| Summary: | 碩士 === 樹德科技大學 === 金融與風險管理系碩士班 === 98 === We use OLS, fixed effect and random effect models to investigate how the macroeconomic factors affect the returns of Taiwan stock markets in the different stages of the business cycle, especially including the effect of U.S stock market. Results show that the stock returns are positively related to the rate of change in M1B, but negatively related to that in foreign exchange rate, no matter what methods we use to estimate. Second, in the fixed and random effect models, the stock returns are negatively related with the rate of change in industrial production index, but positively related with that of wholesale price index. However, these two factors have no significant effects on the stock returns by OLS. Third, the rate of change in overnight rate has no significant effects on the stock returns in all models. Finally, the above results are robust to the number of the stages in the business cycle we consider. We also show that the fixed effect model is more superior to random effect model by the LM test suggested by Breusch and Pagan(1980) in this paper.
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