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題名 股價指數與總體經濟變數的關係:跨國實證研究
The Cross-Country Analysis of Relationship between Stock Price Index and Macroeconomic Variables作者 翁承模
Weng, Cheng-Mo貢獻者 黃仁德<br>蕭明福
Huang, Ren-De<br>Shaw, Ming-Fu
翁承模
Weng, Cheng-Mo關鍵詞 股價指數
總體經濟變數
共整合分析
向量誤差修正模型
Stock Price Index
Macroeconomic Variables
Cointegration
Vector Error Correction Model日期 2023 上傳時間 1-Sep-2023 15:32:35 (UTC+8) 摘要 總體經濟變數對股價指數的影響一直以來都是熱門的議題，本文針對六個具代表性的國家進行共整合分析，探討不同的總體經濟變數對不同的國家是否造成不一樣的影響。以股價指數為被解釋變數，利率、消費者物價指數、匯率、工業生產指數、及貨幣供給為解釋變數，以共整合分析、向量誤差修正模型、及格蘭傑因果檢定，探討股價指數與總體經濟變數之間的長、短期關係及因果關係。共整合迴歸結果顯示，在長期下，利率與台灣、美國、及日本的股價指數呈顯著正相關；消費者物價指數與台灣、英國、及日本的股價指數呈顯著正相關；與中國的股價指數呈顯著負相關；匯率與美國、德國、及日本的股價指數呈顯著正相關，表示美國、德國貨幣升值時會對股價指數造成正面影響，日本貨幣貶值時會對股價指數造成正面影響；工業生產指數與台灣、美國、英國、及德國的股價指數呈顯著正相關；與日本、中國的股價指數呈顯著負相關；貨幣供給與美國、英國的股價指數呈顯著正相關；與台灣、日本的股價指數呈顯著負相關。這樣的實證結果與理論文獻比較，除利率與日本、中國的工業生產指數不相符外，基本上是相同的；與其他實證研究結果比較，基本上也是相同的，也就是不同的總體經濟變數，在不同的國家、不同的時間，與股價指數的關係也可能是不同的。向量誤差修正模型估計結果顯示，當股價指數偏離長期均衡，德國、中國股價指數會透過誤差修正項，回到由總體經濟解釋變數所決定的長期均衡值。格蘭傑因果檢定結果顯示，德國、中國的總體經濟解釋變數整體Granger影響股價指數。
The impact of macroeconomic variables on stock price indices has consistently been a popular topic of discussion. This study conducts a cointegration analysis on six representative countries to investigate whether distinct effects emerge from different macroeconomic variables across nations.The results of cointegration regression indicate that in the long term, interest rates are significantly positively correlated with the stock price indices of Taiwan, the United States, and Japan. The consumer price index is significantly positively correlated with the stock price indices of Taiwan, the United Kingdom, and Japan, and significantly negatively correlated with the stock price index of China. There is a significant positive correlation between exchange rates and stock price indices of the United States, Germany, and Japan. This suggests that the appreciation of the currencies in the United States and Germany will have a positive impact on the stock price indices, and the depreciation of the Japanese currency will also result in a positive effect on the stock price indices.. The industrial production index is significantly positively correlated with the stock price indices of Taiwan, the United States, the United Kingdom, and Germany, and significantly negatively correlated with the stock price indices of Japan and China. Money supply is significantly positively correlated with the stock price indices of the United States and the United Kingdom, and significantly negatively correlated with the stock price indices of Taiwan and Japan.With the exception of the disparity in interest rates and the industrial production indices of Japan and China, the fundamental aspects are largely consistent. In comparison to other empirical research findings, the results are generally congruent as well. In essence, various macroeconomic variables may exhibit differing relationships with stock price indices across diverse countries and time periods. When compared with other empirical research, the results are also largely in agreement. This suggests that the relationships between different macroeconomic variables and stock price indices may vary across countries and over time.The estimations from the vector error correction model indicate that when stock price indices deviate from their long-term equilibrium, the indices in Germany and China adjust back to the long-term equilibrium value determined by macroeconomic explanatory variables, through the error correction term. The results of the Granger causality tests demonstrate that the macroeconomic explanatory variables in Germany and China collectively exert a Granger causal influence on stock price indices.參考文獻 林雍盛(2012)，〈貨幣政策衝擊對股價指數的影響:台灣、美國的實證研究─ SVAR 模型之應用〉，中正大學國際經濟研究所碩士論文。洪之良(2001)，〈台美兩地之股價指數與總體經濟變數關聯性研究〉，交通大學經營管理研究所碩士論文。陳俊宏(1996)，〈總體經濟因素與股價指數關聯性之分析〉，臺灣大學工商管理學系博士論文。陳姿穎(2019)，〈美國股市與總體經濟變數間的動態關聯性研究〉，台灣大學經濟學系碩士論文。黃雅楨(2018)，〈VIX 指數，總體經濟變數與台灣加權股價指數關聯性之分析〉，政治大學經濟學系碩士論文。劉維傑(2009)，〈台灣股價指數與融資餘額、法人進出、貨幣供給、利率關係性研究〉，東吳大學經濟學系碩士論文。Abdullah, D. A. and S. C. Hayworth (1993),“Macroeconomics of Stock Price Fluctuations,” Quarterly Journal of Business and Economics, 32:1, pp. 50-67.Adjaoute, K. and J. P. Danthine (2003),“European Financial Integration and Equity Returns: A Theory-Based Assessment,”FAME Research Paper Series, No.84, International Center for Financial Asset Management and Engineering.Andreas, H. and M. Peter (2009),“Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan,”Applied Financial Economics, 19:2, pp. 111-119.Baca, S. P., B. L. Garbe, and R. A. Weiss (2000),“The Rise of Sector Effects in Major Equity Markets,”Financial Analysts Journal, 56:5, pp. 34-40.Baele, L., A. Ferrando, P. Hoerdahl, E. Krylova, and C. Monnet (2004),“Measuring Financial Integration in the Euro Area,”Occasional Paper Series, No.14, European Central Bank.Cavaglia, S., C. Brightman, and M. Aked (2000),“The Increasing Importance of Industry Factors,”Financial Analysts Journal, 56:5, pp. 41-54.Campbell, J. Y. (1993),“Intertemporal Asset Pricing without Consumption Data,”American Economic Review, 83:3, pp. 487-512.Campbell, J. Y. and R. J. Shiller (1991),“Yield Spreads and Interest Rate Movements, A Bird’s Eye View,”Review of Economic Studies, 58:3, pp. 495-514.Campbell, J. Y. and R. J. Shiller (1988),“The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,”Review of Financial Studies, 1:3, pp. 195-228.Chang, E. C. and J. M. Pinegar (1987),“Risk and Inflation,”Journal of Financial and Quantitative Analysis, 22:1, pp. 89-99.Chen, N. F., R. Roll, and S. Ross (1986),“Economic Forces and the Stock Market,”Journal of Business, 59:3, pp. 83-403.David, G. D. (2000),“Stock Market Integration and Macroeconomic Fundamentals: An Empirical Analysis, 1980-95,”Applied Financial Economics, 10:3, pp. 261-276.DeFina, R. H. (1991),“International Evidence on a New Keynesian Theory of the Output-Inflation Trade-off,”Journal of Money, Credit and Banking, 23:3, pp. 410-422.Engle, R. F. and C. W. Granger (1987),“Co-Integration and Error Correction: Representation, Estimation, and Testing,”Econometrica, 55:2, pp. 251-276.Fama E. F. and W.G. Schwert (1977),“ Asset Returns and Inflation,”Journal of Financial Economics , 5:2, pp. 115-146.Fama, E. F. (1981),“ Stock returns, Real Activity, Inflation, and Money,”American Economic Review, 71:4, pp. 545-565.Fama, E. F. 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國立政治大學
經濟學系
109258025資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109258025 資料類型 thesis dc.contributor.advisor 黃仁德<br>蕭明福 zh_TW dc.contributor.advisor Huang, Ren-De<br>Shaw, Ming-Fu en_US dc.contributor.author (Authors) 翁承模 zh_TW dc.contributor.author (Authors) Weng, Cheng-Mo en_US dc.creator (作者) 翁承模 zh_TW dc.creator (作者) Weng, Cheng-Mo en_US dc.date (日期) 2023 en_US dc.date.accessioned 1-Sep-2023 15:32:35 (UTC+8) - dc.date.available 1-Sep-2023 15:32:35 (UTC+8) - dc.date.issued (上傳時間) 1-Sep-2023 15:32:35 (UTC+8) - dc.identifier (Other Identifiers) G0109258025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/147065 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 109258025 zh_TW dc.description.abstract (摘要) 總體經濟變數對股價指數的影響一直以來都是熱門的議題，本文針對六個具代表性的國家進行共整合分析，探討不同的總體經濟變數對不同的國家是否造成不一樣的影響。以股價指數為被解釋變數，利率、消費者物價指數、匯率、工業生產指數、及貨幣供給為解釋變數，以共整合分析、向量誤差修正模型、及格蘭傑因果檢定，探討股價指數與總體經濟變數之間的長、短期關係及因果關係。共整合迴歸結果顯示，在長期下，利率與台灣、美國、及日本的股價指數呈顯著正相關；消費者物價指數與台灣、英國、及日本的股價指數呈顯著正相關；與中國的股價指數呈顯著負相關；匯率與美國、德國、及日本的股價指數呈顯著正相關，表示美國、德國貨幣升值時會對股價指數造成正面影響，日本貨幣貶值時會對股價指數造成正面影響；工業生產指數與台灣、美國、英國、及德國的股價指數呈顯著正相關；與日本、中國的股價指數呈顯著負相關；貨幣供給與美國、英國的股價指數呈顯著正相關；與台灣、日本的股價指數呈顯著負相關。這樣的實證結果與理論文獻比較，除利率與日本、中國的工業生產指數不相符外，基本上是相同的；與其他實證研究結果比較，基本上也是相同的，也就是不同的總體經濟變數，在不同的國家、不同的時間，與股價指數的關係也可能是不同的。向量誤差修正模型估計結果顯示，當股價指數偏離長期均衡，德國、中國股價指數會透過誤差修正項，回到由總體經濟解釋變數所決定的長期均衡值。格蘭傑因果檢定結果顯示，德國、中國的總體經濟解釋變數整體Granger影響股價指數。 zh_TW dc.description.abstract (摘要) The impact of macroeconomic variables on stock price indices has consistently been a popular topic of discussion. This study conducts a cointegration analysis on six representative countries to investigate whether distinct effects emerge from different macroeconomic variables across nations.The results of cointegration regression indicate that in the long term, interest rates are significantly positively correlated with the stock price indices of Taiwan, the United States, and Japan. The consumer price index is significantly positively correlated with the stock price indices of Taiwan, the United Kingdom, and Japan, and significantly negatively correlated with the stock price index of China. There is a significant positive correlation between exchange rates and stock price indices of the United States, Germany, and Japan. This suggests that the appreciation of the currencies in the United States and Germany will have a positive impact on the stock price indices, and the depreciation of the Japanese currency will also result in a positive effect on the stock price indices.. The industrial production index is significantly positively correlated with the stock price indices of Taiwan, the United States, the United Kingdom, and Germany, and significantly negatively correlated with the stock price indices of Japan and China. Money supply is significantly positively correlated with the stock price indices of the United States and the United Kingdom, and significantly negatively correlated with the stock price indices of Taiwan and Japan.With the exception of the disparity in interest rates and the industrial production indices of Japan and China, the fundamental aspects are largely consistent. In comparison to other empirical research findings, the results are generally congruent as well. In essence, various macroeconomic variables may exhibit differing relationships with stock price indices across diverse countries and time periods. When compared with other empirical research, the results are also largely in agreement. This suggests that the relationships between different macroeconomic variables and stock price indices may vary across countries and over time.The estimations from the vector error correction model indicate that when stock price indices deviate from their long-term equilibrium, the indices in Germany and China adjust back to the long-term equilibrium value determined by macroeconomic explanatory variables, through the error correction term. The results of the Granger causality tests demonstrate that the macroeconomic explanatory variables in Germany and China collectively exert a Granger causal influence on stock price indices. en_US dc.description.tableofcontents 謝誌 i摘要 iiAbstract iii目次 iv表次 v第一章 緒論 1第二章 文獻回顧 3第三章 實證模型 8第四章 實證過程與結果 11第一節 資料來源 11第二節 單根檢定 12第三節 遞延期數選取 16第四節 共整合迴歸結果 17第五節 向量誤差修正模型估計結果 24第六節 向量誤差修正模型下的格蘭傑因果關係檢定結果 27第五章 結論 31參考文獻 33 zh_TW dc.format.extent 845705 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109258025 en_US dc.subject (關鍵詞) 股價指數 zh_TW dc.subject (關鍵詞) 總體經濟變數 zh_TW dc.subject (關鍵詞) 共整合分析 zh_TW dc.subject (關鍵詞) 向量誤差修正模型 zh_TW dc.subject (關鍵詞) Stock Price Index en_US dc.subject (關鍵詞) Macroeconomic Variables en_US dc.subject (關鍵詞) Cointegration en_US dc.subject (關鍵詞) Vector Error Correction Model en_US dc.title (題名) 股價指數與總體經濟變數的關係:跨國實證研究 zh_TW dc.title (題名) The Cross-Country Analysis of Relationship between Stock Price Index and Macroeconomic Variables en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 林雍盛(2012)，〈貨幣政策衝擊對股價指數的影響:台灣、美國的實證研究─ SVAR 模型之應用〉，中正大學國際經濟研究所碩士論文。洪之良(2001)，〈台美兩地之股價指數與總體經濟變數關聯性研究〉，交通大學經營管理研究所碩士論文。陳俊宏(1996)，〈總體經濟因素與股價指數關聯性之分析〉，臺灣大學工商管理學系博士論文。陳姿穎(2019)，〈美國股市與總體經濟變數間的動態關聯性研究〉，台灣大學經濟學系碩士論文。黃雅楨(2018)，〈VIX 指數，總體經濟變數與台灣加權股價指數關聯性之分析〉，政治大學經濟學系碩士論文。劉維傑(2009)，〈台灣股價指數與融資餘額、法人進出、貨幣供給、利率關係性研究〉，東吳大學經濟學系碩士論文。Abdullah, D. 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