The Effect of Inflation Rate on Taiwan Stock Exchange Return Rate of Electronic and Financial Industries-An Empirical Study of Fisher Equation

• Main Authors: Hui-Yi Wu, 吳惠怡
• Other Authors: 謝德宗
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/46496841498697379096

碩士 === 國立臺灣大學 === 經濟學研究所 === 95 === In the economic system movement process, the variation of price level are closely linked with the level of living and the money purchasing power, but the inflation rate plays a strong role. In the recent 20 years, electronic and financial industries mainly led the Taiwan’s economy development, therefore this article selects Taiwan stock exchange return rate of electronic and financial industries as the main research. In order to discuss which factor decides sotck return rates in the process of inflation, as well as to see the effects of monetary policy and the financial policy, this article chooses month material which is from January, 1995 to December, 2006. In view of overall expected variable, this article uses adaptive expectation and rational expectation method. This article’s empirical results are simply as follows: (1) In the inflation process, the electronic and the financial industry reflected the specific industry the nature which enable them respectively to have the different response. The electronic industry belongs to the manufacturing industry, this industry’s special characteristic is that the industry cycle is shorter, and it makes a profit or not mainly relies on its own business condition. The counter- finance industry carries on the service of deposit and loan, facing the market supply and demand namely for the overall market supply and demand, therefore it has bigger connection with macroeconomic variables. (2) In view of Fisher equation examination, regardless of using adaptive expectation and rational expectation method, the empirical results are different from Fisher hypothesis. The important reason is that this article uses stock return rate as research target, it will involve the company’s factors more. (3) Because of different industry characteristics, the variables which this article chooses have stronger effect on the financial industry, for example: Inflation rate, monetary policy, fiscal policy, and commercial paper rate. For electronic industry, past M1b growth rate as well as future net government expenditure have significant effects. (4) The monetary policy has its continuous effect, the past monetary policy can continue to affect the nowadays stock return rate, but the past fiscal policy actually did not have this effect. (5) In view of M1b and the M2 growth rate, the stock market is closely linked the M1b growth rate, but the M2 growth rate has a bigger influence to the financial industry.