探討總體經濟變數對股市報酬率預測力之研究
-以台灣股市為例

自上世紀70年代開始便有許多相關領域研究學者對於股市變化之預測或針對某些類股其報酬率的預測頗有貢獻和建樹，在眾多海內外研究學者當中較具備獨特創新研究成果的有，Pearce and Roley (1985), Schwert (1990), Kearney and Daly (1998)……等人的研究，在眾多相關領域研究中對於本文撰寫較具有啟發性的研究是Kang, Kim, Lee, and Min (2011)之研究探討股權溢價對於短、長期股票報酬預測力之研究。本篇論文藉由其蒐集各項總體經濟變數並結合共整合分析法的方式來探討幾項總體經濟變數和台灣大盤股票指數間的關係，並結合共整合變數之概念，以此分析在不同的股票持有期間之下，該項新建構共整合變數對於台灣大盤股票指數的報酬率預測為何。最後再近一步加入強韌性檢測分析，希望能夠詳細的了解本研究所選用的幾項變數是否會對新建構的共整合變數的預測能力造成任何影響。

關鍵字

共整合分析、總體經濟變數、股市報酬率、強韌性檢定

並列摘要

Over the past 50 years, many scholars in related fields have made contributions and achievements in the prediction of stock market changes or the return rate of certain stocks. Among the many domestic and overseas researchers, there are more unique and innovative research results. , Pearce and Roley (1985), Schwert (1990), Kearney and Daly (1998)...... and others. Among the researches in many related fields, the most enlightening research for writing this article is Kang, Kim, Lee, and Min The study (2011) which explored the research on the predictive power of equity bargaining for short and long-term stock returns. This paper explores the relationship between several macroeconomic variables and Taiwan’s large-cap stock index by collecting various total economic variables and I also combine a particular analysis approach called co-integration analysis method, and combines the concept of co-integration variables to analyze the different under the stock holding period, what is the forecast capacity of the return rate of Taiwan's large-cap stock index for this new construction co-integration variable? Finally, one step closer to adding robustness-test analysis, I hope to understand in detail whether the several variables selected in this study will have any impact on the predictability of the newly constructed co-integration variables.