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    Title: 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
    Authors: 翁承模
    Weng, Cheng-Mo
    Contributors: 黃仁德
    蕭明福
    Huang, Ren-De
    Shaw, Ming-Fu
    翁承模
    Weng, Cheng-Mo
    Keywords: 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
    Date: 2023
    Issue Date: 2023-09-01 15:32:35 (UTC+8)
    Abstract: 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.
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    Description: 碩士
    國立政治大學
    經濟學系
    109258025
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109258025
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

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