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題名：股價與貨幣成長、股利之關係--以臺灣產業為例
書刊名：淡江人文社會學刊
作者：莊希豐 引用關係／陳亞為 引用關係
作者(外文)：Chuang, Shi-feng／Chen, Yah-wei
出版日期：2004
卷期：19
頁次：頁69-90
主題關鍵詞：股價；貨幣成長率；股利；資產訂價模型；預持現金；共整合；Asset-pricing model；Cash-in-advance；Cointegrtation；Dividends；Money growth；Stock prices
原始連結：連回原系統網址new window
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　　　　　本文討論貨幣成長率與實質股價的關係，在資產訂價理論模型中加貨貨幣，貨幣是以預持現金美限制進入經濟體系，建立一個一般均衡架構做最適化處理，發現在不確定分析下，實質股價受到實質股利、貨幣供給成長率的影響。另外以臺灣產業資料檢驗此論結果，實證結果發現在塑膠業、金融保險業與資訊電子業中，股利與股價間均為正相關，且貨幣供給成長率與塑膠業、金融保險業、資訊電子業股價亦為同向變動，與理論模型所呈現的結果相符。
　　　　　This paper examines are relationship between the rate of mone growth and real stock prices. We make use of the capital asset-pricing model by adding money to it, and build a general equilibrium framework. Money is introduced to the economy through a cash-in-advance constraint that emphasizes the role dividends and the rate of money growth both affect real stock prices. We then test the theoretical results empirically by using Taiwan’s data. Four target industries are selected for estimations. It is found that there exists one cointegration relationship between variables in the plastic industry, the banking and insurance industry, and the electronic industry. Especially, dividends and money growth positively affect real stock prices in the long run. The empirical outcomes are consistent with the theoretical results. This paper concludes that the asset-pricing model may explain the determination of stock prices in Taiwan.
期刊論文
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16.Marshall, D.(1992)。Inflation and asset returns in a monetary model。Journal of Finance，47，1315-1342。  new window
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18.Rogalski, R. J.、Vinso, J. D.(1977)。Stock returns, money supply and direction of causality。Journal of Finance，36，1017-1030。  new window
19.Shiller, R. J.(1981)。Do stock prices move too much to be justified by subsequent change in dividends?。American Economic Review，71(3)，421-436。  new window
20.Unro, L.(1994)。The impact of financial deregulation in the relationship between stock price and monetary policy。Quarterly Journal of Business and Economics，37-50。  new window
21.鄒孟文(19931200)。臺灣股價指數與貨幣供給之因果關係檢定。臺灣經濟金融月刊，29(12)=347，26-34。  延伸查詢new window
22.Bakshi, G. S.、Chen, Z.(1996)。Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies。The Review of Financial Studies，9(1)，241-275。  new window
23.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
24.Cheung, Y. W.、Lai, K. S.(1993)。Finite Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration。Oxford Bulletin of Economics and Statistics，55(3)，313-328。  new window
25.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica，53(2)，363-384。  new window
26.Danthine, J. P.、Donaldson, J. B.(1986)。Inflation and asset prices in an exchange economy。Econometrica，54(2)，585-605。  new window
27.Fama, Eugene F.(1981)。Stock Returns, Real Activity, Inflation, and Money。The American Economic Review，71(4)，545-565。  new window
28.Longstaff, Francis A.、Schwartz, Eduardo S.(1992)。Interest-Rate Volatility and the Term Structure: A Two-factor General Equilibrium Model。The Journal of Finance，47(4)，1259-1282。  new window
29.Rozeff, M. S.(1974)。Money and Stock Price: Market Efficiency and the Lag in Effect of Monetary Policy。Journal Financial Economics，1，245-302。  new window
30.Stulz, René M.(1986)。Asset pricing and expected inflation。Journal of Finance，41，209-223。  new window
31.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica，59(6)，1551-1580。  new window
32.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
33.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
34.Diba, B. T.、Grossman, H. I.(1988)。Explosive Rational Bubbles in Stock Prices?。The American Economic Review，78(3)，520-530。  new window
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研究報告
1.Foresi, S.(1990)。Valuation of nominal securities。New York University。  new window
學位論文
1.王鐘模(2000)。金融、電子、紡織三產業之股利政策與股價變動之研究(碩士論文)。大葉大學。  延伸查詢new window
2.黃義璋(1980)。股價變動的經濟領先指標分析--ARIMA模型分析(碩士論文)。國立交通大學。  延伸查詢new window
3.詹麗玲(1999)。企業價值之評估--股利評價模式之實證研究(以塑膠業，鋼鐵業，電子業為例)(碩士論文)。東吳大學。  延伸查詢new window
4.林宗懋(1991)。台灣地區貨幣供給與股票價格之因果關係研究(碩士論文)。國立交通大學。  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
圖書
1.Sprinkel, Beryl W.(1964)。Money and stock price。Homewood, Illinois：Richard D. Irwin。  new window
 
 
 
 
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