Using macroeconomic variables to keep up with the trends in the Taiwan stock market.

• Main Authors: Chen, Tsung-Yi, 陳宗益
• Other Authors: Tsai, Yann-Ching
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/60630675271702962326

碩士 === 國立臺灣大學 === 會計學研究所 === 89 === In recent years, the trend of direct financing caused by businesses raising funds through the capital market has gradually flourished, thereby making stocks in general an important asset around the world. Thus the ability to effectively control and manage this asset in addition to timely and accurately predicting the movements of the stock market has clearly become of great importance. In order to follow this trend, the topic of this study is “Using macroeconomic variables to keep up with the trends in the Taiwan stock market.” This study applies related share price theories and analytical methods, related domestic and overseas empirical research, opinions from interviews with industry experts, as well as my actual experience and observation. The scope of this study includes the macroeconomic indicators of Taiwan and the U.S. Monthly data of 26 different variables were studied between the 11 years of Jan 1990 ~ Jan 2001. 16 macroeconomic indicators were selected for Taiwan (rate of return on the stock price index, economic growth rate warning value 景氣對策燈號分數, composite index of leading indicators, import/export growth rate, annual M1B money supply growth rate, the NT to US dollar exchange rate, rediscount rate, industrial productivity index, annual growth rate of the consumer price index, unemployment rate, transaction amount in the bond market, transaction value fluctuation rate of the Taiwan Stock Exchange, foreign deposits rate change, average EPS of the Taiwan Stock Market, ninth month K value of technical index, registered capital of publicly listed companies and 10 macroeconomic indicators were selected for the U.S. (rediscount rate, industrial productivity index, unemployment rate, leading indicators, annual growth rate of the consumer price index, interest rates on 10-year bonds, North Sea crude oil futures, export amount rate change, Dow Jones index rate change, NASDAQ rate change). 133 periods were sampled for each variable, then further screened and regrouped using more systematic approaches like the factor analysis method. In addition, an assessment assumption was formed using time value analysis method to create a model for empirical analysis. Statistical methods such as the corner method, X² assessment, T assessment, and Square difference were used to assess the empirical results. Three conclusions were finally derived. Conclusion One: The historical rate of return on Taiwan’s share prices is predictable of the future rate of return on Taiwan’s share prices. Conclusion Two: Taiwan’s macroeconomic variables have a leading one period effect on the rate of return on Taiwan’s share prices. On the other hand, U.S. macroeconomic variables have no leading indicator effect on the rate of return on Taiwan’s share prices. Conclusion Three: Taiwan’s macroeconomic variables model and Taiwan’s historical share price rate of return both include excessive returns and can overall beat the market. However, this phenomenon is more apparent in Taiwan’s macroeconomic variables model.