影響股價報酬的總體經濟訊息的發佈與國家經濟體系的息息相關，當股市發生大波動時，為了探究其背後影響的主因，本文採用下列四個解釋變數代表各項總體經濟環境的變化。1.長短利差:國庫券長期利率與短期利率之間的差額，代表經濟景氣的情況，了解市場資金寬鬆或緊縮。2.聯邦基金利率:代表貨幣政策的鬆緊，上升代表緊縮，對股市有負面影響。3.匯率指數:代表國際貿易情形。4.物價指數:透過原物料期貨指數了解通貨膨脹的情形。應變數是以S&P500每日變動率代表股價波動情形。
本研究第一部分採用S&P500指數變動率。觀察迴歸係數，長短利差和物價指數是與美國股價指數變動率同向變動；聯邦基金利率及匯率指數是與美國股價指數變動率反向變動。第二階段，將四個自變數對S&P500分類指數的迴歸分析，選取零售、電力、科技、金屬礦產、航空服務、醫療、銀行業以及建築業，共八個產業作為分析對象。第三階段，將四個自變數對S&P500分類指數國內外對照的迴歸分析。本研究篩選出SPDR的S&P500分類指數中，有美國國內的ETF同時有美國國外同產業的ETF，一共有金融業、醫療、金屬礦產業、科技業和能源業等六個產業。
一連串分析之下，歸納出長短利差、物價指數對美國股市造成同向影響；聯邦基金利率、匯率指數則與美國股市變動方向相反。在區隔產業的分析下，也可得到相同的相關結論。
從這些總體經濟的分析，我們可以從長短利差、聯邦基金利率、匯率、物價這些常見的預測總體經濟對股價造成的變化，了解股價的走向與變動幅度。

This paper uses four factors, interest rate spread, federal funds rate, exchange rate index and price index, to explain S&P500's daily returns.

First, the interest rate spread and price index have positive coefficients with S&P500's daily returns from OLS regression model, and, however, the federal funds rate and exchange rate index have negative coefficients with S&P500's daily returns. Second, we regress S&P500's domestic indices with these four factors to analyze the returns from its domestic part. The S&P500 index's domestic part includes ETFs only in the U.S. Third, we regress S&P500's six classed indices with these four factors to analyze the returns from those classed indices. Those six categories include domestic and foreign ETFs in S&P500 index.

In the first model, the interest rate spread and price index have positive coefficients with S&P500's daily returns, the federal funds rate and exchange rate index have negative coefficients with S&P500's daily returns. In the classed S&P500 indices regression model, the coefficients are significant and our conclusions are consistent with first model, no matter its category is domestic or world-wide.

From our research, it's useful to analyze S&P500's daily return by four common factors: interest rate spread, federal funds rate, exchange rate index and price index, and it's helpful to investors studying macro-economic situation by daily data.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
表目錄 v
第壹章 緒論 1
第一節 研究背景、動機 1
第二節 研究目的 2
第貳章 文獻探討 3
第一節 和應變數有關的研究 3
第二節 和自變數有關的研究 5
第参章 研究設計與方法 8
第一節 研究模型 8
一、迴歸分析 (regression analysis) 8
二、配適度(goodness of fit) 11
三、共線性問題(Collinarity) 12
第肆章 實證結果分析 14
第一節 研究主題架構 14
第二節 變數介紹、資料來源、資料期間與資料處理 15
一、應變數 15
二、自變數 15
第三節 檢定結果 17
一、自變數共線性檢定與相關係數分析 17
二、迴歸分析(S&P指數變動率) 18
第四節 產業檢定結果 25
一、美國國內產業之迴歸分析 25
二、美國國內外產業比較之迴歸分析 28
第伍章 結論 30
參考文獻 33
附錄 37

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