| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 96 === In the economic system movement process, many macroeconomic variables have influence to the economy, and furthermore to the condition of stock exchange. It shows there is close connection in between macroeconomic index and stock market, for example : the sales of domestic industry are influenced by business cycle, and variation of exchange rate strong affect export industry’s revenue. However, the inflation rate plays a strong role. Therefore this article selects Taiwan stock return rate of domestic and export industries as the main research.
In order to discuss which factor decides stock return rate of domestic industry and export industry in the process of inflation, as well as to see the effects of monetary policy and financial policy, this article chooses year material which is from 1987 to 2006. In view of overall expected variable, this article uses adaptive expectation and rational expectation method.
This article’s empirical results are simplified as follows:
(1) Even the domestic industry’s special characteristic is different to export industry’s , the former has bigger connection with macroeconomic variables and the latter has bigger connection with microeconomic variables. In the inflation process, they reflected the specific industry the nature which enable them respectively to have the different response. In the long term, they are apparently influenced by all macroeconomic variables selected by this article.
(2) In view of the interest rate and exchange rate, both have influence to domestic industry and export industry. It has proven the hypothesis that interest rate has positive significant effect to stock return rate and exchange rate has negative significant effect.
(3) The adaptation of formation to be expected is adapting historical data and the rational expectation method refers to future data. So they have different empirical result. The former is better than the latter because of adequate and correct historic data. For example, it is clear to exchange rate has difference effect to both industries with adaptive expectation method, but the rational expectation method doesn’t have the same result.
(4) In view of the Fisher equation examination, regardless of using adaptive expectation or 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 be involved with the company’s factors more.
(5) In view of the M1b and the M2 growth rate, the stock market is closely linked both growth rate, but rational expectation method has a bigger influence to adaptive expectation method.
(6) 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. The growth of net government expenditure have positive significant effects to both industries with adaptive expectation method, it has proven the hypothesis that stock return rate is influenced by the earlier monetary policy.
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