| Summary: | 碩士 === 國立交通大學 === 管理學院財務金融學程 === 107 === This study mainly discusses that the impact of the Marco-Economics indicators
on the Taiwan electric machinery stock price index. Using the nine Marco-Economics variables, Taiwan Electric Machinery Stock Price Index, U.S Leading indicator, PMI Index, New Orders For Durable Goods, Consumer Price Index, M2 Money Supply
, US Dollar Index, Federal Funds Rate and Taiwan exports to U.S account.
Applying stationary series analysis, Unit-Root test, Granger causality , VAR model to find out the correlation between Taiwan electric machinery stock price index and the U.S micro-economic indicators. We expect to come up with a way to provide investors with an basic concept when investing in the Taiwan stock market. The study is based upon collecting 287 monthly data from Jan 1995 to Dec 2018.
There are empirical results as follows:
According to the Granger causality, it’s possible to forecast the change of the Taiwan Electric Machinery Stock Price Index through the Leading indicator
There is feedback between the Taiwan Electric Machinery Stock Price Index and Taiwan exports to U.S account and the Leading indicator have significant explanatory power on the Taiwan Electric Machinery Stock Price Index.
In addition, when the U.S micro-economic indicators change, the change of the Leading indicators has positively reflected the Taiwan Electric Machinery Stock Price Index in the short term , relatively significant to other variables.
Among the U.S micro-economic indicators , using the Leading indicator explain the change in the Taiwan Electric Machinery Stock Price Index have the best effect.
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