總體經濟與融券信用交易政策宣告對股價動態走勢的影響──開放經濟體系浮動匯率制度下的分析

The Influence of Stocks Price DynamicAdjustment Pattern with Respect toMacroeconomic Policy and Short SellingMargin Transaction Policy Announcement under Flexible Exchange Rates Regime

本文的理論架構係以Blanchard（1981）的封閉經濟自有資金購買股票宣告效果（announcement effect）模型與張立忠（2001）的封閉經濟股票市場融券信用交易（short selling credit transaction）宣告效果模型為基礎，進而建構一個同時包含自有資金購買本國股票與融券信用交易這兩種股市投資方式的開放經濟體系浮動匯率制度理論架構，藉以檢視政策當局總體經濟政策（包含財政政策與貨幣政策）與融券信用交易政策（包含融券保證金成數與證券交易稅稅率）以及證券金融股份有限公司與證券商融券利率水準的政策宣告，對本國股價與匯率等相關總體經濟變數動態走勢的影響。本文的分析結果顯示：(A)一旦政策當局採行可預料到的永久擴張性財政（貨幣）政策宣告時，將會帶動本國股價展現錯向調整（misadjustment）、錯向跳動（mis-jumping）與調整不及（undershooting）的動態反應，從而會比Blanchard（1981）這篇討論封閉經濟股票市場宣告效果模型的經典文獻多出錯向調整與錯向跳動兩種動態調整型態；(B)一旦當局採行可預料到的永久性提高融券保證金成數或證券交易稅稅率或融券利率水準之政策宣告時，都將會帶動本國股價展現錯向調整、錯向跳動與調整不及的動態反應，從而會比張立忠（2001）這篇討論封閉經濟股票市場融券信用交易宣告效果模型也多出錯向調整與錯向跳動兩種動態走勢；準此，本文的研究結果從而豐富與多樣化了Blanchard（1981）這篇討論封閉經濟股票市場宣告效果模型的經典文獻與張立忠（2001）純粹以融券信用交易投資股市的封閉經濟股票市場宣告效果模型下本國股價的動態調整風貌。

This paper integrates and extends the announcement efect of stock market
model under closed economy which is characterized by Blanchard’s (1981)
“self-fund”investment pattern model and the announcement efect of stock
market model under closed economy which is characterized by Chang’s (2001)
“short selling margin credit transaction”investment pattern model to a flexible
exchange rate regimes. For a country adopting flexible exchange rate system
and facing the policy authority permanently anticipated macroeconomic policies
(include the fiscal and monetary policy) and margin requirement policies
(include the percent of deposit bond for borrowing stock, transaction tax rate
and the interest rate of borrowing stock etc.), we explored how these anticipated
shocks will afect the possible adjustment paths of relevant macroeconomic
variables. The major findings are if the policy authority permanently increase
the fiscal expenditure, nominal money supply, percent of deposit bond for borrowing
stock, transaction tax rate, the interest rate of borrowing stock and the
domestic stock price will exhibit alternative time paths of“mis-adjustment”and“mis-jump”dynamic responses which are not exhibiting in Blanchard’s (1981)
and Chang’s (2001) model.