中美貿易戰影響兩岸半導體產業股價反應之研究

Stock Price Response to the China-United States Trade War in the Cross-Strait Semiconductor Industries

蔡璧徽(Bi-Huei Tsai) ； 紀佳妤(Jia-Yu Chi)

《慈濟科技大學學報》 11期=總35 (2022/03) Pp. 1-29

摘要

本研究以事件日分析法探討中美貿易戰美國加徵關稅對兩岸半導體產業股價的影響，本研究發現中美貿易戰初期，美國宣布須加徵關稅的清單1和清單2時，兩岸半導體產業產生負的異常報酬，隱含投資人獲悉台灣半導體廠商在中國製造再外銷美國會被加徵關稅，因而拋售股票致使其股價下跌。然而，美國宣告清單4與清單4A實施生效時，台灣半導體產業卻產生正的異常報酬，隱含長期而言台灣將生產基地撤離中國免於關稅，投資人預期全球訂單會轉向台灣半導體產業，因而大舉購買其股票，促成股價上升。變異數分析法檢定顯示台灣半導體中游晶圓製造產業所產生的異常報酬最大，股價反應隱含中游晶圓製造產業轉單效應最強，股價上漲幅度較上游設計與下游封測為大。

關鍵字

貿易戰 ； 關稅 ； 兩岸 ； 半導體產業 ； 異常報酬

並列摘要

This study uses an event-day analysis to explore the market reactions to China- United States (US) trade war in the semiconductor industry across the Taiwan's strait. When the US initially imposes tariffs on Chinese exports, Taiwanese firms' products manufactured in China and exported to the US are also affected. This study investigates whether investors would sell their stocks and cause the stock prices to fall when investors in the semiconductor industry across the Taiwan's strait initially received the signal of the China-US trade war. In the long run, Taiwan's semiconductor industry subsequently withdraws the production base from China and global orders are transferred into Taiwan from China to avoid the heavy tax loadings. This study analyzes whether the Taiwan's semiconductor industry's stock prices rise due to the order transfer effect. This study found the market reaction was to sell stocks when the US initially announced the tariff implementation, which causes negative abnormal returns in the cross-strait semiconductor industry. In the long run, Taiwan's semiconductor industry generated positive abnormal returns due to the order transfer effect after the announcement of the additional tariff implementation in List 4 periods. Finally, the ANOVA results showed that after the announcement of the additional tariffs in List 4, the abnormal returns generated by Taiwan's semiconductor midstream foundry industry were the largest, suggesting that the midstream foundry industry has the greater order transfer effect than upstream design and downstream packaging and testing industry under the semiconductor supply chains.

並列關鍵字

Trade War ； Tariff ； Cross-strait ； Semiconductor ； Abnormal Return

參考文獻

Ali, M. B., & Chowdhury, T. A. (2010). Effect of dividend on stock price in emerging stock market: a study on the listed private commercial banks in DSE International Journal of Economics and Finance, 2(4), 52–64.

Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178.

Beckmann, J., & Czudaj, R. (2017). Exchange rate expectations and economic policy uncertainty. European Journal of Political Economy, 47, 148–162.

Belcaid, K., & Ghini, A. E. (2019). U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility. The Journal of Economic Asymmetries, 20.

Boehmer, E., Masumesi, J., & Poulsen, A. B. (1991). Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(2), 253-272.