台灣外匯市場和股市調查

The Investigation of Foreign Exchange Rate and Stock Market in Taiwan

陳氏璇(Tuyen-Tran Thi)

指導教授 ： 黃俊平

國立虎尾科技大學/管理學院/工業管理系工業工程與管理碩士班/碩士(2017年)

摘要

本研究的重點是調查台灣的匯率與股價之間的關係。這次調查的目的是驗證匯率是否是台灣股市的主導因素。本研究中的匯率是美元與新台幣的匯率。相關分析用於驗證匯率與台灣股市的關係。本研究使用的數據涵蓋2006年至2016年，結果表明，短期內匯率與台灣股市呈負相關。移動平均技術也用於根據外匯信號確定台灣股市的買賣利潤。 根據所提出的技術進行統計分析，以檢驗投資的意義。

關鍵字

匯率 ； 相關分析 ； 移動平均數

並列摘要

The essence of this study is to investigate the relationship between foreign exchange rates and stock prices in Taiwan. the objective to this investigation is to verify whether the foreign exchange rate is a leading factor to Taiwan's stock market. The foreign exchange rate in this study is the exchange rate between US dollar and new Taiwan dollar. The correlation analysis is used to verify the relationship between foreign exchange rate and Taiwan's stock market. The data used in this study covers from 2006 to 2016. The result shows that negative correlation exsits between the foreign exchange rate and Taiwan's stock market in short-term period. The moving average technigue is also used to determine the buying and selling profit of Taiwan's stock market based on the signal form the foreign exchange rate. A statistical analysis is done to test the significance of the investment based the proposed technique.

並列關鍵字

Exchange rates ； correlation ； moving average

參考文獻

Gavin, M., 1989. The stock market and exchange rate dynamics. Journal of International Money and Finance, 8, pp.181-200.

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