美國指數股票型基金與總體經濟指標之關聯性研究

The Relationship Study between U.S. Exchange Traded Funds and Macroeconomic Indicators

王竣平(Chun-Ping Wang)

指導教授 ： 張龍福

國立臺北商業大學/財經學院/財務金融系（所）/碩士(2020年)

摘要

本研究旨在探討美國指數股票型基金與總體經濟指標之關聯性，資料期間為2009年11月至2019年10月之月資料，利用單根檢定、向量自我迴歸模型、衝擊反應分析與預測誤差變異數分解、Granger因果關係統計方法、迴歸分析進行分析。實證結果顯示，單根檢定結果皆為定態時間序列。衝擊反應分析結果顯示總體經濟指標對美國指數股票型基金的衝擊多為短暫性影響，並大多在第三期與第四期影響逐漸收斂為0。預測誤差變異數分解結果顯示：美國指數股票型基金的預測誤差變異數自我解釋比例非常高，除了受到本身的影響外，恐慌指數、美國M2貨幣供給額、ISM製造業指數對美國指數股票型基金都有較高的解釋比例。Granger因果關係結果顯示：ISM新訂單指數(製造業)、製造業非國防耐久財新訂單對美國指數股票型基金具有單向領先關係。迴歸分析結果顯示：恐慌指數當期變動率與恐慌指數落後一期之變動率對美國指數股票型有顯著的負影響。綜合以上實證結果，美國指數股票型基金確實會受總體經濟指標之變動所影響，也發現美國指數股票型基金對於恐慌指數變動的影響相對於其他總體經濟變數較為顯著。以上的實證結果提供投資者日後投資美國指數股票型基金之參考。

關鍵字

美國指數股票型基金 ； 總體經濟指標 ； 向量自我迴歸模型

並列摘要

The purpose of this research is to study the relationship between U.S. Exchange Traded Funds and Macroeconomic Indicators, the data period from November 2009 to October 2019, the data were analyzed by unit root test, Vector Autoregression (VAR), impulse response and forecast error variance decomposition, Granger causality test, regression analysis. The empirical results are as follows. The result of unit test shows that all research variables are stationary. The impulse response analysis shows that the impact of the macroeconomic indicators on U.S. Exchange Traded Funds is a short-term effect, it will be completed and return to normal within 3 to 4 months. The forecast error variance decomposition shows that the forecast errors of U.S. Exchange Traded Funds have the highly self-explanation degree, and that, in addition to their own influences, Volatility Index(VIX), U.S Money Supply M2 and Institute for Supply Management have a high degree of interpretation of U.S. Exchange Traded Funds. The Granger causality results show that there is a unidirectional causality running from ISM Manufacturing: New Orders Index and Manufacture’s new orders, nondefense capital goods to U.S. Exchange Traded Funds. The regression analysis results show that VIX rate of change and lag of VIX rate of change have a significant positive effect on U.S. Exchange Traded Funds. To sum up, U.S. Exchange Traded Funds will indeed be affected by Macroeconomic Indicators, and it is also found that the impact of U.S. Exchange Traded Funds on VIX rate of change is significantly different from other Macroeconomic Indicators variables. The above empirical results provide references for investors to invest in US funds in the future.

並列關鍵字

U.S. Exchange Traded Funds ； Macroeconomic Indicators ； Vector Autoregression (VAR)

參考文獻

參考文獻

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