影響股票市場價格的因素向來廣為國內外學者所探討，由回顧過去文獻可知，貨幣供給與匯率為重要因素，本文即研究貨幣供給（M1B）和新台幣兌美元匯率，何者與台灣加權股價指數聯動較緊密，採用Yang et al.（2014）所建構的均等變異數檢定法，藉由比較貨幣供給與股價共整合誤差項變異數和匯率與股價共整合誤差項變異數之大小，以區分何者與股價的關係較緊密。資料期間為1987年1月至2015年2月，考慮兩次金融危機發生的前後期間，區分6個不同時段進行分析，另再依市場整體趨勢區分股價上漲階段與股價下跌階段，期能找出貨幣供給與匯率在不同的條件期間下，是否對股價有不同的緊密性。經實證結果顯示，整體而言，貨幣供給與股價指數聯動較為緊密，另依市場趨勢區分為上漲與下跌階段後，檢定結果隱含於上漲階段時，貨幣供給與股價聯動較緊密，而於下跌階段時，匯率與股價聯動較緊密。

The factors influencing stock market had been investgated by large numbers of authors all the times. Previous studies suggest that money supply and exchange rate are important factors. This paper investigates the cointegrating relationship between stock price and two economic variables, money supply and exchange rate, applyng the equal variance test proposed by Yang et al. (2014). We compare the cointegration equilibrium errors of money supply with exchange rate to find out the closer relationship with stock price. The sample period runs from January 1987 to February 2015. With regard to the financial crisis in 1997 and 2008, we compare six different periods in order to find out how close the relationship is in different condition. And we distinguish bull and bear market by trends of the market for the same reason. The empirical result indicates that the comovement between money supply and stock price is closer than exchange rate and stock price as a whole. Furthermore, when we distinguish the trends of the market, empirical result implies that the comovement between money supply and stock price is closer than exchange rate and stock price in the bull market. However, it is just the opposite in the bear market.

論文審定書 i
論文公開授權書 ii
誌謝 iv
摘要 v
Abstract vi
目錄 vii
圖次 ix
表次 x
1 緒論 1
1.1 研究動機與目的 1
1.2 研究架構 5
2 文獻回顧 7
2.1 股價與貨幣供給關係之研究 7
2.2 股價與匯率關係之研究 8
2.3 股價與貨幣供給、匯率關係之研究 10
3 研究方法 12
3.1 理論模型 12
3.2 單根檢定 14
3.2.1 Dickey-Fuller 單根檢定 14
3.2.2 Augmented Dicker-Fuller 單根檢定 15
3.2.3 Phillips-Perron單根檢定 16
3.2.4 DF-GLS檢定 16
3.3 共整合檢定 17
3.4 均等變異數檢定 18
3.4.1 OLS估計的共整合均衡誤差漸進分配 19
3.4.2 檢定統計量 21
4 實證結果分析 24
4.1 資料來源及說明 24
4.2 單根檢定 26
4.3 共整合檢定 29
4.4 均等變異數檢定 31
5 結論 33
參考文獻 35
附錄 40

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