雜訊交易對貨幣政策與股價關聯性影響之研究

The Influence of Noise Trading on Monetary Policy and the Stock Market

10.6277/ter.2001.293.5

李春安(Chun-An Li)

貨幣政策 ； 股價 ； 雜訊交易 ； monetary policy ； stock price ； noise trading

經濟論文叢刊

29卷3期（2001 / 09 / 01）

339 - 364

繁體中文

貨幣政策與股價關聯性的問題，一直是財務經濟學界所關切與熱門研究的題材。近年來，相關的理論與實證研究發現雖較傾向於貨幣對股市的影響為非中性的結果，但卻還是無法以較令人信服的論點，反駁貨幣為中性的說法。本研究嘗試由雜訊交易的觀點，解釋與預測各種貨幣政策下，經濟不確定性與股價之間的關聯。研究結果顯示，經濟體系裡雜訊交易的存在與雜訊投資人的認知偏誤，在正面作用上，會凸顯貨幣政策效果，對因經濟不確定性所引起的實質股價變動，產生助漲助跌效果，提高實質股價的波動性；在抵消作用上，會使實質股價不漲反跌，降低實質股價的波動性。此特性顯示，雜訊交易現象為貨幣是否為中性問題的重要關鍵。同時，本研究的結果亦為近年來有關雜訊交易的研究，提供了一些新的詮釋。

While the issue of monetary neutrality has been extensively investigated, none of the related theoretical and empirical studies has been devoted to the important influence of noise trading. The basic model of this paper is similar to Boyle and Peterson (1995). However; the activity of noise trading is considered in this paper. The main result of this study shows that the existence of noise traders and their misperceptions concerning the security price have two opposing effects on the relationship between monetary policy and the stock price. On the positive side, insider trading will increase the volatility of the stock prices, thus making the effect of the given monetary policy more obvious. On the negative side, it will offset the increasing or decreasing pressure on the stock price, thus making the effect of the given monetary policy more ambiguous. The former effect implies that money is not neutral. But the latter opposing effect tends to reinforce the neutrality of money.

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