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題名：總體經濟指標新聞發佈對台灣股市之影響
作者：洪雪卿
作者(外文)：Sheue-Ching Hong
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
學位類別：博士
出版日期：2005
主題關鍵詞：總體經濟指標新聞；未如預期總體經濟指標新聞；發佈效果；預測模型；GARCH；Macroeconomic News；Unexpected Macroeconomic News；Announcement Effects；Forecasting Model；GARCH
原始連結：連回原系統網址new window
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總體經濟指標新聞的發佈，通常被視為表達經濟狀況的重要指標，因此不少國外文獻探討政府所公佈的總體經濟指標新聞是否會影響到股市的報酬率和波動性。其中有些研究特別強調總體經濟新聞公佈事件本身的影響力；另外有些研究則認為只有未如預期的總體經濟指標新聞才會對股市有影響。但是我國目前針對總體經濟指標新聞發佈與國內股市的關聯性研究卻相當有限。
本文研究目的在於探討我國總體經濟指標新聞發佈本身，以及未如預期總體經濟指標新聞的發佈，是否對國內上市與上櫃加權股價指數的報酬率與波動性有所影響？由於國內缺乏完整且及時性之總體經濟指標預期值，因此本研究嘗試運用ARIMA、灰預測與類神經網路等預測模型，分別進行經濟成長率、消費者物價指數、工業生產總指數、貨幣總計數M1B、重貼現率、失業率與景氣對策信號等七項總體經濟指標的預測，並從中選擇預測模型績效最佳者之預測值，作為市場的預測值，最後以GARCH模型來檢測總體經濟指標新聞本身與未如預期的總體經濟指標新聞對台灣股市的發佈效果。
研究結果發現：總體經濟指標新聞發佈本身，幾乎不會影響國內上市與上櫃加權股價指數報酬率；但是當經濟成長率、失業率、消費者物價指數、工業生產總指數與景氣對策信號等總體經濟新聞發佈時，對國內股市的波動性會有影響。此外，當某些意味著通貨膨脹（如超出預期的消費者物價指數）或工業生產量降低（如低於預期的工業生產總指數）之類的壞消息發佈時，會使得股市報酬率降低，當發佈低於預期的失業率之類的好消息時，會使得股市報酬率提高；某些未如預期的總體經濟指標（如消費者物價指數、工業生產總指數、貨幣總計數M1B、失業率、景氣對策信號）新聞發佈，對於國內股市波動性亦有顯著影響。本文研究貢獻在於一則提供台灣股市對於政府所發佈總體經濟指標新聞如何作出回應的實證研究；二則針對總體經濟新聞指標新聞發佈，提供投資人如何選擇最佳進出股市時機之參考，以增加獲利機會與降低投資風險；三則提醒政府相關主管機構注意，某些總體經濟指標新聞發佈可能較易引起股市的波動，宜事先擬定政策性調整工具等因應措施以降低市場的波動性。
Macroeconomic news announcements are usually regarded as excellent indicators for the economy status. Recently, a line of research has emerged that seeks to investigate a possible impact of scheduled announcements on financial markets. Some researches contend it is the macroeconomic news itself to have such influences; while other researches argue that only unexpected macroeconomic news could do so. However, there are only few researches working on this topic so far in Taiwan.
The purpose of this study is not only to examine whether the scheduled macroeconomic news announcements, but also to incorporate the role of expectations have any impact on the stock price returns and volatility. Since in Taiwan there are no similar MMS surveys available, ARIMA, Grey Forecasting and Back-Propagation Network models are employed to forecast the macroeconomic variables as the substitution of market expectations. This study will choose the best prediction result to measure the unexpected value of the news. In the end, GARCH model is employed to inspect the public news announcements effects on the stock market.
The major findings are summarized as follows. It seems that macroeconomic news itself has hardly any impact on the stock market returns. When the real GDP, unemployment rate, consumer price index, industrial production index and monitoring indicators news are announced, they do have some impact on the stock market volatility. Some unexpected macroeconomic news announcements would decrease the stock market returns, such as positive news of consumer price index or negative news of industrial production index. On the other hand, negative news of unemployment rate would increase the stock market returns. Some unexpected macroeconomic news does cause the stock market volatility. The key contributions of this study are three-fold. First, this study provides evidence on the response of Taiwan stock market to macroeconomic news announcements. Second, the results suggest that the investor had better pay some attention to certain unexpected macroeconomic news if they want to maximize their profits and lower investment risks. Third, policy administrators might need to take appropriate measures to decrease the market volatility when they know in advance certain macroeconomic news announcements effects might be.
ㄧ、中文部份
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3. 李天行（民93），「整合類神經網路與迴歸分析於匯率之預測－以東南亞金融風暴期間新台幣兌美元匯率為例」，統計與資訊評論，第7卷，1-24。
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