運用向量誤差修正模型探討台灣各產業與股市大盤間資訊傳遞速度

Abstract

本文以1988年6月至2007年12月之台灣大盤與各產業股價指數月資料，驗證以下兩種假說：（1）產業股價報酬率是否直接影響大盤未來報酬率；（2）產業股價報酬率是否透過總體經濟指標，影響大盤未來報酬率。藉以驗證資訊緩慢擴散現象是否存在於台灣股票市場，實證研究方法採用誤差修正模型，結果發現部分產業報酬率，對未來大盤超額報酬率具有直接或間接影響；投資人無法即時解讀產業資訊對未來總體經濟的影響，導致產業資訊於產業與大盤間緩慢擴散。

The purpose of this study is to investigate the causal relationship among the returns of industries, stock market index, and macroeconomics variables, using an error correction model. The data consist of monthly returns for all stocks listed on the Taiwan Stock Exchange (TWSE) market from June 1988 to December 2007, compiled from the Datastream database. Evidence is found that information appear to diffuse slowly from some industries to the stock market as the lagged returns of these industries are able to predict the return of the stock market. In addition, the predictive ability of an industry's return is strongly correlated with its capability of forecasting the macroeconomic indicator that reflects a nation's economic conditions.