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題 名 | 股價與貨幣成長、股利之關係--以臺灣產業為例=Money Growth, Dividends and Stock Prices: An Analysis for Taiwan's Industries |
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作 者 | 莊希豐; 陳亞為; | 書刊名 | 淡江人文社會學刊 |
卷 期 | 19 2004.06[民93.06] |
頁 次 | 頁69-90 |
分類號 | 563.53 |
關鍵詞 | 股價; 貨幣成長率; 股利; 資產訂價模型; 預持現金; 共整合; Asset-pricing model; Cash-in-advance; Cointegrtation; Dividends; Money growth; Stock prices; |
語 文 | 中文(Chinese) |
中文摘要 | 本文討論貨幣成長率與實質股價的關係,在資產訂價理論模型中加貨貨幣,貨幣是以預持現金美限制進入經濟體系,建立一個一般均衡架構做最適化處理,發現在不確定分析下,實質股價受到實質股利、貨幣供給成長率的影響。另外以臺灣產業資料檢驗此論結果,實證結果發現在塑膠業、金融保險業與資訊電子業中,股利與股價間均為正相關,且貨幣供給成長率與塑膠業、金融保險業、資訊電子業股價亦為同向變動,與理論模型所呈現的結果相符。 |
英文摘要 | This paper examines are relationship between the rate of mone growth and real stock prices. We make use of the capital asset-pricing model by adding money to it, and build a general equilibrium framework. Money is introduced to the economy through a cash-in-advance constraint that emphasizes the role dividends and the rate of money growth both affect real stock prices. We then test the theoretical results empirically by using Taiwan’s data. Four target industries are selected for estimations. It is found that there exists one cointegration relationship between variables in the plastic industry, the banking and insurance industry, and the electronic industry. Especially, dividends and money growth positively affect real stock prices in the long run. The empirical outcomes are consistent with the theoretical results. This paper concludes that the asset-pricing model may explain the determination of stock prices in Taiwan. |
本系統中英文摘要資訊取自各篇刊載內容。