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題名 新冠疫情危機中之股市個案研究
A case study on the performance of the US stock market during the Covid-19 pandemic作者 周珣
Chou, Syun貢獻者 周行一
Chow, Hsing-Yi
周珣
Chou, Syun關鍵詞 新冠疫情
美國股市
理性預期
行為財務學
市場流動性
Covid-19 pandemic
US stock market
Rational expectation
Behavioral finance
Liquidity日期 2022 上傳時間 5-Oct-2022 09:09:23 (UTC+8) 摘要 本文使用2020年初至2021年底，美國市場的資料，參考新冠疫情相關文獻及政府的各項政策回應，並以股價的三大因素，投資人的理性預期(Rational expectation)、行為財務學(Behavioral finance)和市場流動性(Liquidity)為框架，使用個案研究方法彙整分析，新冠疫情下美國股市指數漲跌的原因。有鑒於2021年底，市場泡沫化風聲四起，本文以SPDR S&P 500 ETF為例，套用高登成長模型，進行敏感性分析，並參考席勒本益比和超額調整後的本益比報酬等估值指標，推論美股目前仍落在合理範圍，但應重視日益飆升的通膨率。另外，股票市場瞬息萬變，當前市場存在龐大流動性，若未來遭遇不可預期之衝擊，導致流動性完全退潮，可能造成資本市場的劇烈波動。
Based on the data and information from 2020 to the end of 2021, as well as reviewing relevant literatures and various government policy responses, this research integrates and analyzes main reasons for the crash and surge of the US stock market during the Covid-19 pandemic. Our analysis hinges on the three factors affecting stock market performance including rational expectations, behavioral finance and liquidity.There had been assertions of stock market bubbles before the end of 2021. We employ the Gordon constant dividend growth model, Shiller P/E ratio and Excess CAPE yield to address whether the stock market was over-valued or not. We conclude that the stock market likely was not over-valued as of November 2021. However, since the market liquidity had been very high by historical standard before 2021, if unexpected shocks occur in the future, the US stock market will experience high volatility.參考文獻 英文參考文獻Ahundjanov, B.B., Akhundjanov, S.B., & Okhunjanov, B.B. (2020). Information Search and Financial Markets under COVID-19. Entropy, 22, 791.Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of environmental and social stocks: An analysis of the exogenous COVID-19 market crash. The Review of Corporate Finance Studies, 9(3), 593-621.Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (No. w26950). National Bureau of Economic Research.Ariff, M., Chung, T. F., & Shamsher, M. (2012). Money supply, interest rate, liquidity and share prices: A test of their linkage. Global Finance Journal, 23(3), 202-220.Augustin L. & David T. (2020). Earnings Expectations during the COVID-19 Crisis. The Review of Asset Pricing Studies, 10 (4), 598-617.Bansal, T. (2020). Behavioral finance and COVID-19: cognitive errors that determine the financial future. Available at SSRN 3595749.Bats, J., Greif W. & Kapp, D. (2021). The Rise in the Cross-sectoral Dispersion of Earnings Expectations During COVID-19. De Nederlandsche Bank Working Paper, 724.Bodie, Z. (1976). Common stocks as a hedge against inflation. The journal of finance, 31(2), 459-470.Bouri, E., Demirer, R., Gupta, R., & Nel, J. (2021). COVID-19 pandemic and investor herding in international stock markets. Risks, 9(9), 168.Broadstock, D., C. & Zhang, D. (2019). Social-media and intraday stock returns: The pricing power of sentiment. Finance Research Letters, 30, 116-123.Caballero, R. J., Simsek, A. (2021). A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “COVID-19” Shock. The Review of Financial Studies, 34, 11, 5522-5580.Chen L., Spence M. (2020). Five lessons from tracking the global pandemic economy. The Centre for Economic Policy Research. https://voxeu.org/article/five-lessons-tracking-global-pandemic-economyDavis, S. J., Liu, D. & Sheng, X.S. (2022). Stock Prices and Economic Activity in the Time of Coronavirus. IMF Econ Rev 70, 32-67.De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.Eichenbaum, M. S., Rebelo, S. & Trabandt, M. (2022). Epidemics in the New Keynesian Model. Journal of Economic Dynamics and Control, 104334.Fahlenbrach, R., Rageth, K., & Stulz, R. M. (2021). How valuable is financial flexibility when revenue stops? Evidence from the COVID-19 crisis. The Review of Financial Studies, 34(11), 5474-5521.Gormsen, N. J. & Koijen, R. S. J. (2020). Coronavirus: Impact on Stock Prices and Growth Expectations. Becker Friedman Institute for Economics Working Paper, No. 2020-22.Huber, C., Huber, J., & Kirchler, M. (2021). Market shocks and professionals’ investment behavior–Evidence from the COVID-19 crash. Journal of Banking & Finance, 133, 106247.Landier, A., & Thesmar, D. (2020). Earnings expectations during the COVID-19 crisis. The Review of Asset Pricing Studies, 10(4), 598-617.Michael, S., & Long, C. (2020). Graphing the Pandemic Economy. Project Syndicate. https://reurl.cc/2ZgW0vPagano, M., Wagner, C., & Zechner, J. (2020). Disaster resilience and asset prices. arXiv.org. https://doi.org/10.48550/arXiv.2005.08929Papadamou, S., Fassas, A., Kenourgios, D., & Dimitriou, D. (2020). Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis. MPRA Working Paper No. 100020.Park, S. (2021). The P/E Ratio, the Business Cycle, and Timing the Stock Market. The Journal of Portfolio Management, 47(8), 165-183.Ramelli, S., Wagner, A. F. (2020). Feverish Stock Price Reactions to COVID-19. The Review of Corporate Finance Studies, Volume 9, Issue 3, 622-655.Shiller, R. J., Black, L. & Jivraj, F. (2020). CAPE and the COVID-19 Pandemic Effect. Barclays Sales and Trading. https://ssrn.com/abstract=3714737Stambaugh, R. F., Yu, J. & Yuan, Y. (2012). The Short of It: Investor Sentiment and Anomalies. Journal of Financial Economics, 104 (2), 288-302.Talwar, M., Talwar, S., Kaur, P., Tripathy, N., & Dhir, A. (2021). Has financial attitude impacted the trading activity of retail investors during the COVID-19 pandemic?. Journal of Retailing and Consumer Services, 58, 102341.Vasileiou, E. (2021). Behavioral finance and market efficiency in the time of the COVID-19 pandemic: does fear drive the market?. International Review of Applied Economics, 35(2), 224-241.Yilmazkuday, H. (2020). COVID-19 effects on the S&P 500 index. (2020). Applied Economics Letters. 中文參考文獻中央銀行(2021)，主要央行因應新冠肺炎疫情之貨幣政策工具比較及相關影響。金融穩定報告。中央銀行(2021)，後疫情時代主要經濟體貨幣政策與財政政策的協調問題，中華民國中央銀行全球資訊網，https://www.cbc.gov.tw/tw/cp-302-132478-df984-1.html。中央銀行(2021)，新冠肺炎危機vs.全球金融危機：起因、影響及因應對策與啟示，貨幣金融知識專區，https://reurl.cc/OAglv9。周行一(2022)。中美匯流大未來：地緣政治、宏觀經濟、企業經營趨勢。臺北：遠見天下文化。 描述 碩士
國立政治大學
財務管理學系
109357014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357014 資料類型 thesis dc.contributor.advisor 周行一 zh_TW dc.contributor.advisor Chow, Hsing-Yi en_US dc.contributor.author (Authors) 周珣 zh_TW dc.contributor.author (Authors) Chou, Syun en_US dc.creator (作者) 周珣 zh_TW dc.creator (作者) Chou, Syun en_US dc.date (日期) 2022 en_US dc.date.accessioned 5-Oct-2022 09:09:23 (UTC+8) - dc.date.available 5-Oct-2022 09:09:23 (UTC+8) - dc.date.issued (上傳時間) 5-Oct-2022 09:09:23 (UTC+8) - dc.identifier (Other Identifiers) G0109357014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/142102 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 109357014 zh_TW dc.description.abstract (摘要) 本文使用2020年初至2021年底，美國市場的資料，參考新冠疫情相關文獻及政府的各項政策回應，並以股價的三大因素，投資人的理性預期(Rational expectation)、行為財務學(Behavioral finance)和市場流動性(Liquidity)為框架，使用個案研究方法彙整分析，新冠疫情下美國股市指數漲跌的原因。有鑒於2021年底，市場泡沫化風聲四起，本文以SPDR S&P 500 ETF為例，套用高登成長模型，進行敏感性分析，並參考席勒本益比和超額調整後的本益比報酬等估值指標，推論美股目前仍落在合理範圍，但應重視日益飆升的通膨率。另外，股票市場瞬息萬變，當前市場存在龐大流動性，若未來遭遇不可預期之衝擊，導致流動性完全退潮，可能造成資本市場的劇烈波動。 zh_TW dc.description.abstract (摘要) Based on the data and information from 2020 to the end of 2021, as well as reviewing relevant literatures and various government policy responses, this research integrates and analyzes main reasons for the crash and surge of the US stock market during the Covid-19 pandemic. Our analysis hinges on the three factors affecting stock market performance including rational expectations, behavioral finance and liquidity.There had been assertions of stock market bubbles before the end of 2021. We employ the Gordon constant dividend growth model, Shiller P/E ratio and Excess CAPE yield to address whether the stock market was over-valued or not. We conclude that the stock market likely was not over-valued as of November 2021. However, since the market liquidity had been very high by historical standard before 2021, if unexpected shocks occur in the future, the US stock market will experience high volatility. en_US dc.description.tableofcontents 第一章 緒論 11.1 研究背景及動機 11.1.1 疫情期間國際股市的表現 11.1.2 疫情初期的經濟衝擊 51.1.3 新冠疫情與歷年危機之比較 91.1.4 研究動機 121.2 研究架構 14第二章 文獻回顧 152.1 新冠疫情爆發與負面衝擊 152.2 理性預期：行業間盈利預期異質性 162.3 公司特性對股價的影響 162.4 國際貿易與全球價值鏈對企業的影響 172.5 行為財務學 172.6 美國政府對於疫情的回應措施：貨幣與財政政策 182.7 總結 18第三章 美國股市個案研究 203.1 影響股價的三大因素概述 203.2 投資人的理性預期：公司股票的內在價值 213.2.1 高登成長模型及本益比 213.2.2 高登成長模型之相關變數：預期股利、成長率及折現率的變化 233.2.3 美國政府對於疫情的回應措施：貨幣與財政政策 293.3 行為財務學 373.4 市場流動性 423.5 企業特徵對於股票報酬的影響 453.6 小結：疫情期間驅動股市的因子 463.7 股價飆漲期之供應鏈斷鏈及通貨膨脹問題 463.8 股票估值和未來發展 483.8.1 高登成長模型：敏感性分析 493.8.2 本益比指標 54第四章 結論及建議 574.1 研究結論 574.2 研究限制與未來研究建議 59參考文獻 60 zh_TW dc.format.extent 2615959 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357014 en_US dc.subject (關鍵詞) 新冠疫情 zh_TW dc.subject (關鍵詞) 美國股市 zh_TW dc.subject (關鍵詞) 理性預期 zh_TW dc.subject (關鍵詞) 行為財務學 zh_TW dc.subject (關鍵詞) 市場流動性 zh_TW dc.subject (關鍵詞) Covid-19 pandemic en_US dc.subject (關鍵詞) US stock market en_US dc.subject (關鍵詞) Rational expectation en_US dc.subject (關鍵詞) Behavioral finance en_US dc.subject (關鍵詞) Liquidity en_US dc.title (題名) 新冠疫情危機中之股市個案研究 zh_TW dc.title (題名) A case study on the performance of the US stock market during the Covid-19 pandemic en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 英文參考文獻Ahundjanov, B.B., Akhundjanov, S.B., & Okhunjanov, B.B. (2020). Information Search and Financial Markets under COVID-19. Entropy, 22, 791.Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of environmental and social stocks: An analysis of the exogenous COVID-19 market crash. The Review of Corporate Finance Studies, 9(3), 593-621.Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (No. w26950). National Bureau of Economic Research.Ariff, M., Chung, T. F., & Shamsher, M. (2012). Money supply, interest rate, liquidity and share prices: A test of their linkage. Global Finance Journal, 23(3), 202-220.Augustin L. & David T. (2020). Earnings Expectations during the COVID-19 Crisis. The Review of Asset Pricing Studies, 10 (4), 598-617.Bansal, T. (2020). Behavioral finance and COVID-19: cognitive errors that determine the financial future. Available at SSRN 3595749.Bats, J., Greif W. & Kapp, D. (2021). The Rise in the Cross-sectoral Dispersion of Earnings Expectations During COVID-19. De Nederlandsche Bank Working Paper, 724.Bodie, Z. (1976). Common stocks as a hedge against inflation. The journal of finance, 31(2), 459-470.Bouri, E., Demirer, R., Gupta, R., & Nel, J. (2021). COVID-19 pandemic and investor herding in international stock markets. Risks, 9(9), 168.Broadstock, D., C. & Zhang, D. (2019). Social-media and intraday stock returns: The pricing power of sentiment. Finance Research Letters, 30, 116-123.Caballero, R. J., Simsek, A. (2021). A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “COVID-19” Shock. The Review of Financial Studies, 34, 11, 5522-5580.Chen L., Spence M. (2020). Five lessons from tracking the global pandemic economy. The Centre for Economic Policy Research. https://voxeu.org/article/five-lessons-tracking-global-pandemic-economyDavis, S. J., Liu, D. & Sheng, X.S. (2022). Stock Prices and Economic Activity in the Time of Coronavirus. IMF Econ Rev 70, 32-67.De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.Eichenbaum, M. S., Rebelo, S. & Trabandt, M. (2022). Epidemics in the New Keynesian Model. Journal of Economic Dynamics and Control, 104334.Fahlenbrach, R., Rageth, K., & Stulz, R. M. (2021). How valuable is financial flexibility when revenue stops? Evidence from the COVID-19 crisis. The Review of Financial Studies, 34(11), 5474-5521.Gormsen, N. J. & Koijen, R. S. J. (2020). Coronavirus: Impact on Stock Prices and Growth Expectations. Becker Friedman Institute for Economics Working Paper, No. 2020-22.Huber, C., Huber, J., & Kirchler, M. (2021). Market shocks and professionals’ investment behavior–Evidence from the COVID-19 crash. Journal of Banking & Finance, 133, 106247.Landier, A., & Thesmar, D. (2020). Earnings expectations during the COVID-19 crisis. The Review of Asset Pricing Studies, 10(4), 598-617.Michael, S., & Long, C. (2020). Graphing the Pandemic Economy. Project Syndicate. https://reurl.cc/2ZgW0vPagano, M., Wagner, C., & Zechner, J. (2020). Disaster resilience and asset prices. arXiv.org. https://doi.org/10.48550/arXiv.2005.08929Papadamou, S., Fassas, A., Kenourgios, D., & Dimitriou, D. (2020). Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis. MPRA Working Paper No. 100020.Park, S. (2021). The P/E Ratio, the Business Cycle, and Timing the Stock Market. The Journal of Portfolio Management, 47(8), 165-183.Ramelli, S., Wagner, A. F. (2020). Feverish Stock Price Reactions to COVID-19. The Review of Corporate Finance Studies, Volume 9, Issue 3, 622-655.Shiller, R. J., Black, L. & Jivraj, F. (2020). CAPE and the COVID-19 Pandemic Effect. Barclays Sales and Trading. https://ssrn.com/abstract=3714737Stambaugh, R. F., Yu, J. & Yuan, Y. (2012). The Short of It: Investor Sentiment and Anomalies. Journal of Financial Economics, 104 (2), 288-302.Talwar, M., Talwar, S., Kaur, P., Tripathy, N., & Dhir, A. (2021). Has financial attitude impacted the trading activity of retail investors during the COVID-19 pandemic?. Journal of Retailing and Consumer Services, 58, 102341.Vasileiou, E. (2021). Behavioral finance and market efficiency in the time of the COVID-19 pandemic: does fear drive the market?. International Review of Applied Economics, 35(2), 224-241.Yilmazkuday, H. (2020). COVID-19 effects on the S&P 500 index. (2020). Applied Economics Letters. 中文參考文獻中央銀行(2021)，主要央行因應新冠肺炎疫情之貨幣政策工具比較及相關影響。金融穩定報告。中央銀行(2021)，後疫情時代主要經濟體貨幣政策與財政政策的協調問題，中華民國中央銀行全球資訊網，https://www.cbc.gov.tw/tw/cp-302-132478-df984-1.html。中央銀行(2021)，新冠肺炎危機vs.全球金融危機：起因、影響及因應對策與啟示，貨幣金融知識專區，https://reurl.cc/OAglv9。周行一(2022)。中美匯流大未來：地緣政治、宏觀經濟、企業經營趨勢。臺北：遠見天下文化。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202201513 en_US
