新型冠狀病毒流行前後之台灣加權股價指數預測模型

Taiwan Stock Exchange Weighted Index Prediction Models before and after Coronavirus Disease 2019 (COVID-19)

徐煜錡(Justin Yu-Chi Hsu) ； 徐嘉妤(Evelyn Chia-Yu Hsu) ； 康鶴耀(He-Yau Kang)

《創新與經營管理學刊》 9卷2期 (2020/12) Pp. 39-64

https://doi.org/10.6270/JIBM.202012_9(2).0004

摘要

新型冠狀病毒疾病（COVID-19）於2019年首次被發現，自此之後便在全球蔓延。此一流行病對全球幾乎每一個經濟體都產生了嚴重影響，各股市在一段時間內亦因此暴跌。本研究旨在探討新型冠狀病毒和一些重要外國股票市場的加權指數對台灣加權股價指數（TAIEX；TWSE）的影響，並應用迴歸分析兩種案例。第一個案例採用2019年全年度新型冠狀病毒尚未造成影響時的國外重要股票市場指數資料。第二個案例採用新型冠狀病毒在全球蔓延時，2020年某段期間新型冠狀病毒確診病例和國外重要股市指數的資料。2019年資料之研究結果顯示所採用之國外股市指數可預測台灣加權股價指數，逐步迴歸分析則建議採用費城半導體指數與香港恆生指數來預測台灣加權股價指數。2020年的分析結果顯示第二個案例採用與第一個案例不同的獨立變數進行預測，這表示新型冠狀病毒確實對台灣加權股價指數有影響。迴歸分析顯示採用標準普爾500指數與中國上證綜合指數來預測台灣加權股價指數有不錯之績效。

關鍵字

新型冠狀病毒 ； 台灣加權股價指數 ； 股價指數 ； 迴歸分析 ； 逐步迴歸

並列摘要

Coronavirus disease (COVID-19) was first discovered in 2019, and it has spread globally since then. The pandemic has a severe impact on almost every economy in the world, and as a result, global stock markets had plummeted for a period of time. The purpose of this study is to understand the impacts of COVID-19 and the weighted index of some important foreign stock markets on the Taiwan Stock Exchange Weighted Index (TAIEX; TWSE). Regression analysis is applied in two cases. In the first case, the data of various foreign stock market indices in the entire year of 2019 when COVID-19 was not an issue are used. In the second case, the data of accumulated confirmed cases of COVID-19 and the stock market indices in a period of time in 2020 are used when COVID-19 became to spread globally. The results show that for 2019 the selected stock market indices could be used to predict the TAIEX, and the stepwise regression analysis shows that Philadelphia Semiconductor Index and Hong Kong Hang Seng Index could be sufficient to predict the TAIEX. The results for 2020 show that different independent variables from those used in the first case should be adopted to make the prediction. This indicates that Covid-19 does have an impact on the TAIEX. The regression analysis further shows that S&P 500 and SSE Composite Index can predict the TAIEX adequately.

並列關鍵字

Coronavirus ； Taiwan stock exchange weighted index ； stock market indices ； regression analysis ； stepwise regression