兩岸PMI指數與股市關係之研究

The Study on the Relationship between the Cross-Strait PMI and the Stock Market

張富森(Fu-Sen Chang)

指導教授 ： 曾信超

長榮大學/管理學院/高階管理碩士在職專班(EMBA)/碩士(2014年)

https://doi.org/10.6833/CJCU.2014.00212

摘要

PMI採購經理人指數(Purchasing Managers’Index,PMI)是國際上通行的總體經濟監測指標之一，對國家經濟活動的監測和預測具有重要作用，美國供應管理協會自1931年起即對外發布PMI，英國、日本、新加坡等40個國家也陸續發布PMI，中國大陸於2005年開始發布PMI。台灣是一個仰賴貿易的海島型國家，隨著貿易自由化，許多貿易經濟商業活動，越來越仰賴中國大陸，因此本研究推論可將藉由兩岸之間的採購經理人指數，來研判中國大陸與台灣間股市的影響關聯性。
本研究擬採用次級資料分析法與文獻分析法，並進一步以2010年1月至2013年12月間之兩岸PMI及月平均收盤價之數據資料以迴歸分析、皮爾森相關分析及矩陣分析等，加以驗證本研究所提之假設。本研究結果發現：
中國大陸之PMI對台灣之PMI具有顯著性影響，獲得成立；中國大陸之PMI對中國大陸股市具有顯著性影響，獲得成立；中國大陸之PMI對台灣股市具有顯著性影響，獲得成立；台灣之PMI對台灣股市具有顯著性影響，獲得成立；中國大陸股市對台灣股市具有顯著性影響，獲得成立。

關鍵字

PMI採購經理人指數 ； 兩岸股市

並列摘要

PMI is one of the Macroeconomics monitoring indicator system internationally. It has an important role for monitoring and forecasting national economic activity. The Institute for Supply Management (ISM) has released PMI since 1931, and the United Kingdom, Japan, Singapore and other 40 countries have gradually released PMI, then China PMI was began publishing in 2005. Taiwan is an island country relies on trade, with trade liberalization, many trade and economic business activities increasingly dependent on China. Therefore the study can infer by purchasing managers index between the Cross-Strait to judgments the influence between China and Taiwan stock market relevance.
This study uses secondary qualitative analysis and documentary analysis, and further to take the data of PMI and monthly average closing price from January 2010 / January to December 2013 / December between the Cross-Strait as the main information. The data were analyzed by a variety of statistical methods, such as regression analysis, Pearson correlation analysis and matrix analysis etc. The conclusions of this study are：
The hypothesis that the China PMI has significant effect on the Taiwan PMI is supported; the hypothesis that the China PMI has significant effect on the China stock market is supported; the hypothesis that the China PMI has significant effect on the Taiwan stock market is supported; the hypothesis that the Taiwan PMI has significant effect on the Taiwan stock market is supported; the hypothesis that the China stock market has significant effect on the Taiwan stock market is supported.

並列關鍵字

Purchasing Managers’ Index (PMI) ； Cross-Strait stock market

參考文獻

中國國務院商務部。職責與部分規章，中國北京。

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