台灣電子類及金融類股價指數與總體經濟因素關係之研究

The effect of macroecomonic variables on Taiwan Stock Exchange Electronic and Financial Sector Indexes.

邱倩莉(Chien-Li CHIU)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.01107

摘要

本文主要研究動機在於探討總體因素變化對台灣電子類與金融類股價指數的影響，進而探討其間的「領先－落後」關係，期能提供投資人進行投資決策之參考。
本文首先以ADF單根檢定法進行變數的單根檢定，再利用共整合模型來檢定所有變數長期下是否存在穩定的均衡關係，最後以誤差修正模型來探討短期動態調整過程，實證結果發現各總體經濟變數經由單根檢定均為I(0)序列；透過軌跡檢定法分別對兩類股價指數與上述總體經濟變數做共整合檢定後得知，兩者與總體經濟變數各自存在5組共整合關係，代表在長期下皆有穩定的均衡關係。在誤差修正模型中發現電子類與金融類股價指數變動均受落後1期與2期M1B貨幣供給變動正向顯著影響。由因果關係檢定得知，M1B貨幣供給領先金融類股價指數，亦即可用M1B貨幣供給預測金融類股價指數。
【關鍵字】單根檢定、共整合檢定、誤差修正模型、因果關係檢定

關鍵字

單根檢定 ； 共整合檢定 ； 誤差修正模型 ； 因果關係檢定

並列摘要

The purpose of this thesis is to examine the association among Taiwan Stock Exchange Electronic Sector Index, Taiwan Stock Exchange Financial Sector Index and macroeconomic variables, and furthermore to investigate the change of lead-lag relationship among them. The empirical result could be used for decision-making of investors.
There are three different models in the empirical study. First, we confirm that all variables are stationary by using ADF unit root test. Second, the co-integration model is employed to conjecture that there are long-term equilibrium relationships within all variables. Third, we use the error correction model to discuss the course of short-term dynamic adjustments. The empirical results are described as follows:
1.From unit root test, it can be concluded that all variables are I(0).
2.We estimate co-integration vectors among Taiwan Stock Exchange Electronic Sector Index, Taiwan Stock Exchange Financial Sector Index and macroeconomic variables by the trace test method. The co-integration test indicates that there are long-term equilibrium relationships among Taiwan Stock Exchange Electronic Sector Index, Taiwan Stock Exchange Financial Sector Index and macroeconomic variables.
3.The result of error correction model show that Taiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Financial Sector Index both have positive influence on M1B of lag 1 and lag 2 significantly.
4.Based on Granger causality test, M1B have a leading effect on Taiwan Stock Exchange Financial Sector Index. In other words, M1B is could be used to predict of Taiwan Stock Exchange Financial Sector Index.

並列關鍵字

Unit Root Test ； Co-integration Test ； Error Correction Model ； Granger Causality Test

參考文獻

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