台灣與美國網路產業股價關聯性之探討

The Investigation of the Relationship of Stock Prices between Taiwan and American Internet Industry

邱泰鈞(Tai-Chun Chiu)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2001年)

https://doi.org/10.6840/cycu200100121

摘要

網路是二十世紀末期最偉大的發明，不僅改善了企業與消費者的交易模式，同時也改善了人類的生活習慣。而網路產業受到全球上網人口增加以及資訊科技的普及，接踵而來的商機也越來越大，無疑是未來最具成長性的產業之一。美國的網路產業發展執世界之牛耳，而台灣的網路產業發展也與美國密切相關，然而國內對於台灣與美國網路產業股價的關聯性少有探討，本研究將對台灣之網路產業以及美國網路產業股價的關聯性作深入的研究。
本研究採用向量自我迴歸模型(VAR)，選取台灣加權指數、台灣網路指數、美國NASDAQ指數、美國ISDEX指數等四個指數以及台灣與美國各四家具代表性的網路公司，以1999年10月1日至2001年3 月30日之股價日報酬率為研究資料，來探討兩國網路相關股市、個股股價間關聯性。本研究結論如下：
一、美國NADAQ指數對台灣網路指數的影響勝過美國ISDEX網路指數對台灣網路指數之影響。顯示台灣投資人在買賣網路股時，還是以NASDAQ的表現為主要考量因素。
二、本研究的各項分析均顯示台灣網路股會受到美國網路股的影響，所以美國網路股為台灣網路股的領導者。
三、本研究發現台灣網路股受到美國網路股的衝擊反應具有規則性，且均在第二期達到最大，其後迅速收斂。
四、台灣與美國的網路股的資訊傳遞具有高效率，並在第五或六期完成收斂。
五、就衝擊反應與預測變異數分解兩方面來看，思科和精業，分別為美國與台灣網路股的重心。
六、CISCO是美國網路股中對台灣網路股最具影響力的公司。
七、本研究發現台灣與美國同一產業的網路股之間並未有特別大的衝擊或解釋力。顯示投資人在選擇股票時未將台灣與美國相同產業範疇的網路股股價變動納入考量。

關鍵字

網路產業 ； 股價 ； 向量自我迴歸(VAR)模型

並列摘要

Internet is one of the greatest innovation at the end of 20th centenary, which not only improves the transaction style between firms and customers, but also improves habit of human. Influencing by increasing number of Internet users and popularity of Information Technology, Internet industry is one of the most growthing industry in the future. During the past decade ,Internet industry in American leads the peak, and Internet industry in Taiwan closely follow the leader. Even there is a closer relationship between the stock markets in USA and in Taiwan. In domestic research, they seldom discuss relationship of stock price of Internet industry between USA and Taiwan. It’s one of the motivation makes the author investigate the relationship of stock price , between USA and Taiwan.
This study adopts the vector autoregression (VAR) to examine relationship of stock price of internet related index and stock between American and Taiwan, and selects four indices including TAIEX ,Taiwan internet index, Nasdaq index and American internet index(ISDEX) .This work also chooses eight internet firms from American and Taiwan as the underlying asset which started from Oct 1,1999 to Mar 30,2001.The empirical results are as follows:
1.The investment decision of Taiwan investors are affected more by the previous day’s Nasdaq index than by American internet index (ISDEX) .
2.The results indicate that Taiwan internet stocks are heavily influenced by American internet stocks. Hence, this investigation confirms that American internet stocks are the leader of Taiwan internet stocks.
3.This study finds that the impulse responses of Taiwan internet stocks are regular, they all reach the maximum response at second period, and then disappear instantly.
4.The information transmission between Taiwan and American internet stocks has efficiency and disappear completely among five or six period.
5.According to impulse response function and the forecast error variance decomposition, CISCO and SISTEX are American and Taiwan core internet stock, respectively.
6. CISCO has the most significant influence on Taiwan internet stocks among all American internet stocks.
7.American and Taiwan internet stocks in the same internet industry don’t have greater impulses and explanation. It reveals that investors don’t take internet stocks which are in the same internet industry into consideration when buying internet stocks.

並列關鍵字

internet industry ； stock price ； VAR model

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