| 摘要: | 日本歷年來是一直臺灣重要的貿易夥伴，由2013年之貿易資料顯示，日本是我國最大進口國與第五大出口國，同時也是提供產業製造技術關鍵之來源，基於此，日本長久以來對臺灣經濟具舉足輕重地位。日本首相安培晉三於2012年12月26日第二次上任後，持續祭出大膽的經濟策略，以利復甦長期低迷景氣及連續兩年貿易赤字的困境；有鑑於臺灣進出口對日本具高度依存關係，其振興經濟政策也將對我國經濟產生一定程度連動影響。 本論文旨在探討日圓匯率與美元匯率變動是否會影響臺灣類股指數報酬。文中探討日本首相安培晉三上任前後各一年(共計2年)對臺灣股票市場加權股價報酬之影響，故研究期間為2011年12月27日至2013年12月26日止。實證上選取塑膠工業、電機機械、電器電纜、化學工業、橡膠類指、汽車工業與電子類指等進出口比重達50%以上類股進行研究，相對應之臺灣加權股價指數日資料將選取至臺灣經濟新報資料庫日資料。首先將樣本期間劃分前後二個群組，再以迴歸分析與波動分析探討匯率對類股超額報酬之影響，最後再以Chow檢定判斷日本首相安培晉三上任前後之二個群組是否有實質上的差異。 迴歸分析之實證結果發現，日圓匯率變動率對電器電纜、橡膠類指超額報酬有顯著之影響，而美元匯率變動率對橡膠類指超額報酬亦有顯著之影響效果。波動度模型之實證結果，日圓匯率波動對電機機械、橡膠類指、電子類指等超額報酬皆有顯著之影響效果；美元匯率波動對電機機械、電子類指等超額報酬亦有顯著之影響效果。Chow檢定之結果發現，塑膠工業、電機機械、電器電纜、化學工業等4個產業對於日本首相安培晉三上任前後之分群效果確實存在顯著差異，故可推論前後二個期間的經濟結構具實質上的差異性。
Japan has been an important trading partner for Taiwan over the years. The trading statistics in 2013 showed that Japan was Taiwan's largest importer and the fifth exporter, and was also the key resource of industrial manufacturing technology, making Japan remain a significant role in Taiwan's economy. After swearing in for the second term on December 26, 2012, Prime Minister of Japan Abe Shinzo successively implemented bold economic strategies to revive the economic slump lasting for a long time as well as trading deficits for 2 years in the roll; given that Taiwan's import and export are highly related to Japan, its reviving economic strategies will have a certain-degree influence on our economy accordingly. The study aims to analyze whether the change of the exchange rate in Yen and USD will influence on stock price return. We attempt to campare the Taiwan Stock Market Weighted-Price Return before and after (2 years in total) Abe Shinzo's edited the first Prime Minister of Japan, thus the sample peroid is from December 27, 2011 to December 26, 2013. Empirically, we selects stocks accounting for over 50% import and export including plastic industry, electrical machinery, electric cables, chemistry industry, rubber, automobile industry, and electronics, and its correspondent Sector Price Index from Taiwan Economic Journal Database. First, the study divides the sample period into two categories, and analyzes the influence of exchange rates on excess returns of stocks through regression analysis and volatility analysis. Finally, Chow test is adopted to determine the structural change between the sample period. The empirical result through regression analysis shows that the change rate of the exchange rate on Yen has a significant influence on excess returns of electric cables and rubber stocks, while the change rate of the exchange rate on USD has a significant influence on the excess return of rubber stocks. In terms of the empirical result through volatility model, the change rate of the exchange rate on Yen has a significant influence on excess returns of electrical machinery, rubber, and electronics stocks; the change rate of exchange rate on USD has a significant influence on excess returns of electrical machinery and electronics stocks. Chow test shows that a significant difference occurs between plastic industry, electrical machinery, electric cables, and chemistry industry and the effect of divided categories before and after Prime Minister of Japan Abe Shinzo's assumption of office, indicating that the structural change between these two periods. |
