本研究利用多元迴歸模式探討股價指數與總體變數間的關係。研究期間為民國87年1月至民國96年12月，以月為時間單位，共120期。以台灣股價加權指數為被解釋變數，並將採用行政院經建會於96年7月新制的領先指標包含項目與景氣同時指標為基礎，再增加匯率、利率、黃金價格、原油價格、那史達克指數共12項總體經濟因素做為解釋變數。結論如下：

一、在最終回歸模式中， R-Squared高達95.3785%，表示迴歸的整體解釋能力相當高。而在顯著水準5%下，分別有美元兌新台幣匯率、金融業拆款利率、那斯達克指數、製造業存貨量指數與貨幣供給額達到顯著。因此可利用迴歸中顯著的變數來預測來股市的走勢。

二、實證研究中，發現匯率、製造業存貨指數與股價指數有顯著的負向關係。利率、那斯達克指數和貨幣供給額與股價指數有顯著的正向關係。

This study is to discuss and analyze the relationship between stock index and macroeconomic variables by using the multiple regression analysis. The research data is collected from 120 issues of Council for Economic Planning & Development Report and Taiwan Economic Journal, from the issue of January 1988 to December 2007. The components of leading index, coincident index, exchange rate, interest rate, price of gold, price of crude oil, and NASDAQ Composite index are used as explanatory variables to establish the stock index regression model. The major conclusions are illustrated as follows.

1. The results of final regression model indicate R-Squared is up to 95.3785%, it reveals that macroeconomic variables can explain the stock index well. The exchange rate, interest rate, NASDAQ Composite index, index of product’s inventory, and money supply are at significance level of 0.05 that influence on stock index. Therefore, we can adopt this model to forecast the trend of stock index.

2. It has a significantly but negative relationship among exchange rate, index of product’s inventory and stock index. Interest rate, money supply, and NASDAQ Composite index have a significantly positive relationship with stock index.

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