| 摘要: | 本文主要採用月資料並利用時間序列方法，探討匯率、黃金價格、原油價格以及貨幣供給M1B餘額，與台灣股市加權指數的關聯性。
本研究的實證方法包括單根檢定、向量自我迴歸模型與動態模型等檢定方法。研究期間為1990年1月至2010年1月為止，共有252筆月資料。
實證結果發現匯率領先台股加權指數1期，且呈現負向顯著關係。而M1B領先台股加權指數7期，且呈現正向顯著關係。黃金價格領先台股加權指數2期，且呈現負向顯著關係。原油價格領先台股加權指數2期，且呈現負向顯著關係。在文獻研究中已有研究變數間之因果關係，故本研究著重於匯率、金價、油價與貨幣供給對台股加權指數之時差與影響。
This research uses monthly dare and time series to investigate relationship among exchange rate, oil price, gold price and money supply M1B with the Taiwan stock market-weighted index.
The study applies several scientific methods including the Unit root test, the Vector Autoregressive Model and the Dynamic model to study the relationship. The data period starts from January 1990 and ends on December 2010 with a total of 252 monthly samples.
Our empirical analysis concludes that the exchange rate leads the Taiwan stock market-weighted index by one month with a significant negative effect. The M1B leads the Taiwan stock market-weighted index by seven months with a significant positive effect. Both the gold price and the oil price lead the Taiwan stock market-weighted index by two months with a significant negative effect. Based on the large number of prior studies regarding the causality and effect among exchange rate, gold price, oil price, money supply and stock market, this paper further focused on the time lag effect of these variables in Taiwan stock exchange market. |
