| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 91 === Abstract：
This research investigates the relationships among macroeconomic variables and stock market under various economic conditions of different countries, including the US, the UK, Japan, Taiwan and China. Quarterly data are collected from 1973:01 to 2002:02, a total of 118 observations. The macroeconomic variables considered in this paper include industrial production, consumer price index, exchange rate and money supply, which are adopted to analyze the impact of the macroeconomic condition on the stock index for countries of different degree of economic development.
This research first employs the cointegration test to analyze the long-run equilibrium relationship and further apply vector error correction model (VECM) to examine the short-run dynamic relationship among variables considered. Granger causality test is used to investigate the lead-lag position among variables. Impulse response function (IRF) and variance decomposition (VDC) are also employed for testing the impulses caused by shocks of each variable and the relative exogenity among variables.
The finding from cointegration is that different economic progresses hold different long-run relationships. The short-run dynamic findings show that the stock market in Taiwan is tend to be influenced by industrial production, exchange rate and money supply; the stock market in the US is affected only by industrial production; the UK’s stock market is affected by exchange rate and money supply. For the Japan and China, it does not show any relations among macroeconomic variables and stock market. This argues that different stock markets are affected differently by the macroeconomic variables of different countries with different economic progresses. The impulse responses of stock indices of various countries to shocks from macroeconomic variables are analyzed as follows. On the stock indices, industrial production affects positively and consumer price index, exchange rate and money supply affect negatively in Taiwan, industrial production and consumer price index affects negatively and exchange rate and money supply affect positively in the US, industrial production, consumer price index and exchange rate affects negatively and money supply affect positively in Japan, industrial production and money supply affects positively, exchange rate affect negatively and consumer price index, however, does show any influence power in the UK, industrial production affects negatively and consumer price index, exchange rate and money supply affect positively in China. For the explaining power from variance decomposition, we find that the explaining powers of variables are counted more on themselves than on others. However, variances from variables of China hold only moderate power when in explaining the variances of others, which is different from other findings.
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