台美兩地之股價與總體經濟變數關聯性研究

Abstract

近幾十年來，台灣股票市場蓬勃發展，逐步朝向「國際化」和「自由化」的路途邁進，股票市場的重要性不可同日而語，再者股票市場是匯通資金供需的交流管道，企業籌措資金，個人投資理財，股票市場和國人的關係越形密切，股票市場之相關人士最關心的議題－如何利用現有的資訊來預測未來股價的走勢？但與股價市場有關的資訊龐雜，該選用何種資料較適宜呢？股票市場被諭為「經濟的櫥窗」，總體經濟層面的因素和其有密不可分的關係。因此，本研究欲探討股價和總體經濟變數間的關聯性，以提出有利於預測股價的判定指標。 本研究以台灣股票市場為研究主體，在配合美國股票市場共同研究，本研究採用的樣本期間為1981年1月至2000年10月，使用向量自我迴歸模型（VAR）之Granger因果關係檢定和誤差修正模型（ECM）來檢測台美股價與總體經濟變數之間的關聯性。 本研究實證獲得結果為，台灣股票市場－利率和貨幣供給為股價的先行指標，可以直接使用利率和貨幣供給的歷史資料，來預測股價走勢；再者，利用利率和貨幣供給當做中介變數，工業生產指數和消費者指數也可以為股價之判定標準。美國股票市場－物價指數與工業生產指數為股價的先行指標，利用物價指數和工業生產指數的歷史資料，得以用於預測美國股價的走勢。此外，美國股票市場比台灣股票市場較能反應總體經濟變數的狀態。

The study investigates the relationships of stock price and macroeconomic variables for Taiwan market and U.S.A. market by method of VAR model－Granger Causality method and Error Correction Model（ECM）. The macroeconomic variables included money supply, industrial production, inflation rate, interest rate and exchange rate, being monthly data from January 1981 to October 2000. The objectives of the study are threefold as follows：First, to investigate the relationship between macroeconomic variables and stock price；second, to investigate the indicators by using macroeconomic variables that lead stock price；and third, to investigate the investment reference in order to analyze the real value of stocks. The empirical findings are summarized as follows： In Taiwan stock market, the stock price is directly related to interest rate and money supply. They are the leading indexes and indicators of stock price. Stock price is not directly related to industrial production and inflation rate. But they have indirect relationships by means of intermediary variables, including interest rate and money supply. In U.S.A. stock market, inflation rate and industrial production have directly impact on the stock price. They are the leading indexes of stock price. The history data of them are best predictors for stock price. Besides, the stock price has stronger relationships with macroeconomic variables in U.S.A. than it in Taiwan.