The Stock Return Effects of Monetary Policy on Bull and Bear Market.

• Main Authors: Tsao Chun-Chieh, 曹俊傑
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/16559090887776403679

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 91 === This paper examines the relationship between the monetary policies and stock return using Taiwan’s data. The importance of this issue is that if monetary policy shocks do effect asset market return, then according to the theory of asset pricing, monetary policy changes contribute one source to asset systematic risk, and thereby changing investors’ expectations about asset returns and prices. The result reveals that the money is not neutrality because the Fed in Taiwan can affect stock return with monetary policies. According to the impulse responds function, the effect of money supply to the stock return is positive and the effect in second and third period is significant. In the short term, the investors can use the change of the money supply to expect stock return, then they can adjust their invest programs to earn more profit.