| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 98 === There is a close correlation among macrovariables, monthly sales, and stock price. We take the case of Uni-President Co. to investigate causal relationship and interaction among monthly sales, stock price, the balance of M1b, and the CRB index. Initially, we examine those variables which have significant causality in the VAR model. Ultimately, we establish an autoregression distributed lag (ADL) model which is based on the variables have significant values in VAR model. In this study, the empirical model is derived from the quantitative methods such as Unit Roots Test, Vector Autoregression model, the Chow Test, and Autoregression Distributed Lag model.
The following conclusions can be drawn from the empirical data:
1. The influence of macrovariables on the monthly sales of Uni-President Company
1) The monthly sales of manufacturing industry can be influenced by seasonality because agricultural products are affected by seasonality. From the empirical study results, all variables cannot explain the current period monthly sales except its lag terms.
2) There is no instantaneous effect on monetary policy. Moreover, it might have negative effect. Monetary policies might affect the direction of monthly sales after about two quarters.
3) CRB index is the price of futures, which can explain monthly sales with longer lag terms. From the empirical study results, CRB index has positive and negative effect on the 6th and 8th period afterward.
4) Whether in intuition or in the empirical study results, there is a positive relationship between stock prices and monthly sales because stock price is a leading indicator.
2. The influence of macrovariables on the stock price of Uni-President Company
1) Monetary policy significantly and positively affects the stock price because people can anticipate the central bank’s execution of monetary policies. As the stock price is a leading indicator, there is a positive relationship between monetary policy and stock price.
2) Oil price and CRB index fluctuate towards the same direction. Oil price always can be utilized to measure the business cycle in the economy. CRB index fluctuate along with oil price. Oil price could be substituted by CRB index to measure the business cycle in the economy. CRB index, which cannot immediately affect the stock price, monitors the price of futures.
3) Investors usually refer to past trend information to decide which stocks he or she will choose. Stock price’s lag term is the most effective factor to explain the changing stock prices. However, the example of Uni-President Co.’s stock does not support the hypothesis of efficiency market.
4) Cost factor is not taken into consideration in the calculation of monthly sales, which means that it doesn’t investigate the company’s profit capacity. Therefore, cost factor cannot explain the company’s stock prices. Hence, monthly sales announcement does not constitute as useful information to explain stock price.
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