| 摘要: | 本研究針對新興國家-印尼自2000/01~2010/12期間，國家總體經濟因素與印尼JCI股價指數相關聯之實證研究。經由Granger 因果關係檢定與簡單線性迴歸模型之實證分析後發現：
(1) 總體經濟因素GDP、領先指標、貨幣供給、外匯存底、工業生產指數、淨國外資產、出口、印尼隔夜拆款利率、Tapis原油、布蘭特原油及西德州原油與JCI股價指數存在著互為回饋之因果關係；直接匯率及企業信心指數與JCI股價指數為互相獨立關係，亦不存在任何因果關係，彼此間無相互預測。
(2) 淨國外資產、GDP對 JCI股價指數為正相關，同期影響程度不明顯，落後顯著影響達99%；
(3) 貨幣供給、直接匯率、領先指標、出口、Tapis原油指數、布蘭特原油指數對JCI 股價指數為正相關，達99%之高度顯著影響；
(4) 外匯存底對JCI 股價指數為正轉負相關，當期對JCI 股價指數最為顯著，達99%之顯著影響；
(5) 工業生產指數對JCI 股價指數為負相關，且工業生產指數的變化會即時反應至JCI 股價指數，達95%顯著水準；
(6) 印尼隔夜拆款利率、西德州原油指數對JCI 股價指數為負相關，有高度顯著影響力，達99%顯著水準。
This study is based upon collecting monthly and quarterly data from January 2000 to December 2010. The purpose of this research is to apply the Granger Causality Test and Simple Regression Analysis, we find following critical results:
1. The JCI Index has feedback relationship with GDP, Leading indicator, Interest rate, Money supply, Foreign reserve, Industrial Production Index, Net Foreign Asset, Export, TAPIS crude, Brent Crude, and West Texas Intermediate. But Exchange rate and Business Tendency Index was an independence variable between JCI Index.
2. Positive relationship between Net Foreign Asset and JCI Index; GDP and JCI Index, and both of them were lagging behind 99% significant impact.
3. Positive relationship between Money supply and JCI Index; Exchange rate and JCI Index; Leading indicator and JCI Index; Export and JCI Index; Tapis crude and JCI Index; WTI and JCI Index, reach 99% significant impact.
4. Positive relationship between Foreign reserve and JCI Index, and change to negative relationship when data lagging for 4 month.
5. Negative relationship between Industrial Production Index and JCI Index, 95% of the significant impact.
6. Negative relationship between Interest rate and JCI Index; WTI and JCI Index, 95% of the significant impact. |
