房價指數對金融股價報酬的非線性效果:恐慌指數的角色

林伊姍

doi:10.6840/cycu201700290

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房价指数对金融股价报酬的非线性效果:恐慌指数的角色

Nonlinear effect of housing price index on financial firms' stock returns: The role of volatility index

林伊姗 , 硕士　　导师：吴博钦　　

繁体中文 DOI： 10.6840/cycu201700290

纵横平滑移转回归模型、恐慌指数、房地产价格、汇率； panel smooth transition regression model ； volatility index ； real estate price ； exchange rate

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摘要 │ 参考文献 (46) │ 国际计量

摘要〈TOP〉

银行扮演着金融中介的重要角色。随着多家新银行的成立，使得原有银行的竞争压力与日剧增，加上近十年来全球经历多次的金融风暴，更使得银行必须面对授信品质恶化与自身不良放款过高的问题。此外，面对经济环境恶化与资金不足的企业及投资人，银行的担保品价值亦面临下跌的压力，这些问题均可能直接反应在银行的股价上。目前台湾金融业经营所面临最大的风险，即是担保品价值变动的风险。在所有的担保品中，不动产就占其中的七成以上。因此，房价变动如何影响金融股股价报酬是本研究的主要研究动机。
本研究以资本资产定价模型 (capital asset pricing model , CAPM) 为基础，将其改写成纵横平滑移转回归模型 (panel smooth transition regression model , PSTR) 之架构，并以恐慌指数 (volatility index , VIX) 为转换变数，评估房价指数对金融股股价报酬率的非线性动态效果。实证期间为2007年第一季至2016年第一季之季资料，实证对象为台湾的金融股，在排除金融中介、产寿险业及票券公司後，最後选出23档金融股。实证结果可供投资人投资股市及房市时的参考、金融业者调整担保品 (不动产) 核放成数、估价及规避因大环境变动时所产生风险的参考依据，以及供政府稳定房地产市产、股市及金融市场的参考。
实证结果显示:
1. 落後一期金融股股价报酬对当期金融股股价报酬的影响 (亦称为递延效果)为负向的。当投资人愈恐慌时，该递延效果愈低。
2. 无论恐慌指数VIX的数值为何，金融股股价随加权指数的涨跌而呈现同向变动。此外，该影响系数 ( 值) 小於1，代表金融股相对於集中市场加权指数的风险较低。
3. 房价指数报酬率对金融股股价报酬率的影响为负向的，且随着恐慌指数VIX上升，该负向效果减弱。
4. 汇率升贬率对金融股股价报酬的影响为负向的，且随着恐慌指数VIX上升，该负向效果逐渐减弱。

政策建议如下:
1. 对投资人而言，金融股股价报酬随恐慌指数VIX的变动而呈现非线性的走势，故金融股的投资人必须依各期的VIX调整投资决策。其次，房地产与金融股股票呈现替代性资产关系，故金融股的投资者应在房市下降时介入投资。此外，在新台币兑美元贬值期间，资金宜移往美元，故不利於金融股股价报酬;惟在市场情绪恐慌时，贬值对金融股股价报酬的不利冲击将下降，故持有美元的额度亦不宜过度扩张。
2. 对金融业而言，在房地产不景气与新台币对美元升值期间，是金融业者现金增资的好时机。其次，金融股股价呈现逐季波动的现象，在金融股价下跌当季的末期发布增资讯息，其效果更佳。此外，经济环境愈恐慌 (即VIX愈大)，房市不景气或新台币对美元升值带动金融股价上升的效果愈低，故金融业者办理增资，宜在经济环境由安定开始转向不安时，其效果愈大。
3. 对政府而言，新台币贬值与房市繁荣期间，金融股股价降下跌，进而造成加权股价指数下跌，不利於股市的安定。因此，金管单位应采取因应措施，慎防股市与金融市场失序。此外，当经济体系处於较惶恐的阶段时，若房地产市场位於不景气期间，金融股吸纳房市所释出的资金能耐变弱，政府应采适当措施以慎防房市、股市与金融体系所产生的风暴。

并列摘要〈TOP〉

Banks play an important role as an intermediary in financial field. With the rise of new banks, the banking industry has faced a more competitive environment. After experiencing many times of the global financial crises, banks have to face the problems of credit quality deterioration and overloading in the last decade. In addition, the deteriorated economic environment, funds-lacking enterprises and investors ,and decrease pressure in the value of bank's collateral all may lead to the reduce of the share prices of banks. The greatest risk in Taiwan’s financial industry is the fluctuation of the collateral value .In all collaterals, real estate accounted for more than 70%. Therefore, the major aim of this thesis is to study how the change in house prices affect the returns of financial stocks.
This study extends the capital asset pricing model (CAPM),and rewrites it as the panel smooth transition regression (PSTR)framework with ,a volatility index (VIX) as the transition variable to evaluate the non-linear dynamic effect of the index of housing price on the returns of financial stock. A panel data set of twenty-three financial stocks in Taiwan during 2007:Q1-2016:Q1 is used to conduct the empirical estimation. The empirical results are for not only investors as a reference to invest in the stock market and housing market, also as a reference for financial industry to adjust the conditions of the collaterals (real estate) and to evaluate and avoid the risks caused by the changes in the environment. Furthermore, the results provide meaningful information for the government to stabilize the real estate market, stock market, and financial market.

The empirical results are summarized as follows:
1. The influence of one-period lagged stock return on current stock price (also known            as the persistence effect) is negative. The more the investors panic, the lower the   persistence effect would be.
2. Regardless of the level of the volatility index, financial stocks prices display   similar change pattern to the weighted stock index. In addition, the data coefficient ( value) is less than one, representing the financial stocks face less volatility risk relative to the weighted stock index.
3. The influence of housing returns on financial stock returns is negative, the negative effect weakens as the volatility index rises.
4. Exchange rate has negative impact on financial stock returns, and the negative effect weakens as the volatility index rises.

The associated policy suggestions are as follows:
1. The financial stock returns vary with the volatility index to show a non-linear process. Thus, investors must adjust their investment decisions period by period according to the volatility index. Second, real estate and financial stocks show an alternative complementary relationship, so investors should invest in house market when the financial stock prices has declined. In addition, during the depreciation of the New Taiwan dollar against the US dollar, arbitrage funds should move to the dollar, which would lead to the fall of the financial stock returns. However, when the market is panic, the negative impact of the depreciation to the returns of financial stocks will decrease; therefore, the holdings of the US dollar should not be excessively expanded. 2. Financial banks can raise funds, during the periods of NT dollar appreciation and the recession of real estate market. The timing to raise funds is better when the one period lagged financial stocks falls. In addition, the more the economic environment panic (the bigger the VIX is), the lower effect of housing market recession or NT dollar appreciation against US dollar on financial stock returns would be. Hence, the effect of raising funds is bigger when the economic environment shifts from stability to turmoil.
3. The financial stock returns fell during the periods of NT dollar depreciation and housing market boom, which leads to the weighted stock index fell and stock markets unstable. Therefore, the financial management authority should take actions to against the disorder caused by stock and financial markets. In addition, when the economy is in turmoil stages and the real estate market is in recessionary periods, the financial stocks to absorb the funds releaser from the housing market becomes weak. The government should take actions to prevent the housing market, stock market and the financial system from forming economic storms.

参考文献 ( 46 ) 〈TOP〉

1. 王国宝 (2016)，「物价与失业对乐透彩销售之门槛效果—纵横平滑转换自我回归模型之应用」，中原大学国际经营与贸易系硕士论文。
连结：
7. 黄靖雯 (2015)，「景气与汇率对股价的影响-非线性Ohlson模型的应用」，中原大学国际经营与贸易系硕士论文。
连结：
11.刘晓燕 (2013)，「非线性平滑转换模型之应用」，中原大学商学博士学位学程博士论文。
连结：
13.戴学玲 (2012)，「恐慌指数对股价报酬率的门槛效果-以十大工业国与东协五国为例」，中原大学国际经营与贸易系硕士论文。
连结：
1. Andrew Levina, Chien-Fu Linb, Chia-Shang James Chu (2002)‚ "Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, " Journal of Econometrics, 108(1), pp.1-24.
连结：

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DOI可强化引用精确性、增强学术圈连结，并给予使用者跨平台的良好使用经验，目前在全世界已有超过五千万个对象申请DOI。如想对DOI的使用与概念有进一步了解，请参考（）。