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研究生： 吳靜芳
Ching-Fang Wu
論文名稱： 論巴菲特指標評估美國股市的能力： QE實施前與後的實證分析比較
A study on the ability of Buffett Indicator to assess the US stock market: empirical comparisons with the role of QE in the stock market
指導教授： 曹壽民
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 企業管理學系
Department of Business Administration
論文出版年： 2021
畢業學年度： 109
語文別： 中文
論文頁數： 39
中文關鍵詞： 巴菲特指標 、量化寬鬆政策 、聯邦資金利率 、標準普爾500指數 、時間序列 、單根檢定 、共整合檢定 、Granger因果關係檢定
外文關鍵詞： Buffett indicator, Quantitative easing, Federal fund rate, S&P 500, Time series, Unit root test, Cointegration test, Granger causality test
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    • 鑒於巴菲特指標在學術上甚少被探討，故本文主要探究在非常規貨幣政策—量化寬鬆 (quantitative easing, QE) 實施下，巴菲特指標對S&P500股價指數與其年報酬的衡量能力。本研究以時間序列分析，研究變數為巴菲特指標、S&P500股價指數與其年報酬、聯準會負債與聯邦資金率，使用EViews軟體進行單根檢定、共整合檢定、Granger因果檢定與迴歸分析。研究樣本期間切割為「量化寬鬆 (QE) 實施前」(1984年Q1 - 2008年Q3期間) 及「量化寬鬆 (QE) 實施後」(2008年Q4 - 2021年Q1期間)，並比較實證分析結果。本文主要發現：其一，QE實施前，巴菲特指標與S&P500指數年報酬呈現長期負向相關，且巴菲特指標對S&P500指數年報酬具有預測與解釋的能力。其二，QE實施後，低利率與量化寬鬆政策為影響S&P500股價指數持續創歷史新高的重要因素，但是巴菲特指標對S&P500股價指數與其年報酬卻已皆不具任何預測與衡量的能力。最後，巴菲特指標預測S&P500股價指數年報酬的能力會受到預測時間幅度影響，而巴菲特指標適合做為長期報酬衡量指標。

    Since researchers have not treated Buffett Indicator in much detail, an objective of this study is to investigate measurement capability of Buffett Indicator on both S&P500 index and its annualized return with the role of quantitative easing (QE). With Buffett Indicator, S&P500 index and its annualized return, Federal Reserve’s debt, and federal funding rate being the research variables, we used time series analysis, conducting single-root test, co-integration test, and Granger causality test. All analyses were carried out using EViews, version 11. The sample was divided into the two groups: "Ante-QE period" (1984 Q1-2008 Q3) and "Post-QE period" (2008 Q4-2021 Q1), and comparisons between the two groups were made using analysis of empirical results. The main findings of this study indicate that: first, with the absence of QE, it exists a long-term negative relationship between Buffett Indicator and S&P500 index annual return, and the former has the ability to predict and explain the latter. Second, S&P500 index continues hitting a historical record high with the role of QE and extremely low interest rates; however, at the same time, Buffett Indicator loses the predictive power to explain S&P500 index and its annual return. Lastly, Buffett Indicator's ability to predict the annualized return of the S&P500 index will be affected by the holding period (forecast horizon), and Buffett Indicator is suitable for a long-term return predictor.

    摘要 i Abstract ii 目錄 iii 圖目錄 iv 表目錄 v 一、緒論 1 1-1 研究動機與背景 1 1-2 研究目的 2 1-3 研究架構 3 二、文獻探討 4 2-1 巴菲特指標 4 2-2 量化寬鬆政策與股權市場 5 2-3 聯邦資金利率與股權市場 6 三、研究方法與模型設定 8 3-1 研究流程 8 3-2 單根檢定 11 3-3 共整合檢定 12 3-4 Granger因果關係 15 3-5 迴歸分析 16 四、實證分析結果 17 4-1 資料來源與研究期間 17 4-2 單根檢定實證分析 17 4-3 共整合檢定實證分析 19 4-4 Granger因果關係檢定 21 4-5 迴歸分析 23 五、結論與研究限制 24 5-1 研究結論 24 5-2 研究限制與建議 25 參考文獻 27

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