本研究旨在探討貨幣供給變動與股市報酬之門檻效果（Threshold Effect），運用縱橫門檻（Panel Threshold）自我迴歸模型，檢測貨幣供給對股價報酬存在上下不一的非線性關係，使股市報酬之走勢受到貨幣供給變動之影響而呈現上下不對稱之兩個以上區間關係。實證結果發現，貨幣供給和股市報酬存在雙重門檻值2.39及5.58的雙重門檻效果，且其三區間之影響係數（ 、 和 ）皆呈現正向變動關係，此結果和實務上增加貨幣供給，溢注股市動能使股價指數上揚，顯示擴張性的貨幣政策確實可以提高投資人的股市報酬，但是研究發現，增加的幅度會隨著門檻值的上升而遞減。另外，本研究亦發現，匯率和出口金額和股市報酬呈現負相關，工業生產指數和股市報酬呈現正相關，而消費者物價指數對股市報酬影響極其微小。本研究顯示擴張性的貨幣政策確實可提高投資人的股市報酬率，但過度變動卻又會導致投資人報酬下降。故建議投資人應於適當限度下，觀察貨幣供給變動，以達到股市報酬有效極大化。 This study discusses the threshold effect between variation of money supply and stock return. By using the panel threshold autoregressive model, I would like to test the asymmetrical nonlinear relationships that have different effects of variation of money supply on stock return in two regimes. The main finding is that there is a double-threshold effect between variation of money supply and stock return, and the two threshold values are 2.39 and 5.58. The effect of coefficients ( , , and )of three regimes are all positive, and this result suggests that increasing of the money supply could increase the energy of stock price index. It reveals the policy of money supply actually elevated the stock return. However, this study also finds that the increasing amplitude will decrease when the threshold value increases. In addition, it shows that negative correlation of foreign exchange and exporting sum but positive correlation of industrial production index and stock return. The consumer price index just has small influence on stock return. It displays that expanding money policy definitely raises stock return for investors, but over variation will drop down the interests. We suggest that investors should observe changes of monetary demand with proper limit to achieve maximum stock return.
