| 摘要: | 鑒於巴菲特指標在學術上甚少被探討，故本文主要探究在非常規貨幣政策—量化寬鬆 (quantitative easing, QE) 實施下，巴菲特指標對S&P500股價指數與其年報酬的衡量能力。本研究以時間序列分析，研究變數為巴菲特指標、S&P500股價指數與其年報酬、聯準會負債與聯邦資金率，使用EViews軟體進行單根檢定、共整合檢定、Granger因果檢定與迴歸分析。研究樣本期間切割為「量化寬鬆 (QE) 實施前」(1984年Q1 - 2008年Q3期間) 及「量化寬鬆 (QE) 實施後」(2008年Q4 - 2021年Q1期間)，並比較實證分析結果。本文主要發現：其一，QE實施前，巴菲特指標與S&P500指數年報酬呈現長期負向相關，且巴菲特指標對S&P500指數年報酬具有預測與解釋的能力。其二，QE實施後，低利率與量化寬鬆政策為影響S&P500股價指數持續創歷史新高的重要因素，但是巴菲特指標對S&P500股價指數與其年報酬卻已皆不具任何預測與衡量的能力。最後，巴菲特指標預測S&P500股價指數年報酬的能力會受到預測時間幅度影響，而巴菲特指標適合做為長期報酬衡量指標。;Since researchers have not treated Buffett Indicator in much detail, an objective of this study is to investigate measurement capability of Buffett Indicator on both S&P500 index and its annualized return with the role of quantitative easing (QE). With Buffett Indicator, S&P500 index and its annualized return, Federal Reserve’s debt, and federal funding rate being the research variables, we used time series analysis, conducting single-root test, co-integration test, and Granger causality test. All analyses were carried out using EViews, version 11. The sample was divided into the two groups: "Ante-QE period" (1984 Q1-2008 Q3) and "Post-QE period" (2008 Q4-2021 Q1), and comparisons between the two groups were made using analysis of empirical results. The main findings of this study indicate that: first, with the absence of QE, it exists a long-term negative relationship between Buffett Indicator and S&P500 index annual return, and the former has the ability to predict and explain the latter. Second, S&P500 index continues hitting a historical record high with the role of QE and extremely low interest rates; however, at the same time, Buffett Indicator loses the predictive power to explain S&P500 index and its annual return. Lastly, Buffett Indicator′s ability to predict the annualized return of the S&P500 index will be affected by the holding period (forecast horizon), and Buffett Indicator is suitable for a long-term return predictor. |
