Title

以製造業採購經理人指數為門檻探討總體變數對股價指數之關聯性分析-縱橫平滑移轉模型之應用

Translated Titles

The Relationship between Macroeconomic Variables and Stock Index under Purchasing Managers’ Index as A Threshold-Application of Panel Smooth Transition Regression Model

DOI

10.6846/TKU.2012.00740

Authors

王楚元

Key Words

採購經理人指數 ; 通貨膨脹率 ; 匯率 ; 股價指數報酬率 ; 縱橫平滑移轉模型 ; Purchasing Managers’Index ; PMI ; PSTR ; Inflation Index ; Exchange Rate

PublicationName

淡江大學財務金融學系碩士班學位論文

Volume or Term/Year and Month of Publication

2012年

Academic Degree Category

碩士

Advisor

聶建中

Content Language

繁體中文

Chinese Abstract

本研究以採購經理人指數當作轉換變數,探討採購經理人指數對股價指數報酬率是否存在平滑移轉效果。在加入通貨膨脹率與匯率當作解釋變數,得知製造業採購經理人指數和股價指數報酬率間確實存在非線性關係,且為一平滑移轉模型。解釋變數影響方面,不論製造業採購經理人指數高於或低於轉換門檻值,匯率都與股價指數報酬率呈不顯著之相關性。而通貨膨脹率在門檻值前後分別與股價指數報酬率皆呈顯著負相關及正相關。

English Abstract

In this study, we examine the asymmetrical nonlinear relationships and this paper employs the panel smooth transition regression model (PSTR) technique. We assume purchasing managers’ Index for transition variables in this model to investigate the smooth transition threshold effect between stock index returns. The results as follow: Wherther purchasing managers’ Index is before or after the transition threshold value, we can’t find a relationship between exchange rate and stock index returns. When purchasing managers’ Index is before the transition threshold value,we find a negative relationship between inflation index and stock index returns.When purchasing managers’ Index is after the transition threshold value,we find a positive relationship between inflation index and stock index returns.

Topic Category 商學院 > 財務金融學系碩士班
社會科學 > 財金及會計學
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