總體經濟變數與台灣加權股價指數關係之再探究

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姓名

丁予思(Yu-Sih Ding) 查詢紙本館藏

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企業管理學系

論文名稱

總體經濟變數與台灣加權股價指數關係之再探究
(Reexaming the Relation between Macroeconomic Variables and Taiwan Stock Market Index)

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至系統瀏覽論文 (2027-8-1以後開放)

摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 總體經濟變數
★ 股價指數
★ 向量自迴歸模型
★ 結構性斷點檢定

關鍵字(英)

★ Macroeconomic variables
★ stock market index
★ vector autoregressive model
★ multiple breakpoint tests

論文目次

中文摘要 i
ABSTRACT ii
目錄 iii
表目錄v
第一章緒論 1
1-1 研究背景 1
1-2 研究動機 1
1-3 研究目的 2
1-4 論文結構 4
第二章文獻回顧 5
2-1 台灣加權股價指數 5
2-2 通貨膨脹 5
2-3 工業生產 6
2-4 貨幣供給 6
2-5 外銷訂單 7
2-6 批發、零售及餐飲業營業額 8
2-7 失業率 9
2-8 短期利率 9
第三章研究方法 11
3-1 研究樣本 11
3-2 變數定義 12
3-3 研究模型 16
第四章研究結果 19
4-1 初步分析 19
4-2 最小平方法(OLS)迴歸分析結果 21
4-3 向量自迴歸模型(VAR)分析結果 23
4-4 不同子時期向量自迴歸分析結果 30
第五章結論與研究限制 45
5-1 結論 45
5-2 研究限制 45
參考文獻 46

參考文獻

中文文獻：
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2. 國家發展委員會經濟發展處，台灣景氣指標，每月出刊。
3. 楊金龍 (2022). 台灣的通膨與貨幣政策：回顧與展望。中研院經濟所總體經濟計量模型研討會
4. 魏宏泰 (2003). 台灣股價與總體經濟變數關係之實證研究。朝陽科技大學財務金融學系碩士論文。
英文文獻：
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20. Hosseini., Mehdi, S., & Ahmad., Zamri., & Lai, Y. W. (2011). The Role of Macroeconomic Variables on Stock Market Index in China and India. International Journal of Economics & Finance, Vol. 3, No. 6
21. Humpe, A., & Macmillan, P. (2007). Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan. Centre For Dynamic Macroeconomic Analysis Working Paper Series.
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指導教授

黃依潔(Yi-Chieh Huang)

審核日期

2024-7-23

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