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系統識別號 U0002-0906201109483300
中文論文名稱 資金與資本對資本市場之關聯性研究
英文論文名稱 A Study for the Effect of Capital/Cash flow to Capital Markets
校院名稱 淡江大學
系所名稱(中) 管理科學研究所碩士班
系所名稱(英) Graduate Institute of Management Science
學年度 99
學期 2
出版年 100
研究生中文姓名 陳怡瑾
研究生英文姓名 Yi-Chin Chen
學號 698621033
學位類別 碩士
語文別 中文
口試日期 2011-05-09
論文頁數 71頁
口試委員 指導教授-倪衍森
委員-李旭華
委員-蕭文姃
中文關鍵字 資產價格  資金流向  資金流入流出 
英文關鍵字 asset prices  cash flow  cash inflow and outflow 
學科別分類 學科別社會科學管理學
中文摘要 2009年由於國際金融市場的極不穩定,民眾陸續將國外的金融資產贖回,而遺產稅率的調降也造成部份國外資金的回流,在經歷了席捲全球的金融海嘯後,在2009年景氣對策信號6月開始轉為黃藍燈,隨著經濟數據的佐證,清楚發現諸多數據均已重回海嘯前的水準;台灣經濟景氣有回溫跡象,此時國內資金充足,加上台灣目前的利率處於有史以來最低的水準,導致資本市場部分投機者的覬覦,大筆熱錢在各資產市場之間流動,伺機而動尋找獲利的管道,在此背景下本研究欲探討國際資本流動下,與實際經濟體之間資產價格(股市、匯市、房市、債市四種主要資產)變化之關聯性。
經由本研究之分析結果,有以下之重要發現:從總體經濟分析來看,若當物價上升時,可能引起通貨膨脹的隱憂,而且可能隱含國人可支配所得下降等意涵,所以對整體股市的走向是不利的。台灣產業結構大半皆以出口導向為主,故其結果顯示匯率與台股成交金額呈反向關係。而其投資金額來源可能來自國際資本市場,因此外資的流入流出股市勢必對匯率造成一定程度的影響,是故表中顯示匯率與外資買超呈反向關係。
若股市交易熱絡,投資人受財富效果激勵,其帳面獲利提升,因而增加買房意願;放款趨緩時,手頭資金充裕者,若對台北市房屋有購屋需求者並無影響,因其不須透過銀行借款方式籌措購屋基金,若銀行放款率增加,表示政府可能實施擴張性貨幣政策,其銀根寬鬆有助提升購屋意願,吸引投資人投資置產,但其可能購買不為高價房屋,以免其房貸負擔過重,所以對整體北市房屋指數變動率不容易推升,是故實證結果呈反向關係。而基金淨資產增加,就單一投資人而言,其手頭能運用的資金固定,必須將投資標的有所取捨,若投資基金絕大多數投資人將資金投入股票型基金,其表示資金進入股票市場,導致債券市場投資金額的減少,導致債券價格下跌,其殖利率上升等,因此基金淨資產對債市的影響呈正向關係。
英文摘要 Capital flows to emerging market economies (EMEs) have been characterized by high volatility since the 1980s. Overall, savings have flowed uphill from EMEs to advanced economies, challenging the conventional view that capital flows to EMEs are always beneficial through augmentation of their resources leading to greater investment. Full capital account liberalization can impart avoidable volatility and have an adverse impact on growth prospects of EMEs. Widespread support for capital account liberalization in emerging markets has recently shifted to skepticism and even support for capital controls in certain circumstances. This sea-change in attitudes has been bolstered by the inconclusive macroeconomic evidence on the benefits of capital account liberalization. There are several compelling reasons why it is difficult to measure the aggregate impact of capital controls in very different countries. Previous studies have detected return and volatility across cash flow during periods.
In this paper we focus our attention on the asset prices and how different capital markets are influencing each other. We find residential property price developments and money growth shocks accumulated over the boom periods are able to well explain the depth of post-boom recessions. We observe various macroeconomic variables in Asset prices, nominal rigidities, and monetary policy. We further suggest that cash flow are a driving factor for real estate prices during boom episodes.
論文目次 目錄
第一章、緒論 1
第一節、研究背景與動機 1
第二節、研究目的 2
第三節、研究流程與架構 5
第二章、文獻探討 7
第一節、資金與資金流向之相關文獻 7
第二節、與財務或實物資產價格之相關文獻 12
第三節、資金與資產價格關聯性之相關文獻 25
第三章、研究假設與方法 30
第一節、資料來源及研究變數衡量與定義 30
第二節、研究假說的建立 35
第三節、研究方法分析 42
第四節、研究模型 43
第四章、實證研究結果 46
第一節、敘述性統計量 46
第二節、實證結果與分析 47
第五章、結論與建議 54
第一節、研究結論 54
第二節、投資與管理意涵 56
第三節、研究限制與建議 56
參考文獻 58

附錄:調整異質變異數下的迴歸模型
附表1應變數為股價指數變動率之迴歸模型的實證結果 68
附表2應變數為匯率變動率之迴歸模型的實證結果 69
附表3應變數為北市房屋指數變動率之迴歸模型的實證結果 70
附表4應變數為五年公債報酬率變動率之迴歸模型的實證結果 71

表目錄
表3-1變數對照表 43
表4-1 各變數敘述統計量 46
表4-2 各解釋變數之共線性 48
表4-3 股價指數變動率與自變數之迴歸分析 49
表4-4 匯率變動率與自變數之迴歸分析 50
表4-5 北市房屋指數變動率與自變數之迴歸分析 51
表4-6五年公債報酬率變動率與自變數之迴歸分析 52


圖目錄
圖1-1研究流程圖 5

參考文獻 參考文獻
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