An Empirical Study of the Interaction between Macroeconomic Variables and Taiwan Stock Index.

• Main Authors: Yuan-Hung Pai, 白元宏
• Other Authors: Ching-Jun Hsu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/00158386790194924390

碩士 === 南華大學 === 財務管理研究所 === 90 === The primary purpose of this study is to examine the reaction on stock indexes on the announcement of macroeconomic variables. Twenty-eight variables are examined. Those included Industry Production Index、Unemployment Rate、Consumer Price Index、Leading Indicator、Money Supply M1b and others. The sample period for this study consists of 132 months during 1990/01-2000/12. The empirical results of this study are as following: 1 After analysis using the method of principal factor, we can narrow down the field of 28 macroeconomic variables to 5 macroeconomic factors. 2 By using Granger causality, we cannot reject that 5 macroeconomic factors does not have an effect on TAIEX and MSCI Taiwan Index. 3 The information obtained from the 5 macroeconomic factors can correctly predict Y1 and Y2 to an accuracy of 80%. 4 Foreign investment institutions are more sensitive and value macroeconomic variables more than the general investor. 5 The reduction of restrictions by the government on foreign investment institutions has helped them to demonstrate the potential and value of the Taiwan Stock market.