| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 99 === The stock market reflects the performance of a national economy, and inflation is also closely related with the stock price ups and downs. In the past, interest rates, exchange rates, money supply, industrial production index ... etc, are common, subjects in stock prices related literature. This study investigates the relations between inflation and stock index.
The relationships between inflation and stock index from 2001 to 2010 is studied, The Johansen cointegration test shows inflation and stock index are long-term trend, The result of Granger causality test shows the stock index leading inflation rate, so that Price Index movement is caused by stock price index changes.
Keywords: Inflation, Taiwan stock index, Johansen cointegration test, Granger Casualty Test.
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