預測台灣股市八大類股報酬率：國內變數與國際變數的角色

本研究分別以三個國內總體經濟變數、四個國際總體經濟變數針對台灣八大類股與台股大盤報酬率做迴歸分析以後，本研究得到的結果為，本次選用的全部變數與類股報酬率，皆有一部份呈現顯著的結果，而當同時以七個國內外變數對台灣八大類股報酬率與台股大盤報酬率做迴歸分析，則部分國內變數的顯著性會受到國際變數的影響而改變，但並非代表台灣股票市場受到的國際總體變數影響幅度大於國內總體經濟變數，而在國內變數當中也有影響力較強的，例如貨幣成長率在多項類股報酬率的預測結果中皆呈現顯著正向關係，不論是單以國內總體經濟變數或同時以國內外總體經濟變數對各大類股報酬率做迴歸分析，皆可以得到顯著性的預測結果，代表若台灣實施貨幣寬鬆政策，對類股報酬率的影響多數是正向的。在探討國內外變數與台灣八大類股報酬率的相關性以後，在針對不同期數的時間去做類股報酬率的預測，去分析不同變數在那些期間內具有預測力，部分變數僅在短期內具備顯著的預測效果，而部分的變數僅在長期具有顯著的預測力，代表這些變數可以用來預測的區間不同，少數的變數在短期、中期與長期皆有顯著的預測效果，則代表該變數可以做為進出股票市場有力的依據之一。

關鍵字

台灣股市；預測；時間序列

並列摘要

We predicted the stock return in Taiwan during different time interval by the influence of variables, adopting method of regression of analysis, then we examine the results of the prediction and we can get the results we want. Some of the variables showed significant results in only short period of time, some of them showed significant results in most period of prediction, and we could invest probably depend on those variables. After regression analysis of domestic variables, international variables, and domestic and international variables with the stock return in Taiwan, respectively, we found that the significance of influence of domestic variables changed, this showed that international variables put an impact on the stock return in Taiwan and the domestic variables, however, the result still revealed that some of the domestic variables are powerful one, such as change of the amount of M2 is significant in most of the case, that is, if Central Bank launches monetary policy, it could affect the stock return in most of the time.