The Study on the Relation between Money Supply and Classified Stock Price Index

[[abstract]]本論文主要是研究國內貨幣供給與分類股價指數關聯性的探討，研究期間為民國八十四年一月至民國九十三年十二月。我們利用Johansen最大概似共整合探討長期關係，覆以誤差修正模型了解短期動態變動。最後，使用Granger因果關係檢定貨幣供給與分類股價指數關係。研究結果顯示長期在貨幣供給M1B部分，分別與塑膠類股、紡織纖維類股與電子類股存在共整合關係；在貨幣供給M2部分，分別與所選取的樣本分類股價存在共整合關係。在短期發生失衡時，在貨幣供給M1B與塑膠類股、紡織纖維類股與電子類股部分，是由貨幣供給M1B來往長期調整；在貨幣供給M2與各分類股價部分，是由貨幣供給M2來往長期調整。從因果關係發現食品類股與貨幣供給M1B部分存在回饋關係，而與貨幣供給M2為單向因果關係。在塑膠類股或紡織纖維類股或金融保險類股部分，與貨幣供給M1B為單向因果關係，而貨幣供給M2為獨立關係。在鋼鐵類股部分，貨幣供給M1B與M2和鋼鐵類股為單向因果關係。在電子類股部分，不論在貨幣供給M1B或M2皆為獨立關係。[[abstract]]The purpose of this research is to discuss the study on the relation between money supply and classified stock price index, and the sample of article is monthly data of 84/01 to 93/12. We adopt the maximum likelihood method developed by Johansen and vector error-correction model to understand the long-term and short-term relationship between variables. Finally, we use granger causality to test the relationship between money supply and classified stock price. In the M1B, the empirical results showed that long-term there exists co-integration relationship in the plastic, textile fiber, and electronic industries. In the M2, the empirical results showed that there exists co-integration relationship in any sample of classified stock price. We show that ECM confirms a short-term imbalance between the M1B, M2, and classified stock price, and thus an adjustment to long-term equilibrium occurs. We find that the M1B does the adjustment in plastic, textile fiber, and electronic industries. On the other hand, M2 does the adjustment in the sample of classified stock price. Granger Causality Test shows that food and M1B exists a feedback relationship, however, between food and M2, M2 takes the lead. In plastic or textile fiber or banking and M1B, M1B takes the lead, however, between they and M2 exists an independency relationship. In steel and money supply, M1B or M2 takes the lead. In electronic and M1B or M2, they exists an independency relationship