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頁籤選單縮合
題名 | 退休基金投資策略與股票市場發展=Pension Fund Investment Management and Stock Markets |
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作者 | 毛治文; 沈中華; Mao, Chih-wen; Shen, Chung-hua; |
期刊 | 財務金融學刊 |
出版日期 | 20090900 |
卷期 | 17:3 2009.09[民98.09] |
頁次 | 頁37-72 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 退休基金; 股票市場; 穩健門檻迴歸模型; M估計子; Pension funds; Stock markets; Robust panel threshold model; ROPTM; M-estimators; |
英文摘要 | This paper analyzes the impact of pension fund investment management on stock markets using a robust panel threshold model (ROPTM) which combines a panel threshold model with a robust regression model. We use panel data for some OECD countries and Taiwan to test the validity of our propositions. The data is divided into low and high investment regions based on the value of stocks as a percentage of total financial assets of the pension fund. In the high investment region, pension funds have a positive impact on stock markets. Whereas, in the low investment region, the positive impact seems to disappear. |
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