美國股價指數與台灣半導體上、中、下游產業股價指數報酬之動態連動性

The dynamic linkages among the U.S. Stock Indices and the Stock Indices of Upper, Middle and Lower Stream of Semi-conductor Industry in Taiwan

陳俊祿(Chun-Lu Chen)

指導教授 ： 高櫻芬

國立暨南國際大學/管理學院/國際企業學系/碩士(2008年)

摘要

本文主要在探討美國股價指數與台灣半導體上、中、下游產業股價指數報酬之動態連動性。以2005年1月1日到2007年12月31日的股價收盤日資料來進行研究，考量時間序列資料具有單根的性質，本研究採共整合分析、向量修正誤差模型來進行實証上的分析。為了對股價連動性做更進一步探討，也同時進行了衝擊反應函數及變異數分解的實証分析。實証結果發現：美國股價指數與台灣半導體上、中、下游產業股價指數存在共整合關係；同時，台灣半導體本身之上、中、下游產業股價指數間亦存在一共整合關係。在短期領先落後關係上，道瓊工業指數對台灣半導體上游的IC設計、中游的整合元件製造及下游的DRAM模組具有單向領先關係；同時，台灣半導體中游的晶圓製造及下游的封測皆存在單向領先美國道瓊工業指數。再者，依據衝擊反應函數及誤差修正模型來看，美國股價指數，例如道瓊工業指數對台灣整體半導體產業股價指數報酬的變動具有持續性的影響；且台灣半導體上、中、下游各產業股價指數的變動也深受道瓊工業的影響。

關鍵字

連動性、共整合、向量誤差修正模型、股價指數、半導體產業

並列摘要

This thesis focuses on the investigation of dynamic linkages among the U.S. stock indices and the stock indices of upper, middle and lower stream of semiconductor industry in Taiwan. Using daily data from Jan. 1st, 2005 to Dec. 31st, 2007, we examine the dynamic linkages between the U.S. stock market and the Taiwan IC industry. The index level series are shown to have a unit root and therefore, we apply co-integration and vector error-correction methods to model the dynamics. The empirical results show that there exists a long-term co-integration relationship either between the U.S. stock market and the Taiwan IC industry or among the stock indices of upper, middle and lower stream of semiconductor industry in Taiwan. In the short run, our results indicate that, as documented historically, DJI has led UPP, IDM and DRM at the 5% significance level, while MAN and PT are influential in affecting DJI. Moreover, from the empirical results of impulse response functions and variance decomposition, the U.S. stock indices, such as DJI, have the greatest power in explaining the shocks in Taiwan IC industry as time goes by.

並列關鍵字

Dynamic Linkages, Co-integration, VECM, Stock Index, Semiconductor Industy

參考文獻

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