內部財務因素對股票收益之非線性影響－－以越南銀行與保險業為例

The Nonlinear Effect of Internal Financial Factors on Stock Return: The Case of Vietnam’s Banks and Insurance Companies

本文探討越南銀行與保險業之內部財務因素如何影響其股票收益。本文採用非線性GARCH（1,1）模型進行實證內部因素對股票收益的短期預測能力，並透過共整合檢定與Granger因果關係檢定來檢驗其長期預測能力。以2008年至2014年之資料為樣本進行實證分析，檢定結果顯示較低的負債率、較高的短期應收帳款、較高的總資產和風險決定高股票收益，其關係明顯存在於短期和長期。除了應收帳款因素，此現象與其他國家的情況大致相同，本文經實證與驗證結果初步證明，越南股市是有效性的；至少對於其銀行和保險業。

This study explores the effects of internal financial factors on stock return of Vietnamese Banks and Insurance companies during 2008-2014 periods. The EGARCH-M (1,1) model with hetero-variance is used to analyze the predictive power of these internal factors to stock returns in the short run and the co-integration test and causality test are used to find their long run relationship. It is found that the higher stock return is significantly caused by lower debt ratio, higher short term account receivables, higher total asset and higher risk. These relationships evidently exist in both short-term and long-term in this group. This phenomenon is consistent with the case of other countries, except for account receivables. The empirical results of this study prove the efficient of Vietnamese stock market; at least it is right for the group of Banking and Insurance Companies.