| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 106 === This study investigates how the macro factors which include investor sentiment indices influence Taiwan's Stock Market before and after the subprime crisis. After deleting the data during the subprime crisis from January 2008 to December 2009, a total of 180 monthly data from January 2001 to December 2017 are employed. Based on Granger's causality tests, and the impulse response and the variance decomposition analyses after fitting many vector autoregressive (VAR) models, this study obtains the following results. Before the subprime crisis, return rates of the NASDAQ index lead return rates of the Taiwan weighed stock price index (TAIEX), a feedback relationship exists between TAIEX’s return rates and turnover rates of Taiwan’s stock market, and return rates of the TAIEX lead Taiwan’s consumer confidence index (CCI); and return rates of the TAIEX are mainly affected by return rates of the NASDAQ index and turnover rates of Taiwan’s stock market. After the subprime crisis, return rates of the TAIEX lead return rates of the Philadelphia semiconductor index (PSI), turnover rates of Taiwan’s stock market as well as Taiwan’s CCI, and a feedback relationship exists between return rates of the NASDAQ index and the TAIEX; and return rates of the TAIEX are mainly affected by Taiwan’s real exports and return rates of the NASDAQ index. The impact of turnover rates of Taiwan’s stock market on return rates of TAIEX is less significant after the subprime crisis.
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