The Impact of the Inflation and the Other Factors on the Specific Stock Returns - An Empirical Study for Taiwan Case

• Main Authors: Shu-ying Huang, 黃淑穎
• Other Authors: Chau-jung Kuo
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/43845b

碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === The Fisher hypothesis states that the relationship between the expected inflation and the nominal asset returns is positive, however, many empirical studies have shown either a negative or no significant correlation between the stock returns and the inflation. Fama hypothesizes that the negative relationship between the stock returns and the inflation is simply proxying the positive relationship between the stock prices and the real activities. The paper studies the relationship between the eight specific stock returns and the inflation in Taiwan. The expected inflation is estimated with the ARMA model and the unexpected inflation is estimated with the expected inflation obtained from the ARMA model accordingly. Considering the non-linearity may exist between the stock returns and the inflation, the Markov switching approach is utilized with two regimes representing the recession and the expansion periods in the stock market. Either ex-post inflation or ex-ante inflation is tested in order to find out the effect of the announced inflation on the stock returns. The empirical evidence indicates that the Fisher hypothesis is invalid in Taiwan because I don’t find the significant positive relationship between the stock returns and the inflation. In addition, the Fama proxy effect hypothesis is also invalid in Taiwan because I find a negative or no significant correlation between the stock returns and the real activities. Rather, I extend the studies and explain the recession and the expansion periods for the specific stocks utilizing the business life cycle, β values, the major events and the industrial characteristics.