| Summary: | 碩士 === 東海大學 === 管理碩士在職專班 === 97 === This paper investigates the roles of macroeconomic, raw material and financial variables, i.e., consumer price index, industrial production index, exchange rate, CRB index, oil price, soybean price, LIBOR, term spread and VIX on the stock price using three countries’ stock markets as samples (Taiwan, Singapore and Sweden). Our results suggest that there exists cointegrating relationship among variables during the period from 1999 to 2008. Consumer price index, industrial production index and exchange rate are found to be the main factors that would significantly affect stock throughout the period. We find the soybean price is not significant while the CRB index variable is positively related to stock price in three countries throughout the period. Oil price variable is negatively related to stock price in Taiwan, but not significantly in other countries. For soybean price ascending period, oil price and soybean price are positively related to stock price in Sweden, but still not significantly related in other countries. We also find that LIBOR and term spread are positively related to stock price, but VIX is negatively related to stock price for all three countries.
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