鴻海股價、月營收與經濟因素之Granger因果關係

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Title:	鴻海股價、月營收與經濟因素之Granger因果關係 Granger Causality of Hon Hai Share prices, Revenues and Economic Factors
Authors:	林楊筌 Lin, Yang-Chiuan
Contributors:	經濟學系
Keywords:	Johansen共整合向量誤差修正模型 Granger因果關係 Johansen cointegration test vector error correction model Granger causality
Date:	2015-06
Issue Date:	2015-08-04 10:17:53 (UTC+8)
Abstract:	本文研究針對鴻海股價、月營收與經濟因素 (匯率、台灣指數、M2)進行實證分析，利用Johansen共整合、向量誤差修正模型 (VECM)以及VECM架構下的Granger因果關係檢定來探討變數之間的互動關係，實證期間為2007年1月至2014年12月。經由實證結果可發現，月營收與股價只有單向的因果關係，其他經濟因素對鴻海股價與月營收的影響也都是單向的，其中股價的部分是領先於大盤的，可能原因其為台灣指數之重要成分股，貨幣政策是正向影響股價，至於營收方面只有匯率是有直接且領先的影響，結果大部分皆與事前所預測相同，唯一不同為股價與月營收事前認為應為雙向因果關係。 In this paper, we discuss the Hon Hai shares, monthly revenue and economic factors. We use the Johansen cointegration test, vector error correction model and vector error correction Granger causality to examine the linkages across variables. Empirical period from January 2007 to December 2014. The empirical results, we found monthly revenue and stock price only one-way causality and effect of other economic factors on the Hon Hai stock price with monthly revenue are also too. Which part of the stock price ahead of broader market because it is important for the Taiwan Index. Monetary policy is positive affect the stock price. However, only the exchange rate has a direct and lead impact about the revenue. Most of the results are the same as predicted in advance. The only difference between the stock price and monthly revenue in advance. They should be two-way causality.
Appears in Collections:	[Department of Economics & Graduate Institute of Economics ] thesis

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