| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === In this paper, we try to figure out whether there exists a relation among macroeconomic variables and stock prices. Once we can have factors that influence stock prices, investors might get benefits from stock markets. We investigate the relationships of stock price and macroeconomic variables for U.S.A. market by stepwise regression model and the Granger Causality method. Using monthly data from February 1993 to October 2007, we find that first, from February 1993 to December 1999, the Leading Economic Indicator had directly impact on the stock price. Thus, by observing the variation of Leading Economic Indicators, we can have some information about stock price volatilities. Second, from January 2000 to October 2007, stock price had great impacts on Exports, 10 Years Government Bond Yields(Long Term), New Privately-Owned Housing Authorized In Permit - Issuing Places, Index of Consumer Sentiment and Leading Economic Indicator. Third, there is a significant and negative relationship between stock price and Annual Growth Rate of Money Supply (M1). We also obtain a positive relationship between stock price and Leading Economic Indicators in the long run. This implies that by using these two variables, we probably can have a trace of average stock price volatilities in the future.
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