人口結構變遷對社會帶來的影響是近年來熱門的話題，其中令人最關注的就是人口老齡化的問題。其現象源自於生育率及死亡率的下降，對於個人而言，因死亡率下降造成預期壽命延長所致的長壽風險(Longevity Risk) ，使得個人需要有更多的資源去面臨年老退休後的生活，近年來退休及養老型的投資理財商品的興起某種程度上也反映了這個情形。這種現象也給了長期資金的管理者–壽險公司及退休基金一個啟示：若死亡率的變動會改變投資人的投資決策，則代表死亡率和資本市場之間可能存在某種聯結，這使得壽險公司及退休基金在面臨死亡率的變動風險時，除了以調整業務比例等負債面的自然避險方式外，還可考慮以資本市場進行資產面的避險。
本研究採用多國的死亡率及經濟變數進行實證分析，研究結果發現在部分國家之中可以找到死亡率對股票溢酬較有脈絡的影響。進一步將所有樣本國家依照社會福利給付程度及金融市場發展程度的不同再分類後進行實證分析，結果發現社會福利給付程度高或金融市場發展程度高的國家，其總體死亡率變數較為顯著，代表死亡率下降對股票溢酬造成的影響的傳遞效果在社會福利高給付程度及金融市場發展程度高的國家較佳。

Demographic aging has become a popular discussion in recent years. The reason for this phenomenon is because of decreasing in birth rate and mortality rate. Decreasing of mortality rate may make investors’ life expectancy increase so they will generates a stronger need to invest for retirement. In another words, changing in mortality rate could affect stock market. This may reveal an important message to insurance company and pension fund: if mortality rate and stock market are correlated, this relation could be a new way for insurance company and pension fund to hedge the volatility of mortality rate.
 This paper studies the link between mortality rate and stock market in fifteen countries, furthermore, we pooling these countries by G5 and OECD. We find that mortality rate variables indeed predict stock premium in several countries, but the relationship is not monotonic. To further describe which characteristics make the difference, we pooling these countries by social security and financial market development. The results reveal that mortality rate variables will be significant in the countries with high social security and high financial market development.

目錄
第一章  緒論	1
第一節  研究動機與背景	1
第二節  研究流程	4
第二章  文獻回顧	5
第三章  研究方法	9
第一節  研究假說	9
第二節  研究模型	11
第三節  變數定義	16
第四節  資料敘述	19
第四章  實證結果	24
第一節  各國資料實證結果	24
第二節  區域資料實證結果	47
第五章  結論與建議	55
參考文獻	58
附錄	60

 
圖次
圖1-1 世界人口預期壽命	2
圖1-2 五大工業國人口預期壽命	2
圖1-3 研究流程圖	4
圖3-1 各國各死亡率變數相關係數橫條圖	22
續圖3-1各國各死亡率變數相關係數矩陣圖	23

 
表次
表3-1 變數敘述統計表	20
表3-2 各國死亡率變數相關係數矩陣	21
表4-1 同期股票溢酬實證結果	26
續表4-1 同期股票溢酬實證結果	27
表4-2 未來一年股票溢酬實證結果	29
續表4-2 未來一年股票溢酬實證結果	30
表4-3 累積未來兩年股票溢酬實證結果	32
續表4-3 累積未來兩年股票溢酬實證結果	33
表4-4 累積未來五年股票溢酬實證結果	35
續表4-4 累積未來五年股票溢酬實證結果	36
表4-5各國死亡率變數共線性檢定表	38
表4-6 各國實證結果整理	41
續表4-6 各國實證結果整理	42
表4-7 依社會福利給付程度分類實證結果	45
表4-8 依金融市場發展程度分類實證結果	46
表4-7 各區域最適縱橫模型選取	48
續表4-7 各區域最適縱橫模型選取	49
表4-9 各區域股票溢酬實證結果	52
表4-10 各區域實證結果整理	54
附錄表一、資料匯整表	60
附錄表二、各變數相關係數矩陣表	65
附錄表三、各國變數相關係數矩陣表	68

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