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    Title: 臺灣退休基金對股票市場之影響
    Other Titles: The impact of pension fund on stock market in Taiwan
    台灣退休基金對股票市場之影響
    Authors: 吳品嫻;Wu, Pin-shian
    Contributors: 淡江大學管理科學研究所碩士班
    陳登源;Chen, Ding-yuan
    Keywords: 退休基金;股票市場;Granger因果關係;向量自我迴歸模型;誤差修正模型;Pension Fund;Stock Market;Granger Causality;Vector Autoregressive Model (VAR);Error Correction Model(ECM)
    Date: 2009
    Issue Date: 2010-01-11 03:45:14 (UTC+8)
    Abstract: 退休基金的資產配置一直是各基金管理會的重要課題,若將基金只投資在固定收益的債券或是定存,隨著時間的改變,油價、原物料與物價逐年上漲,在低報酬的情況下,不難想像勞工在未來領不到退休金風險將節節上升;股票是其中一項重要的投資工具,它擁有高風險與高報酬的特性,而當基金管理會將退休基金投入股票市場時,股票市場在短時間可能無法容納龐大的資金流入,對股票市場的衝擊勢必有一些影響與衝擊。本研究探討退休基金投資於股票市場後,其投資規模的大小會對股票市場的影響。
    本研究期間為1999/1/1~2008/12/31共120筆月資料,利用Granger因果關係、向量自我迴歸模型、共整合檢定與誤差修正模型,探討退休基金持股規模對股票市場的影響。
    研究發現在短期股價報酬率與股價波動性較有價格發現的功能外,勞退基金持股規模變動率落後1期對股價波動性有顯著負向影響,而勞保基金持股規模變動率落後第3期對股價波動性有顯著正向影響;然而對股價報酬率皆無顯著影響。在長期,從誤差修正模型中可知當股票市場價格偏離長期均衡時,藉由政府的介入,將退休基金增加投入市場時,除了促使偏離的價格回到長期均衡關係外,亦能減少股市的波動。本研究的研究結果除了對政府藉用退休基金促使股票市場穩定的政策,提供一個明顯的實證結果,也可提供投資人長期投資的參考。
    Asset allocation of pension fund has been an important issue of pension fund management board in Taiwan. If funds invest only in fixed-income assets, with the change of time, oil prices, raw materials and prices rise year by year. In this case because of low return characteristic of fixed income assets, it is not difficult to imagine that the risk that retirees will be facing the risk of inflation in the long term. On the other hand, equity assets seem to be one of the important investment tools, and it has the characteristic of high-risk and well-return. However, when the management board will invest the pension fund into stock market, it may not be able to accommodate huge fund inflow in a short time. There certainly will be some influence and lash on the shock on the stock market. Therefore, this study will explore that the size of their investment impact on the stock market after the pension fund invest in the stock market.
    The data periods are between 1999/1/1 ~ 2008/12/31 using monthly data. Granger Causality, Vector Autoregressive Models, Cointegration Test and Error Correction Models are used to explore the impact of pension fund on stock market in Taiwan. This Study finds that short term stock return and the stock volatility have stronger price discovery function. Changing rate of equity holding size of Public Servant Pension Fund (PSPF) lags behind one period, changing rate of equity holding size of Labor Pension Fund lags behind four periods, and changing rate of equity holding size of total pension fund lags behind the fourth period. They all have significant positive impacts on stock price volatility. However, they have no significant effect on stock returns.
    In the long term, by observing the estimating results of the error correction model we find when stock market prices deviate from the long-run equilibrium, increasing the pension fund in the market by the intervention of the government, it will force the price back to the long-run equilibrium relation, the volatility of the stock market is also with the same phenomenon. This study provides us a clear result that pension fund investment in Taiwan equity market will improve stability in the stock market.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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