| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 100 === This research discusses the relationship among Taiwan 50 Index, monthly revenue of target stocks, foreign institutions’ shareholding and macroeconomic factors (Brent oil price, NASDAQ, Exchange rate, and M1b balance). We use quantitative methods such as Unit Root, Vector Autoregression Model, Granger Causality Test, Impulse Response Analysis, and Cointegration Test. This research collected data ranging from January
2003 to December 2011. Conclusions summarize as follows.
1. Taiwan 50 Index leads monthly revenues, in line with the concept that stock price lead fundamental. Granger test also reveals that foreign institutions’ shareholding leads the monthly revenue of target stocks. Foreign institutes manage portfolios based on the expectation of the growth of the companies in the future. Cointegration test shows that Taiwan 50 index has long-term integration with foreign institutions’shareholding.
2. First of all, last Taiwan 50 index leads NASDAQ positively because Taiwan companies play an important role of the upstream supplier to the US technology industries. Secondly, in the short term, M1b balance leads Taiwan 50 index. However, in the long run, investors would be more conservative after stock prices surging and reduce positions in the stock market. Taiwan 50 index leads M1b negatively. Thirdly, there is a mutually-influenced feedback relationship between Taiwan 50 index and Exchange rate. Lastly, economic growth increases the demand of raw materials, which explains why Taiwan 50 index leads Brent oil price.
3. In the short term, there is a feedback relationship between monthly revenue and M1b balance and between revenue and oil price. However, it is a long-term trend that moderate growth of demand increases the revenue of companies. Secondly, Granger test shows that monthly revenues lead foreign exchange, contrary to VAR test which lags for one period. The result infers that the expansion of enterprises represents better economic growth and reflections on foreign exchange market.
4. VAR test shows that last M1b balance leads foreign shareholding, which is not revealed by Granger test. We infer that easing monetary policy of the Central Bank of the Republic of China (Taiwan) encourages foreign institutes investing in Taiwan stock market in the short term. Nevertheless, in the long run, foreign institutions do not treat M1b as the most important factor. Secondly, foreign exchange leading foreign shareholdings indicates that foreign investors take foreign exchange into consideration. Thirdly, there is feedback relationship of causality between oil price and foreign shareholdings. The volatility of oil price reflects economic situation so that foreign institutions take oil price into consideration.
5. For Impulse Response Analysis, most impacts reach the highest in the first or second month, and decrease thereafter. But the impact of Taiwan 50 to foreign institutions, foreign exchange and monthly revenue increases continuously. The impact of Brent oil price to Taiwan 50 index surfs dramatically in the second month and reaches the highest in the sixth or seventh month. The impact of oil price to the target companies last for six months.
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