| Summary: | 博士 === 國立臺北大學 === 企業管理學系 === 93 === Macroeconomic news announcements are usually regarded as excellent indicators for the economy status. Recently, a line of research has emerged that seeks to investigate a possible impact of scheduled announcements on financial markets. Some researches contend it is the macroeconomic news itself to have such influences; while other researches argue that only unexpected macroeconomic news could do so. However, there are only few researches working on this topic so far in Taiwan.
The purpose of this study is not only to examine whether the scheduled macroeconomic news announcements, but also to incorporate the role of expectations have any impact on the stock price returns and volatility. Since in Taiwan there are no similar MMS surveys available, ARIMA, Grey Forecasting and Back-Propagation Network models are employed to forecast the macroeconomic variables as the substitution of market expectations. This study will choose the best prediction result to measure the unexpected value of the news. In the end, GARCH model is employed to inspect the public news announcements effects on the stock market.
The major findings are summarized as follows. It seems that macroeconomic news itself has hardly any impact on the stock market returns. When the real GDP, unemployment rate, consumer price index, industrial production index and monitoring indicators news are announced, they do have some impact on the stock market volatility. Some unexpected macroeconomic news announcements would decrease the stock market returns, such as positive news of consumer price index or negative news of industrial production index. On the other hand, negative news of unemployment rate would increase the stock market returns. Some unexpected macroeconomic news does cause the stock market volatility. The key contributions of this study are three-fold. First, this study provides evidence on the response of Taiwan stock market to macroeconomic news announcements. Second, the results suggest that the investor had better pay some attention to certain unexpected macroeconomic news if they want to maximize their profits and lower investment risks. Third, policy administrators might need to take appropriate measures to decrease the market volatility when they know in advance certain macroeconomic news announcements effects might be.
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