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    Title: 資金與資本對資本市場之關聯性研究
    Other Titles: A study for the effect of capital/cash flow to capital markets
    Authors: 陳怡瑾;Chen, Yi-Chin
    Contributors: 淡江大學管理科學研究所碩士班
    倪衍森;Ni, Yen-Sen
    Keywords: 資產價格;資金流向;資金流入流出;asset prices;Cash flow;cash inflow and outflow
    Date: 2011
    Issue Date: 2011-12-28 18:15:22 (UTC+8)
    Abstract: 2009年由於國際金融市場的極不穩定,民眾陸續將國外的金融資產贖回,而遺產稅率的調降也造成部份國外資金的回流,在經歷了席捲全球的金融海嘯後,在2009年景氣對策信號6月開始轉為黃藍燈,隨著經濟數據的佐證,清楚發現諸多數據均已重回海嘯前的水準;台灣經濟景氣有回溫跡象,此時國內資金充足,加上台灣目前的利率處於有史以來最低的水準,導致資本市場部分投機者的覬覦,大筆熱錢在各資產市場之間流動,伺機而動尋找獲利的管道,在此背景下本研究欲探討國際資本流動下,與實際經濟體之間資產價格(股市、匯市、房市、債市四種主要資產)變化之關聯性。
    經由本研究之分析結果,有以下之重要發現:從總體經濟分析來看,若當物價上升時,可能引起通貨膨脹的隱憂,而且可能隱含國人可支配所得下降等意涵,所以對整體股市的走向是不利的。台灣產業結構大半皆以出口導向為主,故其結果顯示匯率與台股成交金額呈反向關係。而其投資金額來源可能來自國際資本市場,因此外資的流入流出股市勢必對匯率造成一定程度的影響,是故表中顯示匯率與外資買超呈反向關係。
    若股市交易熱絡,投資人受財富效果激勵,其帳面獲利提升,因而增加買房意願;放款趨緩時,手頭資金充裕者,若對台北市房屋有購屋需求者並無影響,因其不須透過銀行借款方式籌措購屋基金,若銀行放款率增加,表示政府可能實施擴張性貨幣政策,其銀根寬鬆有助提升購屋意願,吸引投資人投資置產,但其可能購買不為高價房屋,以免其房貸負擔過重,所以對整體北市房屋指數變動率不容易推升,是故實證結果呈反向關係。而基金淨資產增加,就單一投資人而言,其手頭能運用的資金固定,必須將投資標的有所取捨,若投資基金絕大多數投資人將資金投入股票型基金,其表示資金進入股票市場,導致債券市場投資金額的減少,導致債券價格下跌,其殖利率上升等,因此基金淨資產對債市的影響呈正向關係。
    Capital flows to emerging market economies (EMEs) have been characterized by high volatility since the 1980s. Overall, savings have flowed uphill from EMEs to advanced economies, challenging the conventional view that capital flows to EMEs are always beneficial through augmentation of their resources leading to greater investment. Full capital account liberalization can impart avoidable volatility and have an adverse impact on growth prospects of EMEs. Widespread support for capital account liberalization in emerging markets has recently shifted to skepticism and even support for capital controls in certain circumstances. This sea-change in attitudes has been bolstered by the inconclusive macroeconomic evidence on the benefits of capital account liberalization. There are several compelling reasons why it is difficult to measure the aggregate impact of capital controls in very different countries. Previous studies have detected return and volatility across cash flow during periods.
    In this paper we focus our attention on the asset prices and how different capital markets are influencing each other. We find residential property price developments and money growth shocks accumulated over the boom periods are able to well explain the depth of post-boom recessions. We observe various macroeconomic variables in Asset prices, nominal rigidities, and monetary policy. We further suggest that cash flow are a driving factor for real estate prices during boom episodes.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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