本文研究目的係探討在貨幣市場中價量指標對股票市場在多頭及空頭走勢時,對股票報酬是否具有影響力。本文選取之貨幣市場因素包括貨幣供給(M2)及金融同業隔夜平均拆款利率，股價指數則選取發行量加權股價指數。研究期間自1997年10至2006年1月，資料採用月資料，資料期間近9年，100個樣本，以月資料進行實證研究。
本研究進行實證分析前，必須先確定變數是否存在單根現象，接著應用Granger所提出的因果關係檢定方法，最後再使用迴歸分析探討貨幣市場價量因素與股價指數及其報酬率之關聯性，實證結論如下：
台灣加權股價指數與貨幣供給為單向影響，其貨幣供給會影響台灣加權股價指數。
台灣加權股價指數與金融業隔夜拆款利率沒有因果關係，金融業隔夜拆款利率與大盤指數之間並無顯著相互影響關係。
貨幣供給與金融業隔夜拆款利率為單向因果關係，即貨幣供給影響金融業隔夜拆款利率。
This paper is an empirical study on the relation in money price-volume market, both the long position (bull) and short position (bear) of Taiwan stock market.
In this paper, the money market includes money supply (M2) and over-night rate. The stock price index is based on volume of weighted stock index. The research time period is 100 samples of monthly basis from October 1997 to January 2006.
There are three hypothesis which will be tested for case study. They are Unit-root , Granger Causality and Regression test.
The empirical result which we obtained by academic research are as follows:
1. The relation between the stock price index of Taiwan and money supply is one way. Which means the money supply affect the stock price index of Taiwan is positive.
2. There is no connection between the stock price index and over-night rate. And the same as the over-night rate and TAIEX.
3. The relation between money supply and TAIEX is one way, which means money supply affect over-night rage is positive.
