台積電與其概念股價長期均衡關係之研究

本研究探討台積電股價與其概念股股價的長期均衡關係，想透過時間序列方式進行分析並作為後續提供投資選擇標的上之依據。取樣變數分別為台積電、京鼎精密科技、愛普科技、弘塑科技、盟立自動化、精材科技、三福化工、環球晶圓。本次研究方法包括單根檢定、Johansen共整合檢定、向量誤差修正模型、Granger因果關係檢定、衝擊反應函數分析、預測誤差變異數分解；取樣變數期間則為Covid-19疫情發生後2年的個股價的日收盤價，自2020年1月2日至2021年12月31日。實證結果如下： (1) 台積電股價與其概念股股價皆屬於非常態分配並皆有單根現象。 (2) 在共整合檢定中，不論是使用跡檢定量 (Trace Test) 或最大特性根檢定量 (Max Test)檢測時，在5%顯著水準下，其概念股股價與台積電股價呈現共整合現象，唯環球晶圓 (GWC) 沒有共整合現象；其表示台積電與其概念股中上游並非一定有著長期均衡關係。 (3) 在Granger因果關係檢定及VECM模型下得出台積電與京鼎精密科技互為前因且呈正向關係並長期觀察下關係密切；弘碩科技及三福化工則為台積電的前因且兩者皆與台積電維持長期均衡現象；而台積電則為盟立自動化的前因並受到台積電的衝擊反應後將回到長期均衡值；表示台積電對中下游廠商擁有較強的影響力。

關鍵字

台積電；單根檢定； Johansen共整合檢定；向量誤差修正模型

並列摘要

Based on the time series analysis, we use the daily closing price of the individual share price from January 2, 2020 to December 31, 2021 to analyze the long-run equilibrium relationship between TSMC stock price and its related counterparts, including FITI, APMEMORY, GPTC, MIRLE, XINTEC, SANFU, GWC. The research methods include unit root test, Johansen cointegration test, VECM, Granger causality test, impact response function analysis, and prediction error variance decomposition. The empirical results are as follows: (1) TSMC and its related counterparts belong to abnormal distribution and have unit root phenomenon. (2) In the cointegration test, it is found that there is a cointegration phenomenon. between TSMC and each variable, except GWC. It indicates that TSMC does not necessarily have a long-run equilibrium relationship with its related counterparts in the upstream and midstream manufacturers. (3) AS for Granger causality test and VECM model, it is concluded that TSMC and FITI are the Granger-cause of each other and have a positive relationship. GPTC and SANFU are the Granger-cause of TSMC and maintain a long-run equilibrium with TSMC. TSMC is the Granger-cause of MIRLE and will return to the long-run equilibrium after being impacted by TSMC. It indicates that TSMC has a strong influence on midstream and downstream manufacturers.