政府提出政策干預且牽動總體經濟的變化,造成市場資金流動對於金融業影響甚大,由此可見總體經濟與金融業關係密不可分。 研究目的(1)總體經濟對金融股之短期股價的影響(2)總體經濟對金融股之長期股價的影響(3)總體經濟對金融股之偏離值偵測。研究期間為1996年5月至2011年6月,運用轉換函數模型。 實證結果顯示:(1)在金控股方面,台灣加權指數、消費者物價指數、躉售物價指數、領先指標綜合指數和匯率對金控股股價短期有顯著的正向影響。在證劵股方面,台灣加權指數、消費者物價指數、貨幣供給(M1B)和匯率皆對證劵股股價短期有顯著的正向影響。在保險股方面,台灣加權指數、躉售物價指數、同時指標綜合指數、領先指標綜合指數和貨幣供給(M1B)皆對保險股股價短期有顯著的正向影響;(2)在金控股方面,八個總體經濟皆對金控股股價長期皆有顯著的正向影響。在證劵股方面,台灣加權指數、消費者物價指數、同時指標綜合指數、領先指標綜合指數和匯率皆對證劵股股價長期有顯著的正向影響。在保險類股方面,消費者物價指數、躉售物價指數、領先指標綜合指數、貨幣供給(M1B)和匯率皆對保險股股價長期有顯著的正向影響;(3)偏離值偵測結果發現,共三十六個偏離值,需要經過修正,直到時間序列沒有偏離值為止。
The government proposes the policy intervention to affect the change of the macroeconomic variables.The policy led to the huge effect of capital flow to the financial industry. Therefore, we know that the macroeconomic variables are deeply related to the financial industry. Study goal: (1) The effect of the macroeconomic variables on the short-term stock price of the financial stocks; (2) The effect of the macroeconomic variables on the long-term stock price of the financial stocks; (3) The Effect of macroeconomic variables on Financial Industry Stock price of outlier test. The study period is fromMay1996toJune2011. Evaluation methods utilize the Transfer Function model. The real diagnosis result showed: (1)In the aspect of the financial holding stocks, Taiwan's Weighted Price Index, Consumer Price Index, Wholesale Price Index, Ieading index, and Exchange Rate are positively significant to short-term financial stock price. In the aspect of the securities stocks, Taiwan's Weighted Price Index, Consumer Price Index, Money Supply, and Exchange Rate are positively significant to short-term securities stock price.In the aspect of insurance stocks, Taiwan's Weighted Price Index, Wholesale Price Index, Coincident Indicators, Leading Index, and Money Supply are positively significant to short-term insurance stock price; (2)In the aspect of the financial holding stocks, eight macroeconomic variables are positively significant to long-term financial stock price. In the aspect of the securities stocks, Taiwan's Weighted Price Index, Consumer Price Index, Coincident Indicators, Leading Index, and Exchange Rate are positively significant to long-term securities stock price. In the aspect of the insurance stocks, Consumer Price Index, Wholesale Price Index, Leading Index, Money Supply, and Exchange Rate are positively significant to long-term insurance stock price; (3)The outlier test results showed that the 36 outliers needed to be amendeduntilthetime seriesdidnothave the outlier.