| Summary: | 碩士 === 國立臺灣科技大學 === 管理研究所企業管理學程 === 87 === This thesis uses macroeconomic variables to forecast stock return by VAR model and sets up timing indicators for investment reference. The purpose of this thesis are as follows:
1.To discuss the relationship between money supply, exchange rates, interest rate and stock return.
2.To establish the indicators by using macroeconomic variables that lead stock price and to set up clear investment criterion in order to move up the value of fundamental analysis.
The sample consists of stock return, money supply, exchange rates and interest rate. The data is partitioned into two parts that one is monthly data from 1982 to 1996 used to estimate the model parameters and the other is out-of-sample from 1997 to 1998 for examining the accuracy of the forecasting. The major findings are as follows:
1.Interest rate is positively related to the stock return but has low explanatory power for stock return.
2.Money supply is positively related to the stock return and has high explanatory power for stock return. From variance decompositions, we get that money supply leads in the model.
3.Exchange rate is negatively related to the stock return. The explanatory power of exchange rate for stock return is between that of money supply and interest rate. From variance decompositions, we get that exchange rate leads in the model.
4.Because money supply and exchange rate lead in the model, we can use money supply and exchange rate as forecasting indicators. In addition, we can obtain excess return when we use bias of the money supply. So Taiwan stock market is not a weak-form efficient market.
|
|---|
