| Abstract: | 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：
1.在因果關係檢定中大盤本益比惟對市場報酬率較有顯著性的影響，對其他變數並無顯著影響，且並未發現有任何變數對於大盤本益比有顯著因果關係的存在，或是回饋關係的存在，因此由Granger因果關係檢定中我們得知在所選取的五個總體經濟變數均無法預測大盤本益比未來之趨勢。
2.在貨幣供給增加產生自發性干擾時，對大盤本益比以及股價報酬率的影響是明顯的，且為正向的影響，換言之當市場貨幣供給額M1B增加時，大盤本益比會有正向反應。
3.依據變異數分解分析來看，大盤本益比波動時，所有衝擊變數皆無解釋能力，但相較於其他變數，市場報酬率對大盤本益比有些微影響。
結論：綜合因果關係檢定，衝擊反應分析及變異數分解分析，本研究認為大盤本益比皆不受其他變異影響，惟市場報酬率對大盤本益比短期內有些微影響，可能因為許多總體經濟變數之數據未公佈前，已有其他研究機構已先行發佈預期效果，市場已先行反應，故市場報酬率短期內對大盤本益比有些微影響。
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. |
