股價波動對休閒消費支出的不對稱效應分析──台灣實證

The Asymmetric Effect of Stock Price Fluctuation on Leisure Consumption Expenditure in Taiwan- An Empirical Study

本研究利用非線性自我迴歸遞延模型(nonlinear autoregressive distributed lags model, NARDL)與邊界共積檢定方法，探討台灣地區在2000年至2020年期間股市加權股價指數漲跌衝擊下，對休閒消費支出的影響效果是否存在不對稱效果。研究結果顯示:1.休閒消費支出與可支配所得、股價的正面與負面衝擊之間長期穩定的關係。2.可支配所得、股價的正面衝擊對休閒消費支出，在長期具有顯著的正面效果；股價的負面衝擊則具顯著的負面效應。3.就影響效果的幅度而言，以可支配所得對休閒消費支出影響力最大；其次為股價正面衝擊；負面衝擊在三個變數中影響效果最小。4.休閒消費支出在股價指數上漲與下跌兩種衝擊下，短期未發現存在不對稱效果；長期則存在顯著的不對稱效果。上述結果顯示的經濟意涵：包括：1.探討休閒消費支出的影響因素，除了所得外，財富效果亦應納入考慮。2.負面衝擊對休閒消費支出的影響低於正面衝擊，表示當股價上升，導致財富增加較容易引發休閒消費支出，但當股價下跌時，並不會現一般消費支出出現過度反應，導致消費支出大幅緊縮的現象。由此可知。股價的財富效果對休閒消費支出而言，上漲為一種助力；下跌時並未形為阻力；無論股市漲或跌，所得效果才是影響休閒消費支出的主力。

This study employed the nonlinear autoregressive distributed lags model (NARDL) and the boundary co-integration test method to investigate whether there is an asymmetric effect of the impact of the Taiwan Weighted Stock Price Index on leisure consumption expenditures from 2000 to 2020. The results show that: 1. There is a long-term stable effect between leisure consumption expenditures and disposable income, as well as positive and negative impacts of stock prices. 2. Positive impacts of disposable income and stock prices have a significant positive effect on leisure consumption expenditures in the long term, while negative impacts of stock prices have a significant negative effect in the long term. 3. The impact of disposable income on leisure consumption expenditures is the largest among the three variables, followed by positive impacts of stock prices, while negative impacts have the smallest effect. 4. There is no significant asymmetric effect of leisure consumption expenditures under the two impacts of the stock price index in the short term, but there is a significant asymmetric effect in the long term. The economic implications from above results include: 1. In addition to income, the wealth effect should be considered when exploring the factors that influence leisure consumption expenditures. 2. The impact of negative stock price shocks on leisure consumption expenditures is lower than that of positive shocks, indicating that an increase in wealth due to rising stock prices is more likely to stimulate leisure consumption expenditures, but a decline in stock prices does not necessarily result in excessive contraction of consumption expenditures. Therefore, the wealth effect of stock prices is a boost for leisure consumption expenditures when they rise, but not a major factor when they fall. The main factor affecting leisure consumption expenditures is still disposable income, regardless of whether the stock market rises or falls.