臺灣博碩士論文加值系統

本實證研究的主要目的在於探討中國股價指數與總體經濟變數的關聯性，經由多元迴歸計量方法進行實證研究，用以探討總體經濟指標對中國股價指數的相互影響關聯性。實證模型中，以上海證券交易所中的工業指數、商業指數、地產指數、公用指數及綜合指數，為本實證研究模型的依變數。另外，本研究亦將總體經濟變數中的消費者物價指數、貨幣供給、匯率、利率、貿易餘額與工業生產指數等，做為本研究的自變數以探討之。在實證模型中，本研究並導入近期發生之重大事件:次級房貸、北京奧運及四川大地震為模型的虛擬變數，用以研究其重大事件對中國股價指數的影響幅度。本研究期間為2000年1月至2008年12月，月資料為主。先以單根檢定，檢驗原始資料是否具定態的特性，接著利用各檢定原則檢視其相關變數是否符合最小平方法(OLS)的各項前提假設。再以多元迴歸模型，探討各項變數對中國股價指數的影響幅度。
以下為本研究之實證結果：
一、影響上海工業指數的變數：工業生產指數及奧運有正向影響。
物價指數及四川大地震有負向影響。
二、影響上海商業指數的變數：奧運有正向影響。
物價指數及次級房貸有負向影響。
三、影響上海地產指數的變數：貨幣供給及奧運有正向影響。
物價指數及次級房貸有負向影響。
四、影響上海公用指數的變數：工業生產指數、貨幣供給及奧運有正向影響。
物價指數、利率及四川大地震有負向影響。
五、影響上海綜合指數的變數：貨幣供給及奧運有正向影響。
物價指數有負向影響。

In recent years, the China’s economy has grabbed great deal of attention worldwide. Furthermore, a growing number of research studies that tackle the issue of the stock market in the developed country have newly appeared. However, few studies have been done regarding the effect that macroeconomic variables have on stock market index of China. In addition, there are only little studies discussing about the relationships among the major events and the stock market index of China. This research tries to shed more light on how the macroeconomic variables and major events influence the degree of the Shanghai stock market index.
The sample data for this research consists of the listed macroeconomic variables in China from January 2000 to December 2008. Moreover, the following major events are selected as dummy variables: the Olympic Games, subprime mortgage, and the Great Sichuan Earthquake. With a multiple linear regression model, this research tends to investigate how the macroeconomic variables and major events are related to the stock index of Shanghai Stock Exchange (SSE).
In this research, the empirical results show that Consumer Price Index (CPI) has a significantly negative influence on all the stock indices of SSE. The Money Supply is positively related to the SSE-Real Estate Index, SSE-Utilities Index, and SSE- Conglomerates index. There is a negative relationship between the Interest Rate and SSE-Utilities Index. The Industrial Production Figures is confirmed in this research to be positively related to SSE-Industrial Index and SSE-Utilities Index. We also found that the Olympic Games year is positively related to all the SSE stock market indices. As a result the year of Olympic Games has enormous positive impacts on economic indicators of the host country. Additionally, subprime mortgage is negatively related to SSE-Commercial Index and SSE-Real Estate Index. This finding revealed that the subprime mortgage crisis has negatively affected individuals, investors, lenders, and economies worldwide. Moreover, the Great Sichuan Earthquake has negative relationships with both SSE-Industrial Index and SSE-Utilities Index.

Chapter1 Introduction ................................... 1
1.1 Research Motivation ................................. 1
1.2 Research Objectives ................................. 2
1.3 Research Process .................................... 3
Chapter2 Literature Review .............................. 4
2.1 Literature Review on Macroeconomic factors .......... 4
2.2 Literature Review on Major Events ................... 6
2.3 Comparison and Possible Research Direction ......... 12
2.3.1 Comparison on Macroeconomic Variables ............ 13
2.3.2 Research Direction ............................... 16
Chapter3 Major Events .................................. 17
3.1 Beijing Olympic Games .............................. 17
3.1.1 Economic impact studies of past games ............ 17
3.1.2 Definition of Olympic period ..................... 18
3.1.3 The influences of Olympics on Macroeconomic variables................................................19
3.1.4 Literature Review on Olympic Economy ............. 20
3.2 Subprime Mortgage .................................. 22
3.2.1 Literature Review on Subprime Mortgage Crisis .... 23
3.3 Great Sichuan Earthquake ........................... 25
Chapter4 Research Design ............................... 26
4.1 Measurement of Stock Market Index .................. 26
4.2 Determinants of Empirical Model .................... 26
4.3 Variables Measurement and Data Resource ............ 28
4.3.1 The Stock Market Index of China .................. 28
4.3.2 Macroeconomic Variables .......................... 29
4.3.3 Major Events ..................................... 32
4.4 Methodology ........................................ 34
4.4.1 Stationary ....................................... 34
4.4.2 Unit Root Test ................................... 35
4.4.3 Co-integration ................................... 36
4.4.4 Klein’s Method................................... 37
4.4.5 Nested Hypothesis ................................ 38
4.4.6 Durbin-Watson Test ............................... 38
4.4.7 Ordinary Least Square (OLS) ...................... 39
4.4.8 Flowchart of Model Modification .................. 39
Chapter5 Empirical Results ............................. 40
5.1 Unit Root Tests..................................... 40
5.2 Klein’s Method..................................... 41
5.2.1 The variables of SSE- Industrial Index ........... 41
5.2.2 The variables of SSE- Commercial Index ........... 42
5.2.3 The variables of SSE- Real Estate Index .......... 43
5.2.4 The variables of SSE- Utilities Index ............ 44
5.2.5 The variables of SSE- Conglomerates Index ........ 45
5.3 Nested Hypothesis .................................. 46
5.3.1 The variables with collinearity of SSE- Industrial Index .................................................. 46
5.3.2 The variables with collinearity of SSE- Commercial Index .................................................. 47
5.3.3 The variables with collinearity of SSE- Real Estate Index .................................................. 47
5.3.4 The variables with collinearity of SSE- Utilities Index .................................................. 48
5.3.5 The variables with collinearity of SSE-Conglomerates index .................................................. 48
5.4 Durbin Watson d Test ............................... 49
5.5 Regression Results of the Final Model .............. 49
5.5.1 The Regression Results of SSE- Industrial Index ...50
5.5.2 The Regression Results of SSE- Commercial Index ...51
5.5.3 The Regression Results of SSE- Real Estate Index . 52
5.5.4 The Regression Results of SSE- Utilities Index ... 53
5.5.5 The Regression Results of SSE- Conglomerates index 54
Chapter 6 Conclusions .................................. 55
6.1 Comparison and Contribution ........................ 55
6.2 Investment Implications ............................ 59
6.3 Limitation and Future Research Direction ........... 60
Reference .............................................. 61

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