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題名 Economic growth, national competitiveness, and stock retrun 作者 王彥文
Wang, Yen Wen貢獻者 周行一
Chow, Edward
王彥文
Wang, Yen Wen關鍵詞 Economic growth
National competitiveness
Stock return日期 2011 上傳時間 30-十月-2012 14:36:23 (UTC+8) 摘要 It is wide believed that the economic growth is good to stockholders, but there still exist some arguments about the positive relationship between the economic growth and stock market returns. We prove that the economic growth has positive effect on the stock market returns. As a result, the stockholders could use the economic index to choose their target market to earn return. We find that the stock market could only reflect the short term condition of the country and could not reflect the long term accumulation of a country. That is, the national competitiveness could not reflect on the stock market return for stockholders in the long term. Otherwise, we also find that the capital formation and productivity are significantly positive to the stock market returns. We use the real GDP growth rate as the economic growth proxy and the national competitiveness rank to measure the national competitiveness from IMD competitiveness center. The time period of data is from 1997~2010. Fifty countries included in our sample. 參考文獻 1. Anderson, C. W., L. G.-F. O, 2006, "Empirical Evidence on Capital Investment, Growth Options, and Security Returns" Journal of Finance 62, 171-192.2. Banz, Rolf W., 1981, "The relationship between return and market value of common stocks" Journal of Financial Economics 9, 3-18.3. Barro, R., Sala-i-Martin, X., 1992, "Convergence" Journal of Political Economy 100, 223-251.4. Barro, R., Sala-i-Martin, X., 1995, "Economic Growth" McGraw Hill, New York.5. Begg, 1999, " Cities and Competitiveness" Urban Studies 36. 5/6 : 795-8096. Berk J. B., R. C. Green, V. Naik, 1999, " Optimal Investment, Growth Options, and Security Returns", Journal of Finance54, Issue 5, 1553-16077. Bhandari, 1988, "Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence", Journal of Finance 43, No. 2, 507-5288. Bodurtha, J., James N., D. C. Cho, 1989, "Economic forces and the stock market: An international perspective" Global Finance Journal 1, 21-46.9. Burton A. Weisbrod, 1962, "Education and Investment in Human Capital" Journal of Political Economy 70, No. 5, 106-12310. Chen, N., R. Roll and S. Ross, 1986, "Economic Forces and the Stock Market." Journal of Business 59, 383-403.11. Clark J. , Guy K., 1998, " Innovation and competitiveness: a review", Technology Analysis & Strategic Management, Vol 10, issue 3, 363-39512. Eugene F. Fama and Kenneth R. French, 1992, "The Cross-Section of Expected Stock Returns", The Journal of Finance, Vol. 47, No. 2, 427-46513. Fama E. and French K., 1993, "Common risk factors in the returns on stocks and bonds" Journal of Financial Economics, 3-56.14. Faug"ere, C., J. V. Erlach, 2006, "The Equity Premium: Consistent with GDP Growth and Portfolio Insurance" The Financial Review 41, 547-564.15. Garcia V. F. and Liu L., 1999, "macroeconomic determinant of stock market development" Journal of Applied Economics, Vol. II, No. 1, 29-5916. Georghiou L. G., J. S. Metcalfe, "Evaluation of the impact of European community research programmes upon industrial competitiveness", R&D Management Volume 23, Issue 2, 161-17017. Levine, R., Renelt, D., 1992, "A sensitivity analysis of cross-country growth regressions" The American Economic Review 82, 942-963.18. Lu Zhang, 2005, " The Value Premium", Journal of Finance, Volume 60, Issue 1, 67-10319. Mankiw, G., Romer, D., Weil, D., 1992, "A contribution to the empirics of economic growth." Quarterly Journal of Economics 107, 407-437.20. Moretti, E., 2004, "Workers` Education, Spillovers, and Productivity: Evidence from Plant-Level ProductionFunctions." The American Economic Review 94 (3), 656-690.21. Myoung-jae Lee, 2002, "Panel Data Econometrics, Methods of Moments and Limited Dependent Variables."22. Nonneman, W., Vanhoudt, P., 1996, "A further augmentation of the Solow model and the empirics of economic growth for OECD countries." Quarterly Journal of Economics 111, 943-953.23. Porter M.E., 1990, " The competitive advantage of nations: with a new introduction"24. Rapkin, DP and J, R. Strand, 1995, "Competitiveness: useful concept, political slogan or dangerous obsession", International Journal of Political Economy Yearbook, 8, 1-20.25. Ritter, J. R., 2005, "Economic Growth and Equity Returns" Pacific-Basin Finance Journal 13, 489-503.26. Roger G. Ibbotson and Peng Chen, "Long-Run Stock Returns: Participating in the Real Economy", Financial Analysts Journal ,Vol. 59, No. 1: 88-9827. 陳冠位, 2002, "Study on the Evaluation System of City Competitiveness." ,博士論文28. 薛瀾, 1995, “從國際競爭力評估美國在全球競爭地位”，美歐月刊，pp.44-60。 描述 碩士
國立政治大學
財務管理研究所
99357006
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357006 資料類型 thesis dc.contributor.advisor 周行一 zh_TW dc.contributor.advisor Chow, Edward en_US dc.contributor.author (作者) 王彥文 zh_TW dc.contributor.author (作者) Wang, Yen Wen en_US dc.creator (作者) 王彥文 zh_TW dc.creator (作者) Wang, Yen Wen en_US dc.date (日期) 2011 en_US dc.date.accessioned 30-十月-2012 14:36:23 (UTC+8) - dc.date.available 30-十月-2012 14:36:23 (UTC+8) - dc.date.issued (上傳時間) 30-十月-2012 14:36:23 (UTC+8) - dc.identifier (其他 識別碼) G0099357006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/55001 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 99357006 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) It is wide believed that the economic growth is good to stockholders, but there still exist some arguments about the positive relationship between the economic growth and stock market returns. We prove that the economic growth has positive effect on the stock market returns. As a result, the stockholders could use the economic index to choose their target market to earn return. We find that the stock market could only reflect the short term condition of the country and could not reflect the long term accumulation of a country. That is, the national competitiveness could not reflect on the stock market return for stockholders in the long term. Otherwise, we also find that the capital formation and productivity are significantly positive to the stock market returns. We use the real GDP growth rate as the economic growth proxy and the national competitiveness rank to measure the national competitiveness from IMD competitiveness center. The time period of data is from 1997~2010. Fifty countries included in our sample. en_US dc.description.tableofcontents Table contents ...........................................IVFigure content............................................IVChapter1 Introduction..................................... 1Chapter2 Literature Review................................ 5Chapter3 Hypothesis Development and Methodology.......... 113.1 Dependent variables ................................. 113.2 Independent variables................................ 113.3 Control variables ................................... 143.4 Methodology ..........................................16Chapter4 Data Description and Empirical Result........... 234.1 Data collection procedure ........................... 234.2 Data analysis ....................................... 244.3 Empirical result .................................... 28Chapter5 Conclusion...................................... 33Reference................................................ 36Appendix ................................................ 38 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357006 en_US dc.subject (關鍵詞) Economic growth en_US dc.subject (關鍵詞) National competitiveness en_US dc.subject (關鍵詞) Stock return en_US dc.title (題名) Economic growth, national competitiveness, and stock retrun en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Anderson, C. W., L. G.-F. O, 2006, "Empirical Evidence on Capital Investment, Growth Options, and Security Returns" Journal of Finance 62, 171-192.2. Banz, Rolf W., 1981, "The relationship between return and market value of common stocks" Journal of Financial Economics 9, 3-18.3. Barro, R., Sala-i-Martin, X., 1992, "Convergence" Journal of Political Economy 100, 223-251.4. Barro, R., Sala-i-Martin, X., 1995, "Economic Growth" McGraw Hill, New York.5. Begg, 1999, " Cities and Competitiveness" Urban Studies 36. 5/6 : 795-8096. Berk J. B., R. C. Green, V. Naik, 1999, " Optimal Investment, Growth Options, and Security Returns", Journal of Finance54, Issue 5, 1553-16077. Bhandari, 1988, "Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence", Journal of Finance 43, No. 2, 507-5288. Bodurtha, J., James N., D. C. Cho, 1989, "Economic forces and the stock market: An international perspective" Global Finance Journal 1, 21-46.9. Burton A. Weisbrod, 1962, "Education and Investment in Human Capital" Journal of Political Economy 70, No. 5, 106-12310. Chen, N., R. Roll and S. Ross, 1986, "Economic Forces and the Stock Market." Journal of Business 59, 383-403.11. Clark J. , Guy K., 1998, " Innovation and competitiveness: a review", Technology Analysis & Strategic Management, Vol 10, issue 3, 363-39512. Eugene F. Fama and Kenneth R. French, 1992, "The Cross-Section of Expected Stock Returns", The Journal of Finance, Vol. 47, No. 2, 427-46513. Fama E. and French K., 1993, "Common risk factors in the returns on stocks and bonds" Journal of Financial Economics, 3-56.14. Faug"ere, C., J. V. Erlach, 2006, "The Equity Premium: Consistent with GDP Growth and Portfolio Insurance" The Financial Review 41, 547-564.15. Garcia V. F. and Liu L., 1999, "macroeconomic determinant of stock market development" Journal of Applied Economics, Vol. II, No. 1, 29-5916. Georghiou L. G., J. S. Metcalfe, "Evaluation of the impact of European community research programmes upon industrial competitiveness", R&D Management Volume 23, Issue 2, 161-17017. Levine, R., Renelt, D., 1992, "A sensitivity analysis of cross-country growth regressions" The American Economic Review 82, 942-963.18. Lu Zhang, 2005, " The Value Premium", Journal of Finance, Volume 60, Issue 1, 67-10319. Mankiw, G., Romer, D., Weil, D., 1992, "A contribution to the empirics of economic growth." Quarterly Journal of Economics 107, 407-437.20. Moretti, E., 2004, "Workers` Education, Spillovers, and Productivity: Evidence from Plant-Level ProductionFunctions." The American Economic Review 94 (3), 656-690.21. Myoung-jae Lee, 2002, "Panel Data Econometrics, Methods of Moments and Limited Dependent Variables."22. Nonneman, W., Vanhoudt, P., 1996, "A further augmentation of the Solow model and the empirics of economic growth for OECD countries." Quarterly Journal of Economics 111, 943-953.23. Porter M.E., 1990, " The competitive advantage of nations: with a new introduction"24. Rapkin, DP and J, R. Strand, 1995, "Competitiveness: useful concept, political slogan or dangerous obsession", International Journal of Political Economy Yearbook, 8, 1-20.25. Ritter, J. R., 2005, "Economic Growth and Equity Returns" Pacific-Basin Finance Journal 13, 489-503.26. Roger G. Ibbotson and Peng Chen, "Long-Run Stock Returns: Participating in the Real Economy", Financial Analysts Journal ,Vol. 59, No. 1: 88-9827. 陳冠位, 2002, "Study on the Evaluation System of City Competitiveness." ,博士論文28. 薛瀾, 1995, “從國際競爭力評估美國在全球競爭地位”，美歐月刊，pp.44-60。 zh_TW
