總體經濟變數對股價指數報酬之非線性影響: 臺灣、南韓與日本之驗證

Abstract

本研究係採用Gonza′lez, Teräsvirta and van Dijk (2004, 2005) 所發展之縱橫平滑移轉迴歸模型 (Panel Smooth Transition Regression Model, PSTR Model)，以油價變動率做為門檻變數，觀察臺灣、南韓以及日本等國之股價指數報酬是否存在平滑移轉效果。挑選有效實質匯率、實質利率、消費者物價指數、工業生產指數以及貨幣供給量等5項總體經濟變數做為解釋變數，檢驗當油價產生波動時，前述之解釋變數對於各國的股價指數報酬是否產生顯著性影響。 本研究的實證結果發現：油價變動率對於臺灣、南韓以及日本等國之股價指數報酬存在平滑移轉效果，臺灣的實證結果發現，轉換函數呈現跳躍向上的指數型模型；南韓及日本的實證結果發現，轉換函數呈現緩步向上的邏輯型轉換模型；以三國同期的實證結果發現，轉換函數亦呈現跳躍向上的指數型轉換模型。 以臺灣的實證結果顯示，當油價變動率落於轉換門檻值2.1695%及2.8100%區間內，實質利率及工業生產指數對臺灣發行量加權股價指數報酬率產生顯著正向影響；而消費者物價指數及貨幣供給量皆對臺灣發行量加權股價指數報酬率產生顯著負向影響。 以南韓的實證結果顯示，當油價變動率低於且接近轉換門檻值-20.1977%時，消費者物價指數及工業生產指數對南韓綜合股價指數報酬率產生顯著正向影響；當油價變動率高於且接近轉換門檻值-20.1977%時，工業生產指數對南韓綜合股價指數報酬率產生顯著負向影響。 以日本的實證結果顯示，當油價變動率低於且接近轉換門檻值-15.6538%時，有效實質匯率及貨幣供給量對日經平均指數報酬率產生顯著負向影響；當油價變動率高於且接近轉換門檻值-15.6538%時，有效實質匯率及貨幣供給量對日經平均指數報酬率產生顯著正向影響。 以三國同期的實證結果顯示，當油價變動率落於轉換門檻值-7.8271%及-8.4461%區間內，實質利率及工業生產指數對各國股價指數報酬率產生顯著正向影響；而貨幣供給量對各國股價指數報酬率產生顯著負向影響。

This study uses Panel Smooth Transition Regression (PSTR) Model developed by Gonza′lez, Teräsvirta and van Dijk (2004, 2005) and takes crude oil volatility as the threshold variable to see if there is smooth transition effect on stock returns. We select five macroeconomic variables as independent variables to examine whether macro environment approaches have a significant impact on stock returns in three main countries of Northeast Asia, which included Taiwan, Korea and Japan. The five macroeconomic variables include Real Effective Exchange Rate (REER), Real Interest Rate (RIR), Consumer Price Index (CPI), Industrial Production Index (IPI) and Money Supply (MS). The study result shows that the crude oil volatility has a smooth transfer effect on stock returns in these countries. The PSTR present jump-ups on the exponential modeling in Taiwan. Furthermore, the PSTR present mildly rises on the logistic modeling in Korea and Japan. Combining with three countries in the same period, the PSTR present jump-ups on the exponential modeling. In Taiwan evidence, when the crude oil volatility is between 2.1695% and 2.8100%, the RIR as well as the IPI both have positive and significant impacts on stock returns. Furthermore, the CPI as well as the MS both have negative and significant impacts on stock returns. In Korea evidence, when the crude oil volatility is below and nearly the threshold at -20.1977%, the CPI as well as the IPI both have positive and significant impacts on stock returns. Furthermore, the crude oil volatility is above and nearly the threshold at -20.1977%, the IPI has negative and significant impacts on stock returns. In Japan evidence, when the crude oil volatility is below and nearly the threshold at -15.6538%, the REER as well as the MS both have negative and significant impacts on stock returns. Furthermore, the crude oil volatility is above and nearly the threshold at -15.6538%, the REER as well as the MS both have positive and significant impacts on stock returns. Comparing with three countries in the same period, when the crude oil volatility is between -7.8271% and -8.4461%, the RIR as well as the IPI both have positive and significant impacts on stock returns. Furthermore, the MS has negative and significant impacts on stock returns.