本研究主要目的在了解總體經濟變數對金融類股價之影響,以提供投資大眾更多元的投資訊息。本研究欲以單根檢定、Granger因果關係檢定、向量自我迴歸模型(VAR)、衝擊反應函數與預測誤差變異數分解為主要研究方法,以臺股加權指數、金融類股指數、貨幣市場利率、美元兌台幣匯率、臺灣領先指標綜合指數、臺灣同時指標綜合指數與金融類公司股價報酬率進行相互關係之研究,其中將金融類公司分成三大類,一、以保險業務為主體之金控公司,二、以證券業務為主體之金控公司,三、以銀行業務為主體之金控公司,分別以國泰金、元大金與中信金作代表。本研究之資料來源皆取自臺灣經濟新報資料庫(TEJ),利用Eviews統計軟體進行資料整理與分析,再從實證結果發現下列三項結論: 一、同步指標可以作為國泰金股價、元大金股價及中信金股價之預測因子,領先指標可作為國泰金與中信金股價之預測因子,臺股加權指數可以作為元大金股價之預測因子。 二、在衝擊反應函數檢定方面,領先指標對國泰金股價之累積衝擊反應累積至第10期有顯著正向關係,對中信金則累積至第10期有顯著正向關係。而同步指標對國泰金股價之累積衝擊反應累積至第6期有顯著正向關係,對元大金股價累積至第10期有顯著正向關係,對中信金股價累積至第10期有顯著正向關係。 三、領先指標對國泰金股價的解釋能力比對中信金股價的解釋能力還大些,而同步指標則是對國泰金股價的解釋能力最大,其次是對元大金股價的解釋能力,再來才是中信金股價。
The main objectives of the study focus upon the impacts of interest rate, exchange rate, leading indicator and coincident indicator on financial stock prices in Taiwan. There are a total of 120 monthly data from January 1, 2001 to December 31, 2010. The research method includes unit root test, Granger causality test and Vector autoregression model (VAR model). The major conclusions are summarized as follows: 1.Based on Granger causality test, leading indicator and coincident indicator cause the stock prices of Cathay Financial Holdings. Coincident indicator and TAIEX total return index cause the stock prices of Yuanta Financial Holdings. Leading indicator and coincident indicator cause the stock prices of Chinatrust Financial Holdings. 2.According to accumulated impulse response function, leading indicator and coincident indicator have significantly positive impacts on the stock prices of Cathay Financial Holdings. Coincident indicator has significantly positive impacts on the stock prices of Yuanta Financial Holdings. Leading indicator and coincident indicator have significantly positive impacts on the stock prices of Chinatrust Financial Holdings. 3.Based on Variance decomposition analysis, 7.51% of Cathay Financial Holdings’ stock prices was explained by leading indicator, while 9.5% was explained by coincident indicator; 5.45% of Yuanta Financial Holdings’ stock prices was explained by coincident indicator; 7.19% of Chinatrust Financial Holdings’ stock prices was explained by leading indicator, while 5.09% was explained by coincident indicator