An Empirical Analysis of The Relationship Between Taiwan Stock Index and Macroeconomic Variables

• Main Authors: Hung-Tai Wei, 魏宏泰
• Other Authors: Ching-Chun Wei
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/21810160974014997463

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 91 === Abstract This study is based upon collecting 252 monthly data from January 1981 to December 2001. The purpose of this research is to apply the VAR model in discussing and analyzing the relationship between stock index and macroeconomic variables in Taiwan. Based on the impulse function, variance decomposition and causality test, we find following critical results: The first, both interest rate and money supply (M1B) do serious affect and lead the stock index. The stock index has feedback relationship with interest rate, but only have one-way connection with money supply (M1B) and MLED. The second, by the variance decomposition, stock index is explained by two major factors, interest rate and money supply (M1B). But the influence of the interest rate is faster than money supply. The third, according to the impulse response, the interest rate and money supply (M1B) have significant influence in stock market As stock index rising one SD innovation, it shows us a positive and long-term impact to money supply (M1B) but a negative and short-term effect to interest rate Moreover, it also shows us a negative and long-term impact to exchange rate. From above study, we could conclude that both of the history interest rates and the money supply (M1B) are the best and useful coefficients/factories to explain stock index.