|Abstract: ||本研究針對台灣各項總體經濟指標是否對台灣證券市場加權股價指數有實質顯著性的影響作分析探討。研究期間1997年1月至2005年12月止共108筆月資料。研究對象為台灣加權股價指數，對總體經濟變數依序為製造業營業氣候測驗點、領先指標綜合指數、失業率、景氣對策信號綜合分數、狹義貨幣供給額(M1A)月底值、狹義貨幣供給額(M1A)年增率、狹義貨幣供給額(M1B)月底值、狹義貨幣供給額(M1B)年增率、廣義貨幣供給額(M2)月底值、廣義貨幣供給額(M2)年增率、外匯存底、外匯存底年增率、主要金融機構放款與投資總額、主要金融機構放款與投資總額年增率、金融業拆款利率-隔夜加權平均、消費者物價總指數、消費者物價指數年增率、躉售物價總指數、躉售物價指數年增率、工業生產總指數、工業生產年增率、美元兌新台幣匯率、美金出口貿易總金額、出口成長率、美金進口貿易總金額、進口成長率、外銷訂單總額、外銷訂單年增率、實質民間消費、實質民間消費年增率、GDP、GDP年增率、GNP、GNP 年增率、政府消費、政府消費年增率、固定資本形成、固定資本形成年增率共計39個變數，進行多元迴歸分析。|
This research is aimed to analyze whether all sorts of macroeconomic indexes applied in Taiwan have actual impacts on its weighted stock index and how deep the impacts may cause in the current Taiwan stock market.
The research period from January 1997 to December 2005 covering 108 total monthly data is used to conduct a comprehensive analysis on Taiwan weighted stock index to macroeconomic change. In turn, the overall scope includes the survey of manufacturers'' view of current business condition, mix leading index, unemployment rate, mix economic strategic signal index, M1A monthly data, annual growth rate of MIA monthly data, MIB monthly data, annual growth rate of MIB monthly data, M2 monthly data, annual growth rate of M2 monthly data, USEX, MFI, annual growth rate of MFI, primary bank loan and investment, annual growth rate of primary bank loan and investment, interbank money market interest rates, consumer price index, annual growth rate of consumer price index, wholesale price index, annual growth rate of Wholesale Price Index, industry production index, annual growth rate industry production index, total export amount in US dollar, export growth rate, total import amount in US dollar, import growth rate, total export order quantity, annual growth rate of export order quantity, private final consumption expenditure by purpose, annual growth rate of private final consumption expenditure by purpose, GDP, annual growth rate of GDP, GNP, annual growth rate of GNP, government final consumption expenditure, annual growth rate of government final consumption expenditure, fixed capital formation and annual growth rate of fixed capital formation. Total numbers of 39 variables are adopted in a multiple reserve analysis in this study.
The results of the study are concluded as follows:
1、The leading signal announced by the Council for Economic Planning and Development showing the early forecast of business developments is the guidance for predicting economic situation in Taiwan. At the same time, the economic situation as well as business developments affect the stock market significantly.
2、The increase of the unemployment rate has caused a huge impact on the local investor’s decision in making more investments in the domestic stock market.
3、The wholesale price index appears to have a negative impact on Taiwan weighted stock index, and it’s relatively low in its relation.
Its change direction is:
Composition index of the leading indicator: highly relevant → forward relation
unemployment rate: highly relevant → reverse relation
The wholesale price index: a relatively low relation → reverse relation