總體經濟政策劑量宣告不確定與股價的動態調整－Holmes-Smyth效果的考量

Uncertain Increment of Macroeconomic Policy and Dynamic Adjustment of Stock Price-The Role of Holmes-Smyth Effect

廖培賢(Peir-Shyan Liaw)；陳海貞(Hai-Chen Chen)

流動性效果 ； 股利效果 ； Holmes-Smyth效果 ； 宣示效果 ； 錯向調整 ； the liquidity effect ； the dividend effect ； the Holmes-Smyth effect ； the announcement effect ； mis-adjustment

東海管理評論

18卷1期（2016 / 07 / 01）

99 - 152

繁體中文

本文的理論架構係以曾生富(2011)、廖培賢與曾生富(2012)這兩篇考量「Holmes-Smyth效果」之封閉經濟、產出固定與物價浮動的股票市場宣示效果模型為基礎，延伸來討論一旦總體經濟政策劑量宣告面臨不確定的情況時，其究竟會對相關總體經濟變數的動態走勢產生何種影響？本文的分析結果顯示：經濟體系一旦面臨總體經濟政策劑量宣告不確定時，股價究竟會呈現調整不及、調整過度抑或錯向調整的反應，其中，(i)政策當局所真正亮出的政策劑量底牌是否如同民眾事前所做預期、(ii)「流動性效果」與「股利效果」的相對大小、(iii)「流動性效果」與「股利效果與Holmes-Smyth效果之和」、(iv)政策宣告迄執行的時差大小這四項關鍵因子佔了舉足輕重的角色。

This paper presents a uncertaint increment of closed economy macroeconomic policy announcement model based on the framework developed by Tseng(2011), Liaw and Tseng(2012). We use the announcement effect approach of rational expectation to discover the influence of stock price dynamic adjustment pattern under the uncertaint increment of closed economy macroeconomic policy rational expectation model. The major findings are (1) whether the actual policy increment of the policy authorities is different from the expectation of the public? (2) the relative magnitude of ＂the liquidity effect＂ and ＂the dividend effect＂, (3) the relative magnitude of ＂the liquidity effect＂ and the sum of ＂the dividend effect＂ and ＂the Holmes-Smyth effect＂, (4) the time lag between policy announcement and execution are the four key determinants to decide the stock price dynamic adjustment pattern.

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