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    题名: 利率對大型股與小型股走勢之結構性變化-以美國為實證
    其它题名: The structural breaks between the US big caps and small caps equity indices to interest rate
    作者: 廖皎利;Liao, Chiao-lee
    贡献者: 淡江大學財務金融學系碩士班
    聶建中;Neih, Chien-chung
    日期: 2005
    上传时间: 2010-01-11 01:04:35 (UTC+8)
    摘要: 利率升降代表市場資金成本的高低。當利率調升或調降,對企業而言影響其資金成本,對個人而言則影響其信用融資成本。股票市場依股本規模區分為大型股與小型股,當市場利率變動時,市場資金成本隨之改變時,然對於大型股與小型股產生影響程度的差異,此議題為國內外文獻顯少探討。
    本研究以美國為實證研究市場,利用時間序列的分法,並考量結構性變化,研究期間為1990年1月至2003年12月之月資料,探討主題為聯邦資金目標利率對S&P500股價指數與Rusell2000股價指數之動態關係。
    研究結果顯示,在利率部分,GH共整合檢定顯示在考量結構性變化下,利率與兩股價指數間具有長期均衡關係的存在,在一般化衝擊反應部份顯示,利率與S&P500股價指數短期為負向,長期為正向的衝擊關係,另利率與Rusell2000股價指數則為持續負向的衝擊關係。至於S&P500股價指數與Rusell2000股價指數間,在GH共整合檢定顯示具有長期均衡關係,在一般化衝擊反應與一般化變異數分解的結果顯示具有長期持續的衝擊與較高的解釋效果。
    本研究顯示在考量結構性變化的情形下,利率與股價指數具有長期均衡關係,而大型股與小型股彼此間的走勢具有明顯的關聯性,且長期且正向的關聯性可提供投資者日後進行投資決策時的參考依據。
    Regarding the up and down of the interest rate, it shows the cost of high and low in the capital market. To a corporate, the adjustment of interest rate will be effected to its capital cost. To an individual investor, it will be effected to her/his credit financing cost. Normally, according to the capital scales, we divide the equity market as big caps, and small caps. During the interest rate moving, the cost of market capital is changing accordingly. How the interest rate moving will be effected between the big caps and small caps equities? However, this issue is not mentioned too much in previous literature.
    In the international financial markets, the U.S. Fed adjust their interest rate is always the focus in the world. Even the adjustment has heavily influence to the trend of interest rates in the world. We employ the U.S equity market as the practice target. Using various time series methodologies with the consideration of structural breaks, we try to investigate the dynamic relations of short/long term in S&P500 and Rusell2000 indices when the Fed adjusted their Federal Funds Target Rate. The observation period is from Jan., 1990 to Dec., 2003 by monthly data.
    The overall finding in interest rate shows that the interest rate has a long term equilibrium relation with the two indices in GH test. For the G-IRF test, the relation is negative between interest rate and S&P500 in short term and positive in long term. However, it is continuing negative between interest rate and Rusell2000. Furthermore, the relation between S&P500 and Rusell2000 in GH test is positive, and G-IRF and G-VDC also show the long term with continuing impact and higher effect.
    Under the consideration of structural break, it has a long term equilibrium relations between interest rate and equity indices. It has a significant relation between the big caps and small caps indices. And investors can refer this long term and positive co-relations to do her/his investment decision.
    显示于类别:[財務金融學系暨研究所] 學位論文

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