本研究以向量自迴歸模型來探討股票市場與總體經濟變數之間雙向影響的關係，並且進一步探討在不同期間，雙向影響的關係是否也會有所變化。研究期間樣本資料為2004年1月1日至2022年12月31日，共19年，採用月度資料，共228筆樣本。分析變數為台灣股市加權指數、通貨膨脹、工業生產、貨幣供給、外銷訂單、批發、零售及餐飲業營業額、失業率及短期利率。本研究的研究結果為股價指數可能同時為領先指標或落後指標的觀點，大多數的結果在不同的總體經濟變數之間也會有所不同例如，通貨膨脹對股價的影響較顯著，但對貨幣供給來說，與股票市場雙向的影響都很顯著，並且也在後續結果中確認了變數之間的相互影響可能會隨時間變化。;This study employs a vector autoregressive model to investigate the relationship between the stock market and macroeconomic variables, and further examines whether these relationships change over different periods. The sample period covers from January 1, 2004, to December 31, 2022, covering 19 years, with monthly data comprising a total of 228 samples. The variables analyzed include the Taiwan stock market index, inflation, industrial production, money supply, export orders, wholesale, retail, and restaurant revenues, unemployment rate, and short-term interest rates. The findings of this study support the notion that the stock index may serve both as a leading and a lagging indicator. Most results vary among different macroeconomic variables; for example, inflation has a significant impact on stock prices, while the bidirectional influence between money supply and the stock market is also significant. The study confirms that the interactions between variables may change over time.
