本文將嘗試探討一些生活中常見的總體經濟變數：消費者物價指數變動率、匯率變動率、貨幣供給額M1B變動率、市場報酬率及出口成長率等五個常見的總體經濟變數與我國股市股價指數之間的關聯，透過本益比可以了解投資人對所投資公司相對成長潛力之認知，應用到大盤上，可以反映投資人對整體市場未來成長性的認知，因此相較股價指數而言有較多的內涵，故本文將探討大盤本益比與上述五個常見的總體經濟變數之關聯性。研究期間為1995年1月至2002年12月，以月為單位，共選取96個樣本。經採Granger因果關係檢定、衝擊反應分析、變異數分解分析後之結果如下： 
1.在因果關係檢定中大盤本益比惟對市場報酬率較有顯著性的影響，對其他變數並無顯著影響，且並未發現有任何變數對於大盤本益比有顯著因果關係的存在，或是回饋關係的存在，因此由Granger因果關係檢定中我們得知在所選取的五個總體經濟變數均無法預測大盤本益比未來之趨勢。
2.在貨幣供給增加產生自發性干擾時，對大盤本益比以及股價報酬率的影響是明顯的，且為正向的影響，換言之當市場貨幣供給額M1B增加時，大盤本益比會有正向反應。
3.依據變異數分解分析來看，大盤本益比波動時，所有衝擊變數皆無解釋能力，但相較於其他變數，市場報酬率對大盤本益比有些微影響。
結論：綜合因果關係檢定，衝擊反應分析及變異數分解分析，本研究認為大盤本益比皆不受其他變異影響，惟市場報酬率對大盤本益比短期內有些微影響，可能因為許多總體經濟變數之數據未公佈前，已有其他研究機構已先行發佈預期效果，市場已先行反應，故市場報酬率短期內對大盤本益比有些微影響。

This study attempts to explore the relationship between stock index and macroeconomic variables, such as CPI, currency exchange rate (NT$/US$), M1B, market return rate, and export growth rate. By using P/E ratio, we would realize the growth potential, which the investor recognize or expect. Similarly, P/E ratio can also reflect the growth potential of the whole market. Hence, in this study, I would like to explore the relation between P/E ratio and the macroeconomic variables. The span of this study is from January 1995 to December 2002, containing ninety-six samples. Based on the Granger causality test, impulse function, and variance decomposition, we find some critical results:
The first, P/E ratio is significantly influenced by market return rate. But we did not find any causality or feedback relation between P/E ratio and other macroeconomic variables. Therefore, we cannot predict or analyze the trend of P/E ratio by those macroeconomic variables we choose. 
The second, P/E ratio and market return rate are significantly influenced by M1B once m1b has spontaneous movement. The sign between P/E ratio and M1B is positive, and so does market return rate.
The third, according to variance decomposition, all variables cannot explain the changes of P/E ratio. However, comparing to other variables, market return rate can slightly influence P/E ratio. 
By combining the results of the Granger causality test, impulse function, and variance decomposition, I would conclude that the P/E ratio was not influenced by any chosen variables. However over a short time the market return rate will have a slight influence on the P/E ratio. This may be the result of the market reflecting expected outcomes before the eventual statistics, since there are still other information intermediaries, which will predict the macroeconomic variables and announce their outcomes before official statistics.

第 一 章 前言
一、研究動機……………………01
二、研究目的……………………02
第 二 章	文獻探討
一、國外文獻……………………04
二、國內文獻……………………06
第 三 章	研究方法
一、時間序列分析………………11
二、單根檢定……………………12
三、Granger因果關係與檢定...16
四、向量自我迴歸模型…………20
五、衝擊反應分析………………22
六、變異數分解…………………25
第 四 章	變數選取與資料來源
一、選取變數與建立模型………27
二、向量自我迴歸模型之建立…30
第 五 章 實證結果與分析
一、單根檢定結果………………32
二、Granger因果分析…………35
三、衝擊反應模型………………36
四、變異數分解…………………39
第 六 章 結論與建議
一、結論…………………………42
二、研究之限制與建議…………44
參考文獻
一、中文部分……………………45
二、英文部分……………………46

一、中文部分
1.吳啟銘，「企業評價－個案實證分析」，智勝文化事業有限公司出版，民國90年。
2.黃柏農，「台灣的股價與總體變數之間的關係」，證券市場發展季刊，第10卷第4期，第89-108頁，民國87年。
3.劉宗欣、賴美穎，「開放外資與股市對總體經濟訊息的效率性」，證券市場發展期刊，第14卷第1期，第77-110頁，民國91年。
4.劉祥熹、李崇主，「台灣地區外資、匯率與股價關聯性之研究－VAR與VECM之應用」，證券市場發展季刊，第12卷第3期，第1-41頁，民國89年
5.聶建中、劉嘉玟，「歐元十一國利率互動關係探討：德國與美國支配臆說之比較」，中山管理評論，第9卷第3期，第447-469頁，民國90年。
6.聶建中，「考量結構性變化之美國總體經濟與購併行為之互動」，財團法人光華管理策進基金會管理評論，第23卷第2期，第99-115頁，民國93年。

二、英文部份
1.Dickey, D.A. and W.A. Fulle, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 1981, 49, 1057-1072.
2.Estrella, Arturo and F. S. Mishkin, “Predicting U.S. Recessionsinancial Variables as Leading Indicators.” Review of Economics and Financial Statistics 1998, 80, 45-61.
3.Gargett,“The Link Between Stock Prices and Liquidity” Financial Analyst Journal, 1978, 50-54.
4.Granger, C. W. J., “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods,”Econometrica, 1969, 37, 424-436 
5.Granger, C.W.J and P, Newbold., “Spurious Regressions in Econometrics,” Journal of Econometrics, 1974, 2, 111-120
6.Kraft , J. and A. Kraft, (1977), “Determinants of Common Stock Prices: A Time Series Analysis,” Journal of Finance, 1977, l2, 415-417.
7.Officer, R. R., “The Variability of the market Factor of New York Stock Exchange,” Journal of Business, 1973, .46, 46-47.
8.Said, S. E. and D. A. Dickey, ” Testing for Unit Roots Autoregressive-Moving Average Models of Unknown Order,” Journal of Biometrika, 1984, 71, 599-607
9.Nelson, C. R. and C. I. Plosser, “Trends and Random Walks in Macroeconomic Time Series- Some Evidence and Implications,"Journal of Monetary Economics, 1982, 10(2), 139- 161