| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 93 === This study is based upon collecting 333 monthly data from January 1976 to September 2003. The purpose of this research is to apply the VAR(Vector Autoregressive Model) and analyzing the relationship between stock return and macroeconomic variables in Taiwan. Based on the Granger causality test and impulse response function, forecast error variance decomposition. The results show from causality test, we found that there was no relationship among real stock returns and real interest rate and inflation, but we found that there has relationship between nominal stock return and industrial production.
But Granger causality test was not consistent with the results from VAR model. According to the results from impulse response function, forecast error variance decomposition, we found that there has relationship between stock return and macroeconomic variables in Taiwan, especially the variance of growth in industrial production has significant influence on stock market. Although the macroeconomic variables of explanation capability was low, we could not make a decision that there was no relationship between stock return and macroeconomic variables in Taiwan.
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