台灣經濟季度成長率與股市報酬之關聯分析

Abstract

各國經濟體系越趨緊密，投資市場開放且交互影響，多數人們相信總體經濟成長與資產價格波動具有某種程度的關聯性，許多學術研究也試圖找出總體經濟因子對於資產超額報酬的解釋力。近年來，各國公布經濟數據後，市場的解讀常出乎意料且反應時間更迅速; 看似疲弱的經濟成長，卻有屢創新高的投資市場表現。本研究期望透過台灣實證資料檢驗是否具備季節性週期的特性與異常報酬的可解釋性。 根據每季度總體因子成長率對股市超額報酬率進行單迴歸，發現第一季度消費相關數據的季度成長率能有較佳的預測下一季至下一年股市超額報酬率的解釋能力。使用複迴歸分析，亦發現第一季度消費相關數據有助於提升股市超額報酬的解釋力。此現象或可類比解釋於台灣地區在第一季度因農曆新年期間消費與新年後投資規劃整頓，使得第一季度消費相關數據對於股市超額報酬更具影響性。

The interaction between different economics and markets makes the impact of macroeconomic factors more complicated. Most of the people believe that volatility of asset prices is related to the economic growth in some way. Many studies have been devoted to finding the evidence of explanatory level for the excess returns of assets. Recently, investment markets often have unexpected reaction to the release of economic data. Those record high performance couldn’t be explained by weakened economic growth. This study aims to test the existence of seasonal cycle and interpretation of excess return on Taiwan’s empirical data.

According to the simple regression analysis, found that the first quarter growth rate of consumption related data can better predict the excess return of stock markets for the next quarter to the next year. Besides, the outcome of multiple regression analysis shows that the portfolio with first quarter of consumption related data can improve the explanation on excess return of Taiwan stock market. This phenomenon in Taiwan can be analogous to the result from consumption during the Lunar New Year and also adjustment of new investment plans in first quarter. Therefore, the growth rate of consumption related data in first quarter haves more impact on the prediction of excess return in Taiwan stock market.