Causal relations among stocks returns, macroeconomic and firm''s financial variables in Taiwan - for food stocks

• Main Authors: Su,Hsiu-Fen, 蘇秀芬
• Other Authors: Chen,Jing-Jung
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/05633221980429871803

碩士 === 東海大學 === 食品科學系 === 86 === The purpose of this study is to find the effectiveness of economics and firm''s factors in food stocks prices. Therefore, a number of investigations were conducted in order to determine the significance of the causality relationship between food stocks return and variables. There are 11 food companies included in this study. The macroeconomic variables include: industrial production index, money supply (M1a), interest rate of 30-day commercial paper, consumer price index, wholesale price index , the exchange rate between Japanese Yen and NT dollars, and the exchange rate between US and NT dollars. But, the firm''s financial variables only the earning to price ratio and book to market value ratio were included. A nest causality testing method was proposed to identify the dynamic relationships between stock return and variables. The results indicated that the relationships between stock return and variables had feedback or unidirectional relations, but they didn''t have independent or feedback or unidirectional relations, but they didn''t have independent or positive contemporaneous relations. The price level was a leading indicator and had positive effect to the stocks return about six months. The exchange rate between US and NT dollars was a leading indicator and had negative effect to most of companies stocks return in one month. Also, the money supply was a leading indicator and had positive effect to stocks return, but only leading in two or three months. For the firm''s financial variables, the significance of lagging period and directions was different, because of the different characteristic financial status among firms.-1 -aCausal relations among stocks returns, macroeconomic and firm''s financial variables in Taiwan - for food stock