在日頻的基礎上，基本面訊息的缺乏可能是技術交易存在的原因之一。儘管如此，在任何一天都會有一些統計數據或是質性新聞的發佈。目前對於日頻股價受基本面影響的程度仍是不清楚的。本研究的主要目的有兩個：第一、我們試圖使用日頻美國金融數據來解釋美國標準普爾500指數的日頻變化。第二、我們試圖使用日頻美國金融數據來解釋日本股價指數的日頻變化。本研究中迴歸會針對兩個不同的經濟狀況來進行。
我們發現股價和金融資產價格之間的關係是可以被合理解釋的。這表示投資者可以吸收日頻新聞並且形成他們的交易決策，然後藉由各種資產價格揭露。

The lack of sufficient information about fundamentals on a daily basis may be one reason for the existence of technical trading. Nevertheless, on any given day there are some releases of statistics or qualitative news. It is not clear to what extent daily stock prices are affected by fundamentals. In this study, we regress the daily S&P 500 on variables, mainly financial, with daily data. The purpose of this study is two-fold. First, we try to explain the daily change of the U.S. S&P 500 by daily U.S. asset prices. Second, we try to explore whether daily U.S. asset prices can have an impact on Japan's stock indices. The regression is run separately for two periods with different economic growth strengths and stock market volatilities.
We find that although the relationships between stock prices and the regressors are state-dependent, the stock price can be explained in a reasonable way. The implication is that investors can assimilate daily news and form their trading decisions, which are then revealed by various asset prices, including stock prices.

Table of Contents
Thesis/Dissertation Validation Letter ……………………………………………..…………i
Acknowledgements…………………………………………………..……………………...ii
Abstract (Chinese)………………………………………………….……………………....iii
Abstract (English)…………………………………………………….………………….....iv
Chapter 1 Introduction..………………………………………………….……………..…...1
Chapter 2 Literature reviews…………………………………………………..…….…........6
2.1 The U.S. asset prices relevant for U.S. Stock index:
Long-term Interest rate ………………………………………………………...6
2.2 The U.S. asset prices relevant for U.S. Stock index:
Short-term Interest rate ………………………………………………………...7
2.3 The U.S. asset prices relevant for U.S. Stock index:
Exchange rate ………………………………………………………………......9
2.4 The U.S. asset prices relevant for U.S. Stock index:
Default Risk ……………………………………………………………….......10
2.5 The transmission of U.S. fundamentals to trading partners ………………......12
Chapter 3 Methodology and data description ……………………………………………..12
3.1 Data, Variable description …………………………….….………………..…..14
3.1.1 Daily data….…………………….......…………………...………...…..15
3.1.2 Sample Period ………………………………………………………....16
3.2 Variables construction …………………………………………………….…...22
3.2.1 Measuring daily the long-term bond yield: USLR ….……...………....22

3.2.2 Measuring daily monetary policy surprises from 3-Month
Treasury bill as the proxy of short term interest rate: USSR………….23
3.2.3 Measuring daily the exchange rate linkage to stock return: USEER.....23
3.2.4 Measuring daily the difference between the bottom bond rating and
the government bond as the proxy of Risk Premium: USDR...………..24
3.2.5 Measuring the only regressor not an asset price as the proxy of
Risk Premium: USMU……………………..………………………….24
3.3 Regression models…………………………………………………….……….25
3.4 Quantile Regressions………….......…………………...…………….…..……..27
Chapter 4 Empirical results and discussions …………………………………………..…..29
4.1 U.S. result …………………………………………………………………...…29
4.2 Japan result…………………..…………………………...…………………….40
Chapter 5 Conclusion……………………………………………...…………………...…..46
References…………………………………………………….…………………..……......49
Curriculum Vitae ……………………………………………….………………….……....58

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