百年罕見的金融海嘯肆虐,2008年全球股市從高點宛如自由落體般直線下墜,台灣股市當然也無法置身事外,究竟股市的波動和那些因素有著密不可分的關聯性呢?在本研究中,就以最熟悉的台灣金融市場為研究背景來加以探討。 本研究不同於以往的研究方式,將研究期間全區段研究完成後,再將其中區分成上漲區段及下跌區段的資料,然後再分別執行同樣的研究步驟進行研究,最後再將此3區段的研究結果交叉比對,以期得到最嚴謹的研究結果。在全區段的研究資料有1777筆,上漲區段的資料有1512筆,下跌區段的資料也有266筆,各區段都有一定的資料量,各區段的單獨實證分析結果也都具有一定的參考性;然而,在交叉比對其結果後,確實也有些出入之處。 研究資料期間(日資料)- 1. 全區段(Data 1): 2001年9月26日(當日最低3411點)至2008年11月21日(當日最低3955點) 2. 上漲區段(Data 2): 2001年9月26日(當日最低3411點)至2007年10月30日(當日最高9859點) 3. 下跌區段(Data 3): 2007年10月30日(當日最高9859點)至2008年11月21日(當日最低3955點) 研究變數-台股指數變動率(T)、利率變動率(I)、匯率變動率(E)、貨幣供給變動率(M)、台股成交量變動率(V)。 本研究採用ADF單根檢定、Granger因果關係檢定、向量自我迴歸模型(VAR)等統計方法,進行台灣股市與利率、匯率、貨幣供給及股市成交量之間的關聯性研究,以期瞭解各個數據對台灣股市的影響。 本研究採用日資料,分成3個區段各自單獨執行實證分析,最後再交叉比對其結果:隔夜拆款利率對台股並無顯著的影響性,匯率及成交量在各區段裡對當期的台股皆有顯著的正相關影響,且影響到未來的1~2期,貨幣供給M1B對未來的2、3期也有顯著的正相關影響,甚至於影響到未來的4~6期。
In the impact of global financial tsunami, it has influenced the global finance and economy severely, global stock market also suffered a blow in 2008, the index falls like "Free-Falling Objects", of course it’s inevitable for Taiwan Stock Market. However, what actually the factors are inseparable between the stack market volatility? In this study, it researched on background of our familiar Taiwan's financial markets. Different from the past studied method, after completing whole section during the studied period. The data have divided into “Stock up Section” and “Stock down Section”, and then implement respectively of the same steps. Furthermore, to cross validation with the results of these sections. There are 1777 data in the whole sections, 1512 data in the stock up section, and 266 data in the stock down section. Some of sections have definite data, and also have some reference on the individual results of the analysis. However, after crossing validation, there are some discrepancies of these sections. *Studying Period (Day): 1. Whole section (Data 1): 2. Stock up Section (Data 2): 3. Stock down Section (Data 3) *Studying Variable – TAIEX (T) 、Interest Rate (I)、Exchange Rate (E)、Money Supply (M)、Trading Volume(V) 。 It used the statistical method of ADF test、Granger test、VAR(Vector Autoregression Model) to proceed of study the relevance on TAIEX (T)、Interest Rate (I)、Exchange Rate (E)、Money Supply (M)、Trading Volume(V) , in order to comprehend all data for influence on Taiwan Stock Market. In this study, the implementation by individual real diagnosis of analysis with 3 sections, it proceeds the cross validation eventually, all tests have diverse consequence; “Overnight Interbank Call-Loan Rate” has no any obvious influence on Taiwan Stock Market, However, both of “Exchange Rate” and “Trading Volume” have distinct and positive effects, and impact on the incoming Stage 1 & Stage 2, “Money Supply” –MIB has a clear effect as well for the incoming Stage 2 and Stage 3. Even it affects the incoming Stage 4 ~Stage 6.