本研究以台灣汽車產業之上市公司和泰、裕隆及中華為研究對象，利用單根檢定、共整合檢定、誤差修正模型、線性?歸模型、衝擊反應分析與預測誤差變異數分析等研究方法，探討影響汽車產業類股股價之因素。實證結果發現，台灣汽車整車產業類股之間的股價具有共整合之長期均衡關係，當中華及和泰股價與裕隆股價發生短期偏離時，將由和泰及中華扮演調整回復的功能，而回到其共同的長期均衡狀態。在匯率部份，汽車整車產業股價與匯率呈現負相關，即新台幣升值會造成上述三家公司股價上漲；在油價部份，油價對裕隆及中華之股價呈負相關，但與和泰為正相關，說明油價上漲會?激高燃油效??的銷售增加；在利率部份，利率對和泰、裕隆及中華該三家公司股價均呈負相關；在與上游廠商部份，和泰、裕隆及中華股價對上游瑞利公司呈正相關，具有明顯資訊傳導效果，但相對另一上游廠商東陽公司，則因主要銷售市場不同，致股價無明顯相關性。 The purposes of this study are to investigate the determinants of the stock price of Taiwan Automotive Industry, including Hotai、Yulon and China Companies. This paper is implemented by the methods of cointegration test, VECM model, impulse response function and error variance decomposition. The main empirical results are summarized as follows: there is a long-term equilibrium relationship between the stock prices of Taiwan automotive companies and the automotive companies’ stock prices and exchange rate have negative correlation, that is, the appreciation of New Taiwan Dollar cause the stock prices of Hotai、Yulon and China rose. In the part of oil prices, the correlation between stock prices of China and Yulon is negative, but Hotai is positive. It means that the increasing of oil price causes the sales of Hotai rose. Finally, Hotai、Yulon and China were negatively correlated with interest rate, and in part with the upstream vendors, Hotai、Yulon and China were positive correlated with JUI company. It indicates that the effects of information transmission significantly existing among automotvie industries of upstream and downstream. But correspondingly the other upstream TYI Company, due to different markets, caused stock price no significant correlation.
