臺灣博碩士論文加值系統

本研究選擇利率、通貨膨脹、經濟成長等經濟變數作為篩選條件，利用有效聯邦基金利率月率、美國消費者物價指數月增率、美國國內生產毛額季增率等經濟數據建構不同經濟環境構面，按照這些條件將標準普爾500與美國10年期公債殖利率分類成不同群組，探究在不同經濟框架下股債相關性的實際狀況。
實證結果如同過去文獻所示，股債相關性並不穩定，不過大致可看出利率低水準或降息、物價變動平穩、景氣溫和時，股價與債券殖利率呈現正相關，與債券價格呈負相關；高利率水準或利率增加、物價增加波動變大、景氣擴張甚至過熱時，股價與債券殖利率呈現負相關，與債券價格呈正相關。
當股價與債券價格反向變動時，投資組合納入股票及債券將具有分散風險的效益，若股價與債券價格同向變動，將無法達成投資組合趨吉避凶的功能，或許可調整投資部位或納入不同資產配置。

This study examines the relationship between stocks and bonds under different economic conditions, focusing on interest rates, inflation, and economic growth as key factors. By utilizing relevant economic data such as the monthly effective federal funds rate, the monthly growth rate of the US Consumer Price Index, and the quarterly growth rate of US Gross Domestic Product, distinct economic environments are constructed. The S&P 500 and the US 10-year Treasury bond yield are then categorized into different groups based on these conditions to investigate the practical correlation between stocks and bonds.

The empirical findings align with prior literature, demonstrating that the correlation between stocks and bonds is not stable. However, a general pattern emerges: during periods of low interest rates or rate cuts, stable price movements, and moderate economic environment, stock prices exhibit a positive correlation with bond yields and a negative correlation with bond prices. Conversely, in times of high interest rates or rate hikes, increased price volatility, and an expanding or overheating economy, stock prices show a negative correlation with bond yields and a positive correlation with bond prices.

When stock prices and bond prices move in opposite directions, incorporating both stocks and bonds into an investment portfolio offers the benefit of risk diversification. However, when stock prices and bond prices move in the same direction, the portfolio fails to achieve the intended risk mitigation. In such instances, adjusting investment allocations or considering the inclusion of different asset classes may be warranted.

第一章　緒　論 1
第一節　研究背景與動機 1
第二節　研究目的 3
第三節　研究架構與流程 4
第二章　文獻探討 7
第一節　投資組合理論 7
第二節　利率與股債報酬相關性 10
第三節　通貨膨脹與股債報酬相關性 11
第四節　利率、通貨膨脹與股債報酬相關性 12
第五節　經濟成長與股債報酬相關性 13
第六節　股債報酬相關性 14
第三章　研究方法 17
第一節　樣本介紹與研究 17
第二節　研究設計 22
第三節　皮爾森相關係數 23
第四章　實證結果與分析 25
第一節　敘述統計 25
第二節　相關性分析 27
第五章　結論 41
第一節　研究結論 41
第二節　未來研究建議 42
參考文獻 43

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