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| Title: | 總體經濟指標對股市報酬及報酬波動度之影響 - 以台灣股市為例
The Impact of The Macroeconomic Indicators in Stock Market Return and Return Volatility in Taiwan |
| Authors: | 洪詩涵
Hung, Shih-Han |
| Contributors: | 郭維裕
Guo, Wei-Yu
洪詩涵
Hung, Shih-Han |
| Keywords: | 總體經濟指標
股市報酬
報酬率波動度
綜合指數
Macroeconomic Indicators
Stock Return
Return Volatility
Composite Index |
| Date: | 2024 |
| Issue Date: | 2024-08-05 11:57:51 (UTC+8) |
| Abstract: | 本研究探討總經對於台灣股市的影響，採用17 項總經指標，編製成一項綜合指數和五項子指數，分別為總經情勢指數（Macroeconomics situation index, MESI）、基本面子指數（EI）、金融面子指數（FI）、美國總經子指數（USEI）、股匯市子指數（SFMI）以及投資人情緒子指數（ISI）。運用線性迴歸研究各項指數是否能解釋或是預測股市的報酬率或是報酬波動度。
首先，研究結果顯示，MESI 對當期的台灣加權股價指數報酬率具有正向影響，對下一至三期的股市報酬則轉為負向影響，而在所有子指數中又以 SFMI 為解釋股市報酬的主要因子，顯示台灣股市易受美國股市影響；在產業報酬率中，MESI 對航運業有顯著的正向影響，模型解釋力也是所有產業中最高的為 0.094，顯示航運業易受總經情勢影響。再者，MESI 對當期及下一期的台灣加權股價指數報酬率的波動度均為負向反應，而當加入更多的經濟變數後，ISI 為所有子指數中影響股市報酬波動率最為顯著的因子，顯示投資人情緒為股市波動的重要來源。此外，MESI 對大部分產業均有顯著負向影響，其中又以電子業和半導體業的模型解釋力為最高。
總結上述，本研究發現 MESI 對於報酬率有顯著的持續性影響，而納入所有子指數的迴歸結果顯示，對股市報酬波動度的解釋力優於對股市報酬率，顯示總經指標更適用於判斷股市報酬的波動程度。
This paper investigates the impact of macroeconomics on the Taiwanese stock market. We use 17 macroeconomic indicators to construct one composite index and five sub-indices which are Macroeconomics Situation Index (MESI), Economic Index (EI), Financial Index (FI), U.S. Economic Index (USEI), Stock and Forex Market Index (SFMI), and Investor Sentiment Index (ISI). Then, linear regression is used to explore if these indices can explain or predict stock market rate of returns or return volatility.
First, the results show MESI has a positive impact on the current Taiwan Weighted Stock Index rate of return but has a negative impact on rate of returns in subsequent periods. Among the sub-indices, SFMI is the primary factor explaining stock market returns, indicating U.S. market influence on Taiwan. In terms of industry rate of returns, MESI has a significantly positive impact on the shipping industry, with the highest explanatory power (0.094), showing sensitivity to macroeconomic conditions. Second, MESI has a negative impact on the volatility of the Taiwan Weighted Stock Index rate of return both in the current period and next period. When more economic variables are included, ISI has a significantly negative impact on stock market return volatility among all sub-indices, indicating that investors sentiment drives market volatility. Additionally, MESI has a significantly negative impact on the most industry return volatility, especially in electronics and semiconductors industry.
In summary, MESI has a significant and persistent impact on rate of returns. Including all sub-indices, the regression results show the explanatory power for stock market return volatility is better than rate of returns, indicating that macroeconomic indicators are more suitable for assessing return volatility. |
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碩士論文, 國立臺北大學. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351034 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351034 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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