Influence of Macroeconomic Factor, Exchange Rate and International Stock Market on Taiwan Stock Exchange Index-Electronics Sector

• Main Authors: Chih-Han Yu, 游智涵
• Other Authors: 謝德宗
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/vpm9db

碩士 === 國立臺灣大學 === 經濟學研究所 === 107 === Since the 17th century, Taiwan’s superior geographical location has become an important port for maritime trade. In recent years, due to policy reasons, the highly labor-intensive processing export industry has transformed into a highly-skilled electronics industry, with semiconductor-related applications as the core of development. According to the statistics of the Taiwan Stock Exchange, the electronics-related industries accounted for 54.45% of the total weighted stock price index in 2017. This study discusses Taiwan''s electronic stock price index and discusses three different kind of factors, foreign investment, exchange rate and international stock market. The data length is from January 2001 to December 2017, with a total of 204 monthly data. The paper analyzes the single root test, optimal backward period, cointegration test, vector error correction model, Granger causality and impulse response function. The empirical results show that the vector error correction model shows that the electronic stock price index has a negative relationship with the past four consecutive periods of foreign purchases, and has a negative relationship with the past two periods of exports, and the Taiwanese real industrial production index for the past six to nine issues showed a negative relationship; and there was a positive relationship with the past five consecutive foreign sales.