本論文的研究主要是探討貨幣供給(M1B)、物價指數及大盤成交量與國內股價指數之間的連動關係如何，各變數是否存在著明顯的領先落後關係，藉由實證方法得出貨幣供給、物價指數、大盤成交量對股價指數是否具有預測能力，以及是否可以透過本模型的研究結果提高獲利的可能性。
本研究首先針對各變數間進行單根檢定法則，接著應用Granger（1969）所提出的因果關係檢定方法，最後再使用迴歸分析來瞭解各變數對國內股價指數解釋能力的高低與預測能力。
本研究期間從西元1996年2月至2006年1月，以月資料進行實證研究，分析結果顯示：1.台灣加權股價指數與貨幣供給為單向影響，貨幣供給會影響台灣加權股價指數。2.台灣加權股價指數與成交量為單向因果關係，其成交量會影響加權股價指數。3.成交量與貨幣供給，以sbc模型的因果為單向影響，即貨幣供給影響股市成交量。4.台灣加權股價指數與物價指數為單向影響，即台灣加權股價指數會影響物價指數。5.貨幣供給與物價指數為單向因果關係，即貨幣供給影響物價指數。6.物價指數與成交量沒有因果關係，即無顯著相互影響關係。
This paper is an empirical study on the relationship among the money supply,M1B, price index ,trade volumes. We want to find the result of its positive prediction for M1B, stock index and price index.
In this paper, there are three hypothesis which we want to test.. They are the Unit Root test, Granger(1969) causal relationship test, and the regression on examining the relationship. We would like to find a positive and feedback relationships
This time periods is by monthly data basis from Feb.1996 to January 2006.The results as follows,
1.The relationship between stock index and M1B is one way. M1B is affected the stock price index of Taiwan.
2.The relationship between stock index and trade volumes is one way. Trade volumes is affected the stock price index.
3.The relationship between trade volumes and M1B is one way based on SBC model. Which means M1B is affected trade volumes of the stock market.
4.The relationship between stock index and price index is one way, which means the stock index is affected the price index.
5.The relationship between M1B and price index is one way, which means M1B is affected the price index.
6.The relationship between price index and trade volumes is none, which means there is no causality between them.
