台灣股市時變性超額報酬之研究

Abstract

本研究基於Gulen、Xing and Zhang (2010)以及 Perez-Quiros and Timmermann (2000)的理論基礎，利用馬可夫轉換模型來探討當暴露在不同的系統性風險時，各種總體經濟變數對於台灣成長型股票和價值型股票之超額報酬的影響程度。應用台灣股市月資料實證發現，預期價值溢酬在高變異狀態時呈現出明顯上揚和下降的現象，而在低變異時期呈現出較趨近於水平的趨勢。

This research applies a Markov switching model to analyze the impacts of various macro-variables on the excess return of growth stocks and value stocks, based on Gulen, Xing and Zhang (2010) and Perez-Quiros and Timmermann (2000). Using monthly return data from Taiwan stock market for empirical study, the results show that under different systematic risks, the expected value premium increase or decrease significantly when the volatility of the economy is high. On the other hand, when the volatility of the economy is low, the premium is relatively stable.