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題 名 | 股價指數與重要經濟變數共機關係研究=The Cointegration Relationship of Stock Index with Important Economic Variance |
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作 者 | 蔡永順; 謝爵安; | 書刊名 | 環球商業專科學校學報 |
卷 期 | 7 2000.03[民89.03] |
頁 次 | 頁99-111 |
分類號 | 563.53 |
關鍵詞 | 股價指數; 共積關係; 規則分析; 單根檢定; Stock index; Cointegration relationship; Canonical analysis; Unit root test; |
語 文 | 中文(Chinese) |
中文摘要 | 本篇研究主要在探討,臺灣股票發行量加權指數與重要總體經濟變數:美元匯率 、貨幣供給、利率、消費者物價指數、工業生產指數之間是否具有長期的穩定關係。先以規 則分析 (Canonical Analysis) 法找出一穩定的共積關係,作為誤差調整項。並依臺灣股票 發行量加權指數的資料結構變化特性將資料分成前後期討論,作規則分析與最小平方估計法 (OLS) 的估計、比較與研究,希望能瞭解各經濟變數之間的影響與關係。由實證結果我們認 為貨幣供給與臺灣股票發行量加權指數可能有正向的關係。美元匯率、消費者物價指數與臺 灣股票發行量加權指數可能有反向的關係。消費者物價指數的變動與臺灣股票發行量加權指 數的變動可能有正向的關係,利率、美元匯率的變動與臺灣股票發行量加權指數的變動可能 有反向的關係。誤差調整項影響係數在前期較小,投資人對股價指數波動的反應似乎較不明 顯。誤差調整項影響係數在後期較大,投資人對股價指數波動的反應似乎較大。詳細內容參 見本文。 |
英文摘要 | The major subject we research is the long-turn stable relationship of stock index with the important macroeconomic variables, such as US dollar exchange rate、 money supply、 interest rate、 consumer price index、 industrial production index. First, we use canonical analysis to find a stable cointegration correlation, and use it as the error correction term. Second, we cut the data, by the data structure of stock index, and compare the canonical analysis to find a stable cointegration correlation, and use it as the some differences between two method and understand the influence within the variables we research. The results by our research are that: 1.Money supply has positive relatioship with stock index, US dollar exchange rate and consumer price has negative relationship with stock index. 2.The variation of consumer price index has positive relationship with the variation of stock index, the variation of interest rate and US dollar exchange rate has negative relationship with the variation of stock index. 3.The error correction term has small coefficient for the data before breakpoint, and investors have obvious reaction for the variation of stock index. The error correction term has big coefficient for he data after breakpoint, the reaction of investors seem not sure for the variation of stock index, detail be followed. |
本系統中英文摘要資訊取自各篇刊載內容。