台灣股價指數對總體經濟變數之領先性研究

Abstract

本研究係以總體經濟變數為實證分析對象，資料頻率為月資料，資料期間為1996年3月起至2005年2月，運用多元迴歸分析方法，探討在不同的景氣循環之下，股價與總體經濟變數之關係及總體經濟變數對股價之影響。 此研究結果顯示，股價指數受實質GDP年增率及失業率之影響較大，另就從第九至十一循環的「股市上升段」以及「股市下跌段」，可以發現影響股市仍有心理預期因素，因為投資人在對未來景氣樂觀跟悲觀的預期，對「股市上升段」以及「股市下跌段」之後勢有不同的解讀，導致股價指數對總體經濟變數之影響在第九至十一循環的「股市上升段」以及「股市下跌段」有不同的解釋能力。

This study chooses macro-economic factors from the period of March, 1996 to February, 2005 to form a whole sample. This work also employs regression analysis to investigate the relation between macroeconomics factors and stock prices, to find the impacts macro-economic factors on stock prices on different stages of the business cycle. In summary, the findings are described as follows. First, the TAIEX impact by the real GDP annual growth and unemployment rate. Second, from 9 th business cycle to 11th business cycle in the “bull market” and “bear market”, we find that there are psychological expectations of the factors affecting the stock marker, as investors optimistic or pessimistic expectations on the future of the economy with lead to has different in the stock market on different stages of the business cycle.