以七因子模型分析疫情對臺灣及美國股價報酬率之影響

Implement Seven-factor model to analyze the Impact of epidemic on Taiwan and United States’s stock rate of return

本文採用OLS線性迴歸以及QR分量迴歸分析，對臺灣加權指數以及美國道瓊工業指數檢驗其股價自我相關情形。資料設定日期為2001年4月16日至2021年12月30日之日交易資料做為研究之運用。迴歸分析在臺灣及美國股市中分為兩階段：SARS（2001-2007）及Covid-19（2017-2021）。其中Fama &French之五因子模型在本次研究中添加了Bond（公債殖利率）及RF（無風險利率）二變數並檢驗其影響力。整體而言，疫情對於臺灣股市，無風險利率及公債殖利率具顯著影響。這也意謂著中央銀行將在股價報酬低時，適時調整無風險利率及公債殖利率以對股票市場做平衡之動作。但對於美國道瓊指數而言，在SARS期間聯邦準備系統（聯準會）並未對其公債殖利率及無風險利率作其調整，卻在Covid-19疫情期間使其與道瓊報酬產生影響，導致本研究之低分量迴歸中產生顯著負相關。

This article uses OLS linear regression and QR quantile regression analysis to test the self-correlation of stock prices for the Taiwan Weighted Index and the US Dow- Jones Industrial Index. The data is set from April 16, 2001 to December 31, 2021. These analyses are divided into two stages in the Taiwan and US stock markets, SARS (2001- 2007) and Covid-19 (2017-2021). The Fama & French five-factor model was added in two more independent variables Bond (yield to maturity) and RF (risk-free interest rate) to test their influence. Overall, the epidemic has a significant impact on Taiwan's stock market for risk-free rates and government bond yields. This also means that the central bank will adjust the risk-free interest rate and government bond yields in a timely manner to balance the stock market when stock returns are low. But for the U.S. Dow Jones, the Federal Reserve System (Fed) did not adjust its bond yields and risk-free rates during SARS, but it had an impact on Dow Jones returns during the Covid-19 outbreak, resulting in a significant negative correlation in the low-weight regression of this study.