台灣上市產業指數之權益存續期間及其結構性變化

EMPIRICAL EQUITY DURATION AND STRUCTURAL CHANGE OF INDUSTRIAL INDICES IN TAIWAN

本文以1995年2月至2008年1月之19類的台灣上市產業指數為研究對象，利用迴歸模型估計其實證權益存續期間，以探討股票報酬率的利率敏感度。模型中，我們控制了資產定價文獻中三個重要的股票風險因子：市場因子、規模因子與價值因子；其中，我們以正交市場因子替代了市場因子，以避免因為利率變動與市場報酬間存在共線性而造成權益存續期間有可能錯估的問題。此外，基於權益存續期間具有會隨時間改變的動態特性，本文亦對各產業指數最近一次結構性變化的發生時點進行偵測，並據以推估最近期的權益存續期間。實證結果顯示：傳統產業的權益存續期間普遍來說並不顯著，而如電子業與金融保險業等非傳統產業則具有負的權益存續期間。我們的結果同時支持產業的未來成長性以及通膨轉嫁能力的高低皆會影響權益存續期間。

This paper studies the empirical equity duration of 19 industrial indices in Taiwan by examining the sensitivity of stock returns to interest rate changes. In the regression framework, we control for three important asset-pricing factors, namely the market excess returns, and Fama and French’s (1993) two factors constructed on firm-size and book-tomarket ratio. Due to possible biases generated from the collinearity existing between the market excess return and the interest rate change, we replace the market excess return by the orthogonalized market factor. Furthermore, considering the time-varying nature of the empirical equity duration, we also test for the most recent break point of the regression relationship by the reversed ordered Cusum test proposed by Pesaran and Timmermann (2002), and propose a most up-to-date estimate of empirical equity duration. Empirical results show that the equity duration estimates of the traditional industrial sectors are universally insignificant, except the Electrical and Cable index; while the Electronics and Finance and Insurance indices exhibit significantly negative equity durations. Our findings also support the hypothesis that growth opportunities and inflation flow-through capabilities can affect empirical equity durations.