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研究生： 李綺昕
QIXIN LI
論文名稱： 新冠疫情及貨幣政策對亞洲股市的影響—— 以中國大陸、香港、台灣、韓國市場為例
The Impacts of COVID-19 Pandemic and Monetary Policy on Asian Stock Markets: An Empirical Analysis of China, Hong Kong, Taiwan, and South Korea Major Stock Indices
指導教授： 黃瑞卿
Jui-Ching Huang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
論文出版年： 2021
畢業學年度： 109
語文別： 中文
論文頁數： 79
中文關鍵詞： 隨機優越 、Omega比率 、新冠疫情
外文關鍵詞： Stochastic Dominance, Omega Ratio, COVID-19
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    • 本研究以中國大陸、香港、台灣及韓國的股票市場為研究對象，主要探討上述四個國家及地區的股票市場在受到新冠病毒 (COVID-19) 的衝擊後表現如何，以及在央行施行寬鬆的貨幣政策後的約30、60以及90個交易日內，這些國家及地區的股票市場是否受到政策的影響而有所提升。本研究藉由一階隨機優越 (First-degree Stochastic Dominance)、二階隨機優越 (Second-degree Stochastic Dominance) ，以及績效衡量指標一階Omega比率、二階Omega比率發現，新冠疫情的爆發與傳播對中國大陸、香港、台灣及韓國的股票市場皆產生了嚴重的負面影響。而新冠疫情期間央行量化寬鬆的貨幣政策刺激了上述股票市場，使得股票報酬有所提升，同時也避免了各國經濟持續衰退，其中，台灣股市受到貨幣政策的影響最明顯。此外，在中國大陸的股票市場中，規模較大的上市公司受到新冠疫情以及貨幣政策的影響比中小規模的上市公司更為明顯。

    This paper attempts to explore the impact of the COVID-19 pandemic on the stock markets of China, Hong Kong, Taiwan, and South Korea. I also investigate the short-term impact of the conventional monetary policy on these stock markets. First-degree stochastic dominance, second-degree stochastic dominance, first-order Omega and second-order Omega are used to analyze the above issues. The empirical results suggest that the COVID-19 pandemic has a negative impact on all of the stock market indices. And conventional monetary policy measures have the potential to ease stock markets during the COVID-19 pandemic, especially for Taiwan. Besides, high market capitalization stocks experience not only much more negative impact of the COVID-19 pandemic but also a more positive impact of the monetary policy in comparison with low market capitalization stocks on China stock market.

    摘要 i Abstract ii 致謝 iii 目錄 iv 圖目錄 vi 表目錄 vii 一、 緒論 1 二、 文獻回顧 4 2-1 新冠疫情對股票市場的影響 4 2-2 隨機優越與Omega比率的應用 5 三、 研究內容與方法 7 3-1 研究方法 7 3-1-1 隨機優越法則 7 3-1-2 Omega比率 8 3-1-3 週報酬率 9 3-2 數據來源 9 3-3 樣本期間 10 四、 實證分析結果 12 4-1 報酬率與疫情 12 4-2 敘述性統計 12 4-3 新冠疫情對股票市場的影響 13 4-3-1 中國大陸股票市場 13 4-3-2 香港股票市場 13 4-3-3 台灣股票市場 14 4-3-4 韓國股票市場 14 4-3-5 小結 15 4-4 貨幣政策對股票市場影響 16 4-4-1 中國大陸股票市場 16 4-4-2 香港股票市場 17 4-4-3 台灣股票市場 18 4-4-4 韓國股票市場 19 4-4-5 小結 20 4-5 不同公司規模之新冠疫情與貨幣政策效果 21 4-5-1 資料選取及來源 21 4-5-2 敘述性統計 22 4-5-3 不同公司規模之疫情效果 22 4-5-4 不同公司規模之貨幣政策效果 23 4-5-5 小結 24 4-6 穩健性檢驗 25 4-6-1 敘述性統計 26 4-6-2 分析結果 26 五、 結論 27 參考文獻 66

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