股票報酬與通貨膨脹間被認為具正向關係，因為股票乃代表對實質資產的請求權，理論上應與物價朝同方向變動，然而許多學者的實證研究卻推翻此一預期結果，多數的文獻發現股票報酬與通貨膨脹間乃成負向關係。本研究以台灣與美國的資料，希望藉由實證探討股價指數與消費者物價指數的關係。從共整合檢定，我們發現台灣加權股價指數與台灣消費者物價指數具長期均衡關係，美國實證結果亦支持長期均衡關係的存在。另外，從誤差修正模型發現台灣加權股價指數對台灣消費者物價指數為單向因果關係，美國消費者物價指數與S&P 500股價指數則互為因果關係。雖然變數間確有長期均衡的關係，但從衝擊反應函數與變異數分解的結果顯示變數間於短期並無任何顯著的跨期互動效果。

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第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 3
第二章 文獻回顧 4
第一節 股價報酬與通貨膨脹 4
第三章 研究方法 7
第一節 單根檢定 7
第二節 共整合檢定與誤差修正模型 9
第三節 GRANGER因果關係 10
第四節 衝擊反應函數與變異數分解 10
第四章 實證研究 13
第一節 資料來源 13
第二節 資料處理 13
第三節 敘述性統計 15
第四節 單根檢定 16
第五節 共整合檢定 19
第六節 誤差修正模型 23
第七節 GRANGER因果關係 26
第八節 衝擊反應函數與變異數分解 27
第五章 結論與建議 30
第一節 結論 30
第二節 研究限制與建議 30
參考文獻 31

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參考網站：http://www.emory.edu/POLS/zorn/Classes/POLS571/