股債報酬相關性與總體經濟因素關係之探討

Stock-bond Return Relationship and Macroeconomic Factors

李美杏(Mei-Hsing Lee)；紀怡婷(Yi-Ting Chi)；廖憲文(Xian-Wen Liao)；林財川(Tsair-Chuan Lin)

股債報酬相關性 ； 分量迴歸 ； stock-bond return relationship ； quantile regression

統計與資訊評論

15卷（2013 / 12 / 01）

15 - 32

繁體中文

本文利用美國股票與債券報酬率資料研究總體經濟因素（短期利率、通貨膨脹率、工業生產指數年增率、密西根大學信心指數及波動率指數）是否能夠解釋股債報酬相關性的變化。隨著短期利率水準增加，股債報酬相關性愈高；投資人恐慌情緒增加，股債報酬相關性愈低呈現負相關，說明投資人的恐慌情緒產生股市的賣壓造成棄股買債的現象。由分量迴歸模型的結果顯示景氣變動對股債報酬正相關的影響較大，當景氣好轉（變差）股債正相關程度會提高（下降）；短期利率變動對高度正相關與高度負相關的影響較大，短期利率的增加（減少）會提高（降低）股債報酬相關程度；投資人信心只有在股債報酬為高度負相關時影響較大，當投資人信心增加（減少）將使股債報酬相關係數變大（變小），即高度負相關程度會降低（提高）。

This study employs monthly data of the U. S. market to examine the time variation in stock-bond correlation under various macroeconomic conditions (short-term interest rates, inflation rates, annual industrial production growth index rates, the University of Michigan confidence index and volatility index). When short-term interest rates increase, the stock-bond correlation rises; and when investor panic increases, the stock-bond correlation declines. This explains the ”flight-to-quality” phenomenon, where investor panic causes them to move their money out of stocks and into bonds. In this study, we also construct a quantile regression model to examine whether intertemporal causality exists between the stock-bond correlation and macroeconomic factors. The results indicate that economic changes have a significant influence on positive stock-bond correlations. When the economy improves (or worsens), the level of positive stock-bond correlation increases (or decreases). Additionally, short-term interest rates have a substantial influence on highly positive correlations and highly negative correlations. An increase (or decrease) in short-term interest rates increases (or decreases) the stock-bond return relationship, thereby increasing (or decreasing) positive correlations and reducing (or increasing) negative correlations. Investor confidence has a significant influence only when stock-bond returns have a high level of negative correlation. When investor confidence increases (or decreases), the stock-bond return relationship also increases (or decreases) and, thereby, reduces (or raising) high levels of negative correlation.

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