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    题名: 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
    贡献者: 周行一
    Chow, Hsing-Yi
    周珣
    Chou, Syun
    关键词: 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
    上传时间: 2022-10-05 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-economy
    Davis, S. J., Liu, D. & Sheng, X.S. (2022). Stock Prices and Economic Activity in the Time of Coronavirus. IMF Econ Rev 70, 32-67.
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    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/2ZgW0v
    Pagano, M., Wagner, C., & Zechner, J. (2020). Disaster resilience and asset prices. arXiv.org. https://doi.org/10.48550/arXiv.2005.08929
    Papadamou, 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=3714737
    Stambaugh, 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
    数据类型: thesis
    DOI: 10.6814/NCCU202201513
    显示于类别:[財務管理學系] 學位論文

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