台灣地區股票報酬率與總體經濟及公司財務變數關聯性之研究-以食品類股為對象

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Please use this identifier to cite or link to this item: http://140.128.103.80:8080/handle/310901/9106

Title:	台灣地區股票報酬率與總體經濟及公司財務變數關聯性之研究-以食品類股為對象
Other Titles:	Causal relations among stocks returns, macroeconomic and firm''s financial variables in Taiwan - for food stocks
Authors:	蘇秀芬 Su,Hsiu-Fen
Contributors:	陳景榮 Chen, Jing-Jung 東海大學食品科學系
Keywords:	網狀因果關係檢定;食品類股;報酬率;總體經濟變數;公司財務變數 nested causality test;food stocks;stock return;croeconomic variables;firm''s financial variables
Date:	1998
Issue Date:	2011-06-16T02:26:38Z (UTC)
Abstract:	本研究主要在探討股票報酬率與總體經濟及公司財務變數之間的關聯性，以瞭解影響股價變動的因素。研究的對象是台灣11家食品上市公司。總體經濟變數包括：工業生產指數、貨幣供給額M1a、30天商業本票利率、消費者物價指數、躉售物價指數、日圓兌新台幣匯率和美元兌新台幣匯率，而公司財務變數則包括：益本比和淨值市價比。分析方法是採用Chen和Lee(1990)及Lee和Wu(1993)提出的網狀因果關係檢定法進行較系統的動態關係檢定。結果顯示食品類股票報酬率與總體經濟及公司財務變數之間主要為回饋關係或單向關係，並無同期關係或獨立關係。總體經濟變數中的物價水準約領先六期且為正向影響、美元兌新台幣匯率約領先一期且為負向影響及貨幣供給額約領先二期或三期且為正向影響是大部份食品類股票報酬率之領先指標，而公司財務方面益本比和淨值市價比的影響期數和方向因公司特性而異但是大部份食品類股票報酬率之領先指標。 The purpose of this study is to find the effectiveness of economics and firm''s factors in food stocks prices. Therefore, a number of investigations were conducted in order to determine the significance of the causality relationship between food stocks return and variables. There are 11 food companies included in this study. The macroeconomic variables include: industrial production index, money supply (M1a), interest rate of 30-day commercial paper, consumer price index, wholesale price index , the exchange rate between Japanese Yen and NT dollars, and the exchange rate between US and NT dollars. But, the firm''s financial variables only the earning to price ratio and book to market value ratio were included. A nest causality testing method was proposed to identify the dynamic relationships between stock return and variables. The results indicated that the relationships between stock return and variables had feedback or unidirectional relations, but they didn''t have independent or feedback or unidirectional relations, but they didn''t have independent or positive contemporaneous relations. The price level was a leading indicator and had positive effect to the stocks return about six months. The exchange rate between US and NT dollars was a leading indicator and had negative effect to most of companies stocks return in one month. Also, the money supply was a leading indicator and had positive effect to stocks return, but only leading in two or three months. For the firm''s financial variables, the significance of lagging period and directions was different, because of the different characteristic financial status among firms.-1 -aCausal relations among stocks returns, macroeconomic and firm''s financial variables in Taiwan - for food stock
Appears in Collections:	[食品科學系所] 碩士論文

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