The Study of Relationships between Taiwan Stock Index and Macroeconomic Variables

• Main Authors: Tien-Hao Lin, 林天豪
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/04505081547459990362

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 103 === This study was to explore the association of Taiwan Weighted Stock Index and general economy, general economic variables selected in the frequency data in Taiwan during the past twenty years, the use of the following eight common general economic variables and stock price index for correlation analysis: Consumer prices index, wholesale price index, trade balance, foreign exchange reserves, monitoring indicator, unemployment rate, m1b, interest rates. use ADF test, Granger causality test, VAR model, variance decomposition, impact response functions, to do research in the empirical analysis. Analysis of the relevance of Taiwan general economic variables and the weighted stock price index between to serve as investors invested in the stock market an important reference. Conclusions of this study are classified as follows: 1. The m1b leading stock index, loose monetary policy to make funds into, the stock market better. 2. The stock index leading interest rate, stock index can be used to predict the future trend of interest rates. 3. The stock index leading monitoring indicator, when a country's stock market rose, on behalf of the rise of the economic environment. 4. The stock price index and the consumer price index to each other as independent, unpredictable another.