外文翻譯--宏觀經(jīng)濟(jì)因素與股市的運(yùn)動(dòng)案例研究（節(jié)選）

1、<p>　　2100單詞，11800英文字符，3500漢字</p><p>　　出處：Adam A M, Tweneboah G. Macroeconomic Factors and Stock Market Movement: Evidence from Ghana[J]. Social Science Electronic Publishing, 2008.</p><p>

2、<b>　　原 文：</b></p><p>　　Macroeconomic Factors and Stock Market Movement: Evidence from Ghana</p><p>　　By Adam, Anokye M. and Tweneboah , George</p><p><b>　　Abst

3、ract</b></p><p>　　This study examines the effects of macroeconomic variables on the movement stock prices in Ghana. We analyze both long-run and short-run dynamic relationships between the stock market

4、 index and macroeconomic variables including inward foreign direct investments, Treasury bill rate, consumer price index, and exchange rate from 1991:1 to 2006:4 using Johansen's multivariate counteraction test and i

5、nnovation accounting techniques. We established that there is counteraction between macroeconomic var</p><p>　　Keywords: Counteraction, Foreign Direct Investment, Innovation Accounting</p><p>　　

6、1. Introduction</p><p>　　The relationship between macroeconomic factors and stock market development has</p><p>　　dominated in the academic and practitioners’ literature over the past decades. S

7、ome</p><p>　　fundamental macroeconomic variables such as exchange rate, interest rate, industrial</p><p>　　production and inflation have been argued to be the determinants of stock prices. It is

8、</p><p>　　believed that government financial policies and macroeconomic events have large</p><p>　　influence on general economic activities including the stock market. This has motivated many re

9、searchers to investigate the dynamic relationship between stock returns and macroeconomic variables. For example, using the Arbitrage Pricing Theory (APT) developed by Ross (1976), Chen et al. (1986) used some macroecono

10、mic variables to explain stock returns in the US stock markets. They show that industrial production, changes in risk premiums, and changes in the term structure are positively related </p><p>　　The objectiv

11、e of the present study is to contribute to the existing literature by examining the effects of macroeconomic variables on the movement of Ghana stock market proxy by Databank Stock Index (DSI). Our results indicate that

12、stock prices in</p><p>　　Ghana is consistently influenced by changes in macroeconomic variables consistent with the findings of studies in developed and emerging markets like the US, Japan, UK, Malaysia, New

13、 Zealand and Korea.</p><p>　　2. Stock Returns and Macroeconomic Variables: Literature Review</p><p>　　Probably the relationship between stock prices and macroeconomic variables is well</p>

14、<p>　　illustrated by the Dividend Discount Model (DDM) proposed by Miller and Modigliani (1961) than any other theoretical stock valuation model. According to the model the current price of an equity share equals

15、the present value of all future cash flows to the share. Thus, the determinants of share prices are the required rate of return and expected cash flows (see Oyama, 1997; Gan et al 2006; Humpe and Mcmillan, 2007; Leibowit

16、z, Sorensen, Arnott and Hansen, 1989; and Tessaromatis, 2003) suggesting </p><p>　　Using the multi-factor APT framework, Hamao (1988) shows that inflation</p><p>　　significantly influenced Japan

17、ese stock returns. An investigation of the relationships</p><p>　　between stock prices and real activity, inflation, and money conducted by Fama in 1981 shows a strong positive correlation between common sto

18、ck returns and real variables. Kaneko and Lee (1995) and Lee (1992) find similar results. By examining the relationship between inflation and stock prices in 16 industrialized countries, Rapach (2002) argues that increas

19、e in inflation does not result in persistent depreciation of share real value. The exchange rate which indicates the movement of currency a</p><p>　　affect US stock market index during 1980-86.</p>&l

20、t;p>　　Adler and Dumas (1984) argue that even firms whose entire operations are domestic may be affected by exchange rates, if their input and output prices are influenced by currency movements. Other studies have argu

21、ed that depreciation of the local currency increases export, and hence stock prices. Lueherman (1991) finds that although exchange rate movements affect stock prices depreciation of the local currency does not constitute

22、 competitive advantage for home companies as argued. According to the</p><p>　　3. Ghana Stock Exchange</p><p>　　The idea of establishing a stock exchange in Ghana, which led to the promulgation

23、of the Stock Market Act of 1971 to lay the foundation for the establishment of the Accra Stock Market Limited (ASML) in the same year, dates back to 1968. Unfavourable</p><p>　　macroeconomic environment, pol

24、itical instability and lack of government support</p><p>　　undermined the take off of the market.</p><p>　　Under the surveillance of the International Monetary Fund and the World Bank,</p>

25、<p>　　Ghana underwent structural reforms in 1983 to deal with distortions in the economy</p><p>　　together with other financial reforms. This led to the deregulation of interest rates,</p><

26、p>　　removal of credit controls, floating of exchange rates and many others. After the financial liberalization and the divestiture of a host of state-owned enterprise the need for stock market in Ghana became unavoida

27、ble.</p><p>　　4.0 Data and Methodology</p><p>　　4.1 Data Selection Justification and Hypothesis</p><p>　　In this section we justify the selection of the variables used for the analy

28、sis in this study.</p><p>　　Databank Stock Index: This variable which serves as the dependent variable in our</p><p>　　analysis captures the performance of the market and it is the dependent var

29、iable in our</p><p>　　regression analysis. It is the first ever index computed by Databank Group. Its selection is motivated by data availability.</p><p>　　Inflation: High rates of inflation inc

30、rease the cost of living and a shift of resources from investments to consumption. This leads to a fall in the demand for market instruments and subsequently leads to a reduction in the volume of stock traded. Also the m

31、onetary policy responds to the increase in the rate of inflation with economic tightening policies, which in turn increases the nominal risk-free rate and hence raises the discount rate in the valuation model. DeFina (19

32、91) argues that nomina</p><p>　　Exchange rate: Ghana’s import sector dominates the export sector; therefore</p><p>　　depreciation of the Ghana cedi will lead to an increase in prices of producti

33、on and</p><p>　　thereby reducing cash flows to the import dominated companies. Repatriation of earning will also be relatively unattractive to foreign portfolio investors who play a major role on the GSE. We

34、 hypothesize negative impact on the performance of DSI.</p><p>　　Interest rate: The relationship between interest rates and stock prices is well established. An increase in interest rate will increase the op

35、portunity cost of holding money and investors substitute holding interest bearing securities for share hence falling stock prices. The Treasury bill rate is used as a measure of interest rate in this study because invest

36、ing in Treasury bill is seen as opportunity cost for holding shares. High-treasury bill rates encourage investors to purchase more governm</p><p>　　Net Foreign Direct Investment: Foreign capital inflows can

37、make significant</p><p>　　contributions to the host country's economic growth and development by lessening and cushioning shocks resulting from low domestic saving and investment. Increase in net FDI the

38、refore has positive effect on the liquidity and size of the GSE. Foreign equity finance account for over 70% of total equity investments in 2006. It is believed that the increase in market capitalization of GSE from 1.98

39、% of GDP in 1993 to 34.37% of GDP in 1994 followed the exchange to foreigners and non-resident Ghanaian</p><p>　　5. Conclusion</p><p>　　In this study we examine the role of macroeconomic variabl

40、es in stock market movement for the period 1991:1 to 2006:12. We considered the Databank Stock Index, interest rate, inflation, net foreign direct investment and exchange rate. We explored the long run relationship betwe

41、en the variables using Johansen's multivariate counteraction tests. Short-run dynamics were traced by means of impulse response function and forecast error variance decomposition analysis. The counteraction analysis

42、provid</p><p><b>　　譯 文：</b></p><p>　　宏觀經(jīng)濟(jì)因素與股市的運(yùn)動(dòng)：案例研究</p><p>　　本研究考察了在加納的股票價(jià)格受到總體經(jīng)濟(jì)變量波動(dòng)的影響。我們采用Johansen的多變量協(xié)整檢驗(yàn)和計(jì)量統(tǒng)計(jì)分析方法，選取從1991年1月到2006年4月的樣本數(shù)據(jù)，分析股票價(jià)格指數(shù)與宏觀經(jīng)濟(jì)變量（包括外國(guó)直

43、接投資，國(guó)庫(kù)券利率，消費(fèi)者物價(jià)指數(shù)和匯率）之間的長(zhǎng)期和短期動(dòng)態(tài)關(guān)系。利用加納的變量數(shù)據(jù)，我們發(fā)現(xiàn)宏觀經(jīng)濟(jì)變量和股票價(jià)格之間存在協(xié)整關(guān)系，表明存在長(zhǎng)期均衡關(guān)系。進(jìn)一步的分析表明，短期內(nèi)，通貨膨脹、匯率與股價(jià)走勢(shì)存在相關(guān)關(guān)系。而且，利率和通貨膨脹在長(zhǎng)期走勢(shì)中更加的顯著。</p><p>　　關(guān)鍵詞：協(xié)整，外商直接投資，計(jì)量統(tǒng)計(jì)分析方法</p><p><b>　　1、簡(jiǎn)介</b

44、></p><p>　　在過(guò)去的幾十年，宏觀經(jīng)濟(jì)因素和股票市場(chǎng)發(fā)展之間的關(guān)系研究，在學(xué)術(shù)界占據(jù)了主導(dǎo)地位，一些基本的宏觀經(jīng)濟(jì)變量如匯率，利率，工業(yè)生產(chǎn)和通貨膨脹，被認(rèn)為是股票價(jià)格的決定因素。一般認(rèn)為，政府的財(cái)政政策和宏觀經(jīng)濟(jì)事件對(duì)整體經(jīng)濟(jì)活動(dòng)影響較大（股票市場(chǎng)），這促使許多研究人員分析股票收益率與宏觀經(jīng)濟(jì)變量之間的動(dòng)態(tài)關(guān)系。例如，利用套利定價(jià)理論（APT）Ross (1976), Chen（1986）用一些

45、宏觀經(jīng)濟(jì)變量來(lái)解釋美國(guó)股市股票收益率，研究表明工業(yè)生產(chǎn)總值，風(fēng)險(xiǎn)溢價(jià)，期限結(jié)構(gòu)和預(yù)期股票收益呈現(xiàn)正相關(guān)，然而預(yù)期和未預(yù)期通貨膨脹率與股票收益率呈現(xiàn)負(fù)相關(guān)。其他研究人員（ 1998; McMillan和Humpe，1997; Mukherjee and Naka，1995; Mukherjee and Naka， 1999和Maysami和Koh，2000）采用協(xié)整分析，研究了如日本，美國(guó)，澳大利亞，加拿大和歐洲國(guó)家等發(fā)達(dá)國(guó)家的股票收益率

46、和宏觀經(jīng)濟(jì)變量之間的關(guān)系。雖然越來(lái)越多的資本從發(fā)達(dá)國(guó)家向新興經(jīng)濟(jì)體轉(zhuǎn)移并且取得了較高回報(bào)（見Ushad等，2008; Osinubi，2004年），但是新興股票市場(chǎng)沒有得到很</p><p>　　2、股票收益率與宏觀經(jīng)濟(jì)變量：文獻(xiàn)綜述</p><p>　　也許由Miller 和Modigliani（1961）提出的股息貼現(xiàn)模型，比任何其他的股票估值理論模型更好的說(shuō)明了股票價(jià)格與宏觀經(jīng)濟(jì)變量

47、之間的關(guān)系。根據(jù)該模型，當(dāng)前的股票價(jià)格等于股票的所有未來(lái)現(xiàn)金流量現(xiàn)值的總和。因此，股票價(jià)格的決定因素是必要收益率和預(yù)期現(xiàn)金流量（見Oyama, 1997; Gan等人2006; Humpe和McMillan，2007; Leibowitz,Sorensen, Arnott 和 Hansen, 1989; 和 Tessaromatis, 2003），這表明宏觀經(jīng)濟(jì)影響因素如預(yù)計(jì)未來(lái)現(xiàn)金流和要求回報(bào)率都能影響股價(jià)。Fama 和 Gibbon

48、（1982）發(fā)現(xiàn)，預(yù)期收益與預(yù)期通貨膨脹率呈負(fù)相關(guān)，這是由于金融資產(chǎn)和實(shí)體經(jīng)濟(jì)活動(dòng)的預(yù)期回報(bào)存在正相關(guān)。使用APT多因素分析，Hamao（1988）發(fā)現(xiàn)，通貨膨脹顯著影響日本股市的回報(bào)。fama在1981年進(jìn)行的關(guān)于股票價(jià)格與實(shí)體經(jīng)濟(jì)活動(dòng)，通貨膨脹和貨幣的關(guān)系的研究中，發(fā)現(xiàn)普通股的收益和實(shí)際變量顯示出明顯的正相關(guān)關(guān)系。Kaneko and Lee (1995) and Lee (1992) 發(fā)現(xiàn)類似的結(jié)果。Rapach </p&g

49、t;<p><b>　　3、加納證券交易所</b></p><p>　　在加納建立證券交易所的想法可以追溯到1968年，1971年頒布了股票市場(chǎng)法，為在同一年成立的阿克拉股票市場(chǎng)有限公司（ASML）打下了基礎(chǔ)。不利的宏觀經(jīng)濟(jì)環(huán)境，不穩(wěn)定的政治和缺乏政府的支持削弱了市場(chǎng)的有效性。根據(jù)國(guó)際貨幣基金和世界銀行的監(jiān)測(cè)，1983年，加納進(jìn)行結(jié)構(gòu)改革處理經(jīng)濟(jì)不平衡，例如利率的放松管制、取消

50、信貸管制，匯率浮動(dòng)等其他的措施。加納股票市場(chǎng)在金融自由化后，國(guó)有企業(yè)資產(chǎn)的剝離已經(jīng)不可避免。</p><p>　　4、數(shù)據(jù)選擇的理由和假設(shè)</p><p>　　在本節(jié)中，我們對(duì)宏觀經(jīng)濟(jì)變量進(jìn)行選擇，以便更好的用于研究。</p><p>　　股票指數(shù)：這個(gè)變量體現(xiàn)了股票市場(chǎng)的好壞，作為我們這次分析中的因變量，而且它也是我們回歸分析中的因變量，根據(jù)數(shù)據(jù)的可用性對(duì)樣本數(shù)據(jù)

51、進(jìn)行選擇。</p><p>　　通貨膨脹：高通貨膨脹率上升使得生活費(fèi)用上升，資源從投資轉(zhuǎn)移到消費(fèi)。這導(dǎo)致了市場(chǎng)工具的需求減少，隨后導(dǎo)致了股票的交易量減少。此外，通脹率上升伴隨著了貨幣緊縮政策的出臺(tái)，反過(guò)來(lái)增加了名義無(wú)風(fēng)險(xiǎn)利率，從而提高了估價(jià)模型中的折現(xiàn)率。DeFina（1991）認(rèn)為，協(xié)議合同無(wú)法立即調(diào)整該公司的收入和成本，使得現(xiàn)金流的增長(zhǎng)速度與通貨膨脹的增長(zhǎng)速度一致，因此，我們預(yù)計(jì)通貨膨脹和股市負(fù)相關(guān)。<

52、/p><p>　　匯率：加納的進(jìn)口部門相對(duì)于出口行業(yè)占主導(dǎo)地位，因此加納本幣貶值導(dǎo)致生產(chǎn)價(jià)格上漲，從而減少進(jìn)口占主導(dǎo)的公司的現(xiàn)金流量。對(duì)于在GSE發(fā)揮重要作用的外國(guó)證券投資者來(lái)說(shuō)，即使降低稅收也相對(duì)缺乏吸引力，因此我們假設(shè)匯率與股票價(jià)格指數(shù)負(fù)相關(guān)。</p><p>　　利率：利率和股票價(jià)格之間的關(guān)系是眾所周知的。利率上升將增加持有貨幣的機(jī)會(huì)成本，投資者將改持其他計(jì)息證券，因此股票價(jià)格下跌，這項(xiàng)

53、研究中以國(guó)庫(kù)券利率是為研究對(duì)象，國(guó)債投資被視為持有股票的機(jī)會(huì)成本。高利率國(guó)庫(kù)券鼓勵(lì)投資者購(gòu)買更多的政府債券。國(guó)債往往與股票和債券競(jìng)爭(zhēng)，成為投資者的投資對(duì)象。股票價(jià)格和國(guó)庫(kù)券利率預(yù)期負(fù)相關(guān)。</p><p>　　凈外國(guó)直接投資：外國(guó)資本流入可以對(duì)東道國(guó)的經(jīng)濟(jì)增長(zhǎng)和與發(fā)展做出重大貢獻(xiàn)，通過(guò)減少和緩沖因?yàn)閲?guó)內(nèi)低儲(chǔ)蓄和低投資造成的影響，因此，外國(guó)直接投資凈額增加對(duì)流動(dòng)性和GSE的規(guī)模產(chǎn)生積極影響。在2006年外資股權(quán)融資

54、賬戶超過(guò)股權(quán)投資總額的70％。據(jù)介紹，自從1993年對(duì)外國(guó)人和非加納居民開放股票市場(chǎng)后，GSE市值從1993年占GDP總量的1.098%上升到1994年的37.34%。在同一時(shí)期，外國(guó)直接投資凈從占GDP總量的2.1%增加到4.28%，因此，我們假設(shè)凈外國(guó)直接投資和股票市場(chǎng)之間存在積極的關(guān)系。如前所述，在1994年當(dāng)AGC在GSE的首次上市是時(shí)，它占了約90％的總市值。這改變了股票市場(chǎng)的形象并吸引了不少外國(guó)投資者；因此討論如流動(dòng)性，波動(dòng)

55、性和營(yíng)業(yè)額預(yù)期對(duì)市場(chǎng)的影響是合理的。在此之后，我們構(gòu)建了一個(gè)影響上市的虛擬賬戶結(jié)構(gòu)，0和1分別為的AGC在股票市場(chǎng)上市之前和之后的一段期間。</p><p><b>　　5、結(jié)論</b></p><p>　　在這項(xiàng)研究中，我們研究1991年1月至2006年12月期間宏觀經(jīng)濟(jì)變量在股市運(yùn)動(dòng)中的作用。我們討論了股票指數(shù)，利率，通貨膨脹率，凈外國(guó)直接投資和匯率。我們采用

56、Johansen的多變量協(xié)整檢驗(yàn)探討了變量間的長(zhǎng)期關(guān)系，通過(guò)脈沖響應(yīng)函數(shù)和預(yù)測(cè)誤差方差分解分析短期動(dòng)態(tài)關(guān)系。在協(xié)整分析時(shí)發(fā)現(xiàn)，在時(shí)間序列上變量之間存在長(zhǎng)期的相關(guān)關(guān)系。與我們的假設(shè)相反，我們發(fā)現(xiàn)通貨膨脹和股票價(jià)格指數(shù)呈現(xiàn)正相關(guān)，這和Firth (1979)，Anari和Kolari（2001年）Luintel和Paudyal（2006）和Gultekin（1983）的研究發(fā)現(xiàn)符合，股市的部分或全部提供了對(duì)通貨膨脹的對(duì)沖。該FEVD表明，相