台灣股價指數時間序列之研究

Abstract

本文利用時間序列分析工具探討台股加權指數並建立其單變量與多變量時間序列模型。隨著政府開放外資投資台股，加上科技產業進入國際市場，使得美股對於台灣股市的影響力逐漸增加，而美國的經濟與股市的變動往往對台股也產生不可忽視的影響力。而近年來中國經濟成長迅速，再加上中國強勁的出口貿易與內需市場，使得中概股在台股中的重要性逐漸增加。本研究嘗試將中國上海綜合指數與人民幣匯率加入多變量時間序列模型中，並且探討各國指數與台股之間的相互關係。

The purpose of this study is to develop the optimal time series model for Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). Due to foreign capital investment in Taiwan, together with the international trade by Taiwan’s IT industry. The influence of the US stock market on TAIEX is increasing. Furthermore, the economic growth if China is tremendous. The signification of China related firms in Taiwan Stock Exchange is also increasing in recent years. Therefore, Shanghai Unify Index and China currency Exchange are also used explain the multivariate model foe TAIEX.