The relevance of investor sentiment, macroeconomic variables and the returns of Taiwan stock market.

[[abstract]]本研究探討台灣加權股價指數、工業生產指數、消費者物價指數、貨幣供給額、匯率、失業率、利率與投資人情緒八項變數變動率之互動關係，先後利用向量自我迴歸模型與Granger因果關係檢定做實證分析。實證結果發現當工業生產指數、貨幣供給額、利率與投資人情緒受到衝擊時，台股指數報酬率為正向，當消費者物價指數、匯率與失業率受到衝擊時，台股指數報酬率為負向。當台股指數、工業生產指數與貨幣供給額受到衝擊時，投資人情緒為正向反應，當消費者物價指數、匯率、失業率與利率受到衝擊時，投資人情緒為負向反應。研究中也發現工業生產指數、匯率及失業率領先台灣加權股價指數，為單向之因果關係；投資人情緒與台灣加權股價指數互為因果之回饋關係，亦即，工業生產指數、匯率、失業率與投資人情緒與加權股價指數有較顯著的關係，對於用來預測未來股價指數的走向較合適。 之後將台灣加權股價指數分為十八種產業類股，利用Granger因果關係檢定法分別探討其他七種變數之關聯性，實證結果發現，佔市場成交量比重高的類股指數和大盤趨勢較一致，且類股指數受到投資人情緒影響最為顯著。[[abstract]]We construct a VAR model to investigate the relationship of investor sentiment, macroeconomic variables (industrial production index, consumer price index, money supply, exchange rate, unemployment rate, interest rate ), and the returns of Taiwan stock market and use granger causality test to prove the results. The empirical results show that industrial production index, money supply, interest rate, and investor sentiment are positively related to the returns of Taiwan stock market, and consumer price index, exchange rate and unemployment rate are negatively related to the returns of Taiwan stock market. We also find that industrial production index, exchange rate, unemployment rate and investor sentiment granger cause the returns of Taiwan stock market. Additionally, we divide Taiwan stock market into 18 kinds of industrial stocks, and find the results that higher market volume of industrial stocks and Taiwan stock market tend to be consistent.[[note]]碩