本研究以採購經理人指數當作轉換變數，探討採購經理人指數對股價指數報酬率是否存在平滑移轉效果。在加入通貨膨脹率與匯率當作解釋變數，得知製造業採購經理人指數和股價指數報酬率間確實存在非線性關係，且為一平滑移轉模型。解釋變數影響方面，不論製造業採購經理人指數高於或低於轉換門檻值，匯率都與股價指數報酬率呈不顯著之相關性。而通貨膨脹率在門檻值前後分別與股價指數報酬率皆呈顯著負相關及正相關。

In this study, we examine the asymmetrical nonlinear relationships and this paper employs the panel smooth transition regression model (PSTR) technique. We assume purchasing managers’ Index for transition variables in this model to investigate the smooth transition threshold effect between stock index returns.
The results as follow: Wherther purchasing managers’ Index is before or after the transition threshold value, we can’t find a relationship between exchange rate and stock index returns. When purchasing managers’ Index is before the transition threshold value,we find a negative relationship between inflation index and stock index returns.When purchasing managers’ Index is after the transition threshold value,we find a positive relationship between inflation index and stock index returns.

目 錄
中文摘要：	II
英文摘要：	II
第一章 緒論	1
第一節 研究背景與動機	1
第二節 研究目的	8
第三節 研究架構	9
第四節 研究流程	10
第二章 採購經理人指數介紹與文獻探討	11
第一節 各國採購經理人指數介紹	11
第二節 相關文獻探討	20
第三章 研究方法	29
第一節 研究資料	29
第二節 縱橫單根檢定	31
第三節 縱橫平滑移轉迴歸模型	34
第四節 縱橫平滑移轉迴歸模型之設定	39
第四章 實證結果與分析	45
第一節 各變數之基本敘述統計量	45
第二節 縱橫單根檢定之實證結果	46
第三節 縱橫平滑移轉模型之實證結果	47
第五章 結論與建議	52
第一節 研究結論	52
第二節 研究建議	55
參考文獻	…………………………………………………………………………………………………………….56
中文文獻	…………………………………………………………………………………………………….56
英文文獻	…………………………………………………………………………………………………….57
參考網站	…………………………………………………………………………………………………………….63

表目錄
【表 1-1】 美國採購經理人指數與道瓊指數	5
【表 1-2】 全球GDP前30大國家	7
【表 4-1】 各變數之敘述統計量	45
【表 4-2】 縱橫單根檢定結果	46
【表 4-3】 製造業採購經理人指數對股價指數之同質性檢定	48
【表 4-4】 製造業採購經理人指數對股價指數之轉換區間個數檢定	48
【表 4-5】 製造業採購經理人指數對股價指數模型估計結果	49
【表 4-6】 製造業採購經理人指數對股價指數模型中解釋變數之影響	49

圖目錄
【圖 1-1】 金融風暴期間美國採購經理人指數與道瓊指數走勢圖	3
【圖 1-2】 歐債危機期間美國採購經理人指數與道瓊指數走勢圖	4
【圖 1-3】 研究流程圖	10
【圖 3-1】 m=1之轉換模型	37
【圖 3-2】 m=2之轉換模型	38
【圖 4-1】 製造業採購經理人指數對股價指數之轉換函數	51

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