貨幣政策、公司規模與股票報酬

Monetary Policy, Firm Size and Stock Return

10.30003/JRM.200607.0004

陳君達(Chun-Da Chen)；林恩詰(Shao-Bin Lin)；林福來(Fu-Lai Lin)

貨幣政策 ； 公司規模 ； 股票報酬 ； 結構化向量自我迴歸模型 ； Monetary policy ； Firm size ； Stock return ； Structural vector autoregression model

風險管理學報

8卷2期（2006 / 07 / 01）

177 - 199

繁體中文

本文旨在利用結構化向量自我迴歸模型探討貨幣政策指標中的金融業拆款利率與非借入準備變動率等貨幣政策變數對於大小規模之上市公司股票報酬是否產生不同的影響，並將股票報酬分為名目和實質股票報酬來檢視。實證結果顯示，金融業拆款利率對名目與實質股票報酬之影響效果大於非借入準備變動率。不論是大公司或是小公司，其貨幣政策對實質股票報酬之影響皆較名目股票報酬為大，並隱含央行可以透過貨幣政策來影響股票的名目報酬率和實質報酬率，故貨幣政策並非具有中立性且股票市場非具效率性。另外，金融業拆款利率對名目或實質股票報酬率產生負向衝擊。而非借入準備變動率對名目或實質股票報酬率的影響則為正向居多，並約在10期後效果逐漸趨近於零。最後，對股票報酬率最具解釋能力的是金融業拆款利率。由於短期內，金融業拆款利率變動能解釋股票報酬，致台灣的股票市場並非一效率市場，因此投資人可依循央行的貨幣政策動向來調整其資產組合，以賺取更高的報酬。

The aim of this study is to investigate the impacts of monetary policy on stock returns according to firm size via structural vector autoregression model. We also divided the stock returns into two types: nominal and real stock returns. The results show that the interbank money market interest rates (overnight) have more influence than non-borrowed reserves on nominal and real stock returns. Regardless of the firm size, the monetary policy has more impact on real stock returns than on nominal stock returns. That is implies the Taiwan Central Bank manage the stock returns through monetary policies. The Taiwan stock market then is not an efficient market. Moreover, there are negative relationships between the interbank money market interest rates and stock returns. On the contrary, there are positive effects between non-borrowed reserves. The interbank money market interest rates have a best explanatory power any other indicators to stock returns. The investors thus can rearrange their investment portfolio by the monetary policies of the central bank and obtain higher investment returns.

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