本研究旨在探討美國、日本、中國、香港及韓國等五國之金融發發展與股價指數報酬間之縱橫平滑移轉效果，嘗試使用Gonzalez, Terasvirta and van Dijk(2004, 2005) 之縱橫平滑移轉迴歸模型，探討通膨率對股價指數報仇間是否存在平滑移轉效果，使得通膨率對股價指數報酬的影響變化呈現非線性之關係，並進一步利用股價指數報酬受控制變數之影響進行評估與衡量，以提供投資人作為未來擬定投資決策時的參考依據。而本研究所得之實證結果如下：

(一)M2佔GDP比率對股價指數報酬的影響，不論通膨率高或低於門檻值，均呈現正相關但不顯著。
(二)股市資本化比率對股價指數報酬之影響，在低於門檻值3.8417%時呈現負相關，而高於此門檻時則轉為正相關，但均不顯著影響。
(三)私部門信貸佔GDP比率和股市周轉率，在通膨率低於門檻值3.8417%時，私部門信貸佔GDP比率及股市周轉率對股價指數報酬之影響呈現顯著負相關；而當通膨率高於門檻值3.8417%時，私部門信貸佔GDP比率對股價指數報酬之影響則變為不顯著，但股市周轉率仍呈現顯著，且其影響由負相關轉為正相關。

   因此，綜上所述，建議擬定投資策略時，不能僅端視金融發展指標很高，就盲目地大量長期投資，仍需多參考總體經濟面之通膨率等相關資訊，故投資人可參考本文結論看出其端倪，對照自身的投資組合，擬定適當的投資策略。

This study is to investing the panel smooth transition effect associated with finance development and stock return on the empirical data of United States, Japan, China, Hong Kong and South Korea. Utilizing the panel mooth transition regression model developed by Gonzalez, Terasvirta and van Dijk(2004, 2005), we test whether inflation rate can cause the panel smooth transition effect on stock return. In addition , we assess and weigh stock return by the influence of independent variables. The main empirical finding as below:

1. On the M2 to GDP ratio accounts for the impact of stock returns, whether higher or lower than the inflation threshold, showed a positive correlation, but not significantly.
2. Impact of stock market capitalization rate of stock return with a negative correlation at below the 3.8417 percent threshold, while above this threshold would be transformed into a positive correlation, but not significantly affected.
3.When the ratio of private sector credit to GDP and the stock market turnover, the inflation rate below the threshold 3.8417%, private sector credit to GDP ratio and the stock market turnover ratio on stock index returns are significant and negative correlation; And when inflation is high 3.8417% in the threshold value, the impact on the stock price index of GDP and private sector credit as a share of the reward then becomes not significant, but the stock market was still showing remarkable turnaround, and the effect of negative correlation turned positive.

   Therefore, suggesting that we can not only depend on a high finance development index when making investment strategies, we still need to reference more information about the inflation rate etc., investors can refer to this conclusion to control their own investment portfolio and develop appropriate investment strategies.

目錄
目錄	III
圖目錄	IV
表目錄	V
第一章 緒論	1
第一節 研究背景與動機	1
第二節 研究目的	6
第三節 研究架構與流程	7
第二章 文獻探討	9
第一節 金融發展概述與定義	9
第二節 金融發展與經濟成長	15
第三節 股票市場與經濟成長	31
第四節 金融發展與股票市場	39
第三章 研究方法	41
第一節 研究流程	41
第二節 縱橫單根檢定	43
第三節 實證模型-縱橫平滑移轉迴歸模型	47
第四節 縱橫平滑移轉迴歸模型之設定	52
第四章 實證結果分析	58
第一節 資料來源與變數說明	58
第二節 各變數基本統計分析	61
第三節 縱橫單根檢定之實證結果	65
第四節 縱橫平滑移轉模型之實證結果	66
第五節 預測股價指數報酬之實證結果	72
第五章 結論與建議	79
第一節 結論	79
第二節 後續研究建議	81
參考文獻	82

圖目錄
圖1-1 研究流程	8
圖3-1 實證研究流程	42
圖3-2  m=1之轉換模型	50
圖3-3  m=2之轉換模型	51
圖4-1 各國各變數之趨勢圖	64
圖4-2 通膨率對股價指數報酬之轉換函數	72

表目錄
表1-1 實施量化寬鬆貨幣政策的時間及內容	2
表1-2 世界主要證券市場成交金額	5
表2-1 金融發展指標	14
表2-2 金融發展可促進經濟成長之相關文獻	20
表2-3 經濟成長可帶動金融發展之相關文獻	23
表2-4 金融發展與經濟成長存在負向關係之相關文獻	24
表2-5 金融發展與經濟成長存在雙向關係之相關文獻	26
表2-6 金融發展與經濟成長毫無關係之相關文獻	28
表2-7 金融發展與經濟成長關係受通膨影響之相關文獻	30
表2-8 股票市場影響經濟成長之相關文獻	34
表2-9 經濟成長影響股票市場之相關文獻	36
表2-10 股票市場與經濟成長存在負向關係之相關文獻	38
表2-11 經濟成長影響股票市場之相關文獻	40
表4-1 模型變數彙整表	61
表4-2 各變數之基本統計量	62
表4-3 各國各變數之基本統計量	62
表4-4 縱橫單根檢定實證結果	65
表4-5 縱橫單根檢定實證結果：一階差分	66
表4-6 通膨率對股價指數報酬之同質性檢定	67
表4-7 轉換模型之最適落後期數數值	68
表4-8 通膨率對股價指數報酬之同質性檢定	68
表4-9 通膨率對股價指數報酬之模型估計結果	70
表4-10 通膨率對股價指數報酬模型中控制變數之影響	70
表4-11 2013年金融發展指標數據	73
表4-12 預測股價指數報酬之根據	74
表4-13 股價指數報酬之實際與預期比較表	75
表4-14 預測2014年股價指數報酬之趨勢	76
表4-15 2014預期股價指數報酬與投資決策	78

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