台灣電子業、金融業與營建業股價指數互動影響之研究

Abstract

本研究係針對電子業、金融業、營建業股價指數2009/01~2016/12共96筆月資料進行探討，利用向量自我迴歸模型 (VAR) 尋找影響此三類產業股價指數的變因及與台灣加權股價指數間互動關係，並以最小平方迴歸模型 (OLS) 建立最適預測模型。 實證結果獲得結論如下: (1) 電子類股價指數受落後2期的BB ratio、落後6期的電子產品外銷訂單、落後5期的美元兌台幣匯率之正向影響。 (2) 金融類股價指數受本身落後5期、不動產放款落後2期之負向影響，受台指期落後5期、工業生產指數落後7期之正向影響。 (3) 營建類股價指數受落後3期的金融類股價指數、落後2期的不動產放款之負向影響、落後6期的信義大台北房價指數之正向影響。 (4) 營建類股價指數受金融類股價指數顯著影響，電子類股價指數與金融類股價指數互動在本研究中無顯著關係，且落後一期的金融類股價指數對台灣加權股價指數有顯著影響，電子類股價指數與台灣加權股價指數完全同步，無預測能力。

This paper discusses the relationship between Taiwan Electronics, Financial and Construction Industry. This research collected monthly data ranging from January 2009 to December 2016. We use the vector autoregression (VAR) model to analyze what variables can affect the stock index of these three industries and the interaction of the performance of these three industries. Also, we create well-predicted model by the ordinary least squares (OLS) model. Via the empirical test, we summarize four conclusions: (1) BB ratio of lag 2, export orders for electronic products of lag 6 and US dollars Exchange rate of lag 5 have positive influence on electronic stock index. (2) Financial stock index of lag 5 and real estate loans of lag 2 have negative influence on financial stock index. Taiwan stock price index futures of lag 5 and industrial production index of lag 7 have positive influence on financial stock index. (3) Financial stock index of lag 3 and real estate loans of lag 2 have negative influence on construction stock index. Sinyi house price index (Taipei area) of lag 6 has positive influence on construction stock index. (4) Financial stock index has influence on construction stock index. However, there isn’t significant relevance between electronic stock index and financial stock index. Financial stock index of lag 1 has influence on Taiwan stock exchange, but electronic stock index doesn’t because of its coincidence with Taiwan stock exchange.