本文利用多變量時間序列變異成份分析及主成份迴歸分析對民國75年1月至79年12月之台灣股價與總體經濟因素間之闢係進行結構分析。並進一步比較兩種方法之預測能力。我們發現與股價具有高度相關者依序為金融指標、生產貿易指標、國際股市指標及股價預期等因素。就股價預測分析而言，多變量時間序列變量成份分析比主成份迴歸分析為優。

This paper tries to use Multivariate Time Series Variance Com-ponent Analysis (MTV) and Principal Component Regression (PCR) to analyze the structure of Taiwan stock prices and other macroeco-nomic variables from Jan. 1986 to Dec. 1990. It is found that finan-cial variables are most important factors to be related to Taiwan stock prices, and fol1owed by production and trade variables, foreign stock prices and Taiwan stock price expectation. We also found that the performance of prediction of MTV is better than that of PCR.