與可持續股市表現相關的多維因素

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题名:	與可持續股市表現相關的多維因素 Multidimensional Factors Related to Sustainable Stock Market Performances
作者:	Darsono, Susilo Nur Aji Cokro
贡献者:	經營管理學系
关键词:	文化維度、2019冠狀病毒病大流行、經濟政策的不確定性、良好的治理、可持續投資、股市回報 Cultural Dimension、COVID-19 Pandemic、Economic Policy Uncertainty、Good Governance、Sustainable Investment、Stock Market Returns
日期:	2023
上传时间:	2023-05-02 02:00:36 (UTC+0)
出版者:	亞洲大學
摘要:	在過去幾十年裡，可持續投資發展迅速。本論文試圖通過檢驗多維因素與可持續股票市場績效隨時間變化的相關性，使用計量經濟學框架來衡量可持續投資的決定因素。該調查本質上是比較性的，使用不同頻率的數據，檢查 2015 年至 2022 年的不同時間段，並採用廣泛的國際數據源。計量經濟學分析通過相關的製度細節得到增強，並採用動態統計技術。本文的新穎之處在於其可持續的股票市場數據、多維變量和分析得出的統計事實。研究 I 調查了七個亞洲國家可持續股票市場回報的文化維度。本研究中使用的四個文化維度是權力距離指數 (PDI)、個人主義 (IDV)、不確定性規避指數 (UAI) 和長期取向 (LTO)。使用 2015-2019 年期間七個亞洲國家每月可持續股票市場回報的面板數據。本研究採用普通最小二乘法 (OLS) 回歸和具有 id 和時間固定效應的可行廣義最小二乘法 (FGLS) 回歸。我們的實證調查結果強調了以下事實：(i) 權力距離 (PDI) 的增加將增加亞洲地區的市場回報； (ii) 個人主義 (IDV) 對市場回報產生積極和顯著的影響，亞洲國家個人主義的增加將導致更高的可持續股票回報； (iii) 亞洲地區投資者迴避不確定性 (UAI) 的增加將導致更高的股票回報； (iv) 長期導向 (LTO) 對市場回報產生了重大而積極的影響。它表明，如果投資者對亞洲地區的可持續證券交易所有長期的定位，將導致股票收益增加。在亞洲地區，可持續股票市場的普遍存在促使需要研究良好治理如何促進這種發展。這就是研究二中所研究的內容。良好治理對可持續股票市場回報的影響。本研究使用 WGI 數據作為良好治理的指標，並採用固定效應模型 (FEM) 和隨機效應模型 (REM) 對 2015 年至 2020 年亞洲六個國家可持續股票市場回報的面板數據進行檢驗，以檢驗兩者之間的關係變量。此外，可行廣義最小二乘法 (FGLS) 回歸小組發現，政治穩定和沒有暴力 (PSA) 和監管質量 (REQ) 對亞洲地區的可持續投資回報產生積極影響，而另一方面，控制腐敗 (COC) 對可持續投資回報表現出顯著的負面影響。這些發現表明，更出色的政治穩定性和合理的監管有助於提高股市回報。相反，隨著 COC 指數的增長，與腐敗控制相矛盾會導致股市收益下降。將注意力轉移到 VUCA（波動性、不確定性和歧義性）時代，研究三考察了經濟政策不確定性、全球商品和比特幣價格與可持續股市回報之間的關係。本研究使用來自 12 個具有可持續證券交易所的國家/地區的市場價格面板數據。本研究通過使用面板自回歸分佈滯後 (ARDL) 檢驗長期協整和短期效應來調查 EPU 對股市回報的影響。自回歸分佈滯後回歸的結果表明，EPU 在長期內具有負面且顯著的影響。而黃金、石油和比特幣對可持續的股市回報具有積極而重大的影響。然而，在短期內，比特幣和石油對可持續的市場回報具有積極而重大的影響。這一實證發現表明，從長遠來看，各國經濟政策不確定性的上升將降低可持續的股票市場回報。最後一項研究調查了近期 COVID-19 大流行、匯率和商品價格上漲對亞洲地區可持續股市回報的健康危機的影響。為了分析數據，我們實施了面板自回歸分佈滯後 (ARDL)，它可以估計 COVID-19、匯率和大宗商品價格對亞洲可持續股市表現的短期和長期影響。此外，採用具有固定效應和隨機效應的廣義矩量法 (GMM)，通過使用涵蓋最近大流行時期的 2020 年 3 月至 2022 年 4 月期間的每日數據來檢查結果的穩健性。布倫特原油和黃金的每日價格也作為本研究的控制變量。結果發現，從長遠來看，COVID-19、匯率和布倫特油價對亞洲可持續股市表現有積極影響。而全球黃金價格對可持續股票市場的回報產生負面影響。不過，在短期內，COVID-19對亞洲股市沒有顯著影響，但對八個亞洲國家的個人估計產生了不同的影響。鑑於大流行期間不斷變化的股市動態，可持續投資將有利於投資者理解投資多元化的優勢以及保護策略。所有這些結果都支持可持續股票市場受國家文化、良好治理、經濟政策不確定性、健康和商品等多維因素影響的觀點 Sustainable investment has quickly evolved during the last decades. This dissertation attempts to measure the determinants of sustainable investment using an econometric framework by examining the correlations of multidimensional factors and sustainable stock market performance in time varying. The investigation is comparative in nature, using varying frequencies of data, examining different time periods from 2015 to 2022 and employing a wide range of international data sources. The econometric analysis is augmented by institutional detail, where relevant and employs dynamic statistical technique. The novelty of this thesis lies on its sustainable stock market data, multidimensional variables and the statistical facts which emerge from the analysis. Study I investigate the cultural dimension of sustainable stock market returns in seven Asian countries. The four cultural dimensions used in this study are the power distance index (PDI), individualism (IDV), uncertainty avoidance index (UAI), and long-term orientation (LTO). Using panel data of monthly sustainable stock market returns from seven Asian countries for the period 2015-2019. This research employed the Ordinary Least Square (OLS) regression and Feasible Generalized Least Square (FGLS) regression with id and time fixed effect. The outcomes of our empirical investigation underlined the fact that: (i) an increase in power distance (PDI) would increase the market returns in the Asian region; (ii) individualism (IDV) had a positive and significant impact on the market returns, and the increase of individualism in the Asian countries would lead to the higher sustainable stock returns; (iii) increase in the uncertainty of avoidance (UAI) by investors in the Asian region would lead to the higher stock returns; (iv) the long term orientation (LTO) had a significant and positive impact on market returns. It showed that if the investor had a long-term orientation on the sustainable stock exchange in the Asian region, it would lead to increased stock returns. In the Asian region, the prevalence of a sustainable stock market prompts the need to study on how good governance contributes to such development. This is what has been studied in Study II. the effect of good governance on sustainable stock market returns. This study uses the WGI data as proxied of good governance and employs The Fixed Effect Model (FEM) and Random Effect Model (REM) on the panel data from the sustainable stock market returns of six Asian countries from 2015 - 2020 to examine the relationship among variables. Further, the Feasible Generalized Least Squares (FGLS) Regression panel found that political stability and absence of violence (PSA) and regulatory quality (REQ) positively influence sustainable investment returns in the Asian region while on the other hand, control of corruption (COC) exhibits a significant negative impact on sustainable investment returns. These findings imply that more excellent political stability and reasonable regulations contribute to higher stock market returns. Conversely, contradictory with the Control of Corruption leads to downward stock market returns as the growth of the COC index increases. Shifting attention to the VUCA (Volatility, Uncertainty and Ambiguity) era, Study III examines the relation of economic policy uncertainty, global commodities and Bitcoin prices on sustainable stock market returns. This study uses panel data of market prices from 12 countries with Sustainable Stock Exchanges. This study investigates the impact of EPU on stock market returns by using panel autoregressive distributed lag (ARDL) to examine the long-term cointegration and short-term effect. The results of the autoregressive distributed lag regression indicate that EPU has a negative and significant effect in the long term. While gold, oil and bitcoin have a positive and significant impact on the sustainable stock market returns. However, in the short term, bitcoin and oil have a positive and significant impact on sustainable market returns. This empirical finding indicates that the rise of economic policy uncertainty in each country in the long term will decrease the sustainable stock market returns. The last study investigates the effect of the recent health crisis of COVID-19 pandemic, exchange rates and the rise in the prices of commodities on the sustainable stock market returns in Asian region. To analyze the data, we implement a panel autoregressive distributed lag (ARDL) which can estimate the short- and long-run effect of COVID-19, exchange rates, and commodities prices on Asian sustainable stock market performance. Further, the generalized method of moments (GMM) with fixed effect and the random effect was applied to check the robustness of the results by using daily data for the period March 2020 – April 2022, which covers the recent pandemic period. Daily prices of Brent Oil and Gold prices also used as control variables in this research. The results found that in the long term, COVID-19, exchange rate, and Brent oil price had a positive effect on Asian sustainable stock market performance. While global gold price had a negative impact on the returns of the sustainable stock market. However, in the short term, COVID-19 had no significant effect on the Asian stock market, but it had various effects on individual estimations of eight Asian countries. Sustainable investment would benefit investors in comprehending the advantages of investment diversification as well as protection strategies in light of changing stock market dynamics during the pandemic. All these results offer support to the view of the sustainable stock market influenced by multidimensional factors such as nations’ culture, good governance, economic policy uncertainty, health and commodities.
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