股票報酬率和通貨膨脹關係之再探討 —泰國的實證研究

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 博碩士論文 > Item 987654321/25913

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/25913

题名:	股票報酬率和通貨膨脹關係之再探討 —泰國的實證研究 The Relationship between Stock Returns and Inflation Revisited – Evidence from Thailand
作者:	安嵐星 Aiekarnna, Chatdao
贡献者:	財務金融學系
关键词:	SET inflation stock returns multiple regression GARCH
日期:	2013-06
上传时间:	2013-11-04 10:59:13 (UTC+8)
摘要:	The purpose of this study is to investigate the relationship between stock returns and inflation for Thailand. The variables used in this study include Bangkok SET 100 stock index, S&P 500 index, consumer price index, money supply, exchange rate between USD and THB, money market rate, and crude oil price. The data are collected at the monthly interval from the Taiwan Economic Journal (TEJ), spanning from January 1997 to December 2011. All variables are found to be I(1) series using ADF, PP, and KPSS tests. Hence, the series become stationary after first differencing. The multiple regression model and the GARCH(1,1) model are employed in the empirical study. Empirical results show that inflation had negative effects on nominal and real stock returns and, moreover, the inflation-returns relationship was nonlinear in the sense that positive inflation and negative inflation exerted asymmetric effects. Evidence from the Thai stock market is in favor of the Fama’s proxy hypothesis. It is also found from the variance equation of the GARCH model that nominal and real stock returns would be less volatile in the period of high inflation or high deflation.
显示于类别:	[財務金融學系 ] 博碩士論文

文件中的档案:

没有与此文件相关的档案.

检视Licence

在CCUR中所有的数据项都受到原著作权保护.

数据加载中.....