|摘要: ||本文將嘗試探討一些生活中常見的總體經濟變數：消費者物價指數變動率、匯率變動率、貨幣供給額M1B變動率、市場報酬率及出口成長率等五個常見的總體經濟變數與我國股市股價指數之間的關聯，透過本益比可以了解投資人對所投資公司相對成長潛力之認知，應用到大盤上，可以反映投資人對整體市場未來成長性的認知，因此相較股價指數而言有較多的內涵，故本文將探討大盤本益比與上述五個常見的總體經濟變數之關聯性。研究期間為1995年1月至2002年12月，以月為單位，共選取96個樣本。經採Granger因果關係檢定、衝擊反應分析、變異數分解分析後之結果如下： |
This study attempts to explore the relationship between stock index and macroeconomic variables, such as CPI, currency exchange rate (NT$/US$), M1B, market return rate, and export growth rate. By using P/E ratio, we would realize the growth potential, which the investor recognize or expect. Similarly, P/E ratio can also reflect the growth potential of the whole market. Hence, in this study, I would like to explore the relation between P/E ratio and the macroeconomic variables. The span of this study is from January 1995 to December 2002, containing ninety-six samples. Based on the Granger causality test, impulse function, and variance decomposition, we find some critical results:
The first, P/E ratio is significantly influenced by market return rate. But we did not find any causality or feedback relation between P/E ratio and other macroeconomic variables. Therefore, we cannot predict or analyze the trend of P/E ratio by those macroeconomic variables we choose.
The second, P/E ratio and market return rate are significantly influenced by M1B once m1b has spontaneous movement. The sign between P/E ratio and M1B is positive, and so does market return rate.
The third, according to variance decomposition, all variables cannot explain the changes of P/E ratio. However, comparing to other variables, market return rate can slightly influence P/E ratio.
By combining the results of the Granger causality test, impulse function, and variance decomposition, I would conclude that the P/E ratio was not influenced by any chosen variables. However over a short time the market return rate will have a slight influence on the P/E ratio. This may be the result of the market reflecting expected outcomes before the eventual statistics, since there are still other information intermediaries, which will predict the macroeconomic variables and announce their outcomes before official statistics.