A Study of Macroeconomic Variables that Determine Earnings Multiple of Taiwan Stock Market--Empirical Study of Earnings to Price Ratio (E/P)

• Main Authors: Brook Lei, 雷文宗
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/56062346484408823752

碩士 === 國立中山大學 === 財務管理學系研究所 === 90 === Abstract The study reported here was tring to examine the macroeconomic variables that determine the earnings multiple of the Taiwan stock market. For this study, monthly time-series data were used for each of the variables from 1991 through 2001. We used earnings to price ratio（E/P）as the dependent variable，M1B、GDP（lag）、market return、capital increasing rate、log of 5 years bond yield、inflation rate、lag of earning growth and market value to GNP ratio（MV/GNP）as the independent variables to construct a multiple-regression model. And we finded the maraket value to GNP ratio（MV/GNP）was the most powerful variable of the 5 significant variables. GDP（lag）was second, capaital incresing rate ranked third. Market return was fourth, and M1B was the fifth most explanatory variable. Both capaital increasing rate（supply side）and M1B（demand side）variables were signifinant，meant the Law of Supply ＆ Demand remained unchanged in the Taiwan stock market.