IC設計股股價與籌碼的分析探討

A Study on the Correlation of IC Design Industry among the Share Price,the Turnover,the Credit Trading,and the Institutional Investors.

王悅琴(Yueh-Chin Wang)

指導教授 ： 鍾麗英

國立臺北大學/商學院/統計學系/碩士(2008年)

摘要

我國證券市場自從51年成立之後，發展至今上市櫃家數已破千家。近年來，政府陸續放寬外資投資限制，核准各種信託基金成立，加上媒體及網路蓬勃發展，投資已成為現代人不可或缺的理財工具之一。而信用交易使得股市交易更為熱絡多元，提供投資人更靈活的財務操作及避險管道，在台灣已廣為投資人所使用，融資餘額成為散戶交易代名詞。近年來，股市生態有重大的轉變，由外資、投信、自營商等三人法人，逐漸取代以往的市場主力，其進出動態亦為重要的觀測指標。
2006年底台灣股市已有53家半導體設計公司，其產業的產值，已近百億美元，僅次於美國。本文研究對象為國內上市的IC設計公司，選定的對象分別是晶豪科、聯陽、智原、揚智、義隆電、聯發科、創意及瑞昱。並使用單根檢定（Unit Root Test）、共整合分析(Cointegration Test)、向量誤差修正模型( Vector Error Correction Model )、向量自我迴歸模型(Vector Autoregressive Model )等方法，探討這類族群股價與各籌碼的關聯，期望能從這些資訊中，提供投資人參考與建議。
實證結果顯示：股價與融資餘額、法人庫存間存在共整合關係的有晶豪科、智原，在VAR中，股價受前期法人庫存影響的有聯陽、義隆電。股價領先所有變數的則有揚智、聯發科。融券餘額領先股價的則有創意。成交量在各股中並無明顯的領先關係。整體而言，八檔股票雖屬相同族群，股價也有極高的連動性，但每家公司股性不盡相同。

關鍵字

融資餘額、法人庫存、 IC設計

並列摘要

There are over a thousand of listed companies appearing on the stock market in Taiwan. In recent years, the government has loosened the investing restriction on foreign capital and approved various trust funds. Moreover, owing to a booming development on the internet and the media, investment and financial management becomes an important issue for modern people.
Credit Trading, widely used by investors in Taiwan, makes the stock market warm and multiple, and offers the investors flexible ways on financial operation, such as (A) financial leverage, (B) a channel for closing daily transaction, and (C) risk hedging. Besides, outstanding balance of margin loan, is becoming the pronoun of individual transactions. During these years, there is a critical change of the environment in the stock market. The professional institutions, QFII (Qualified Foreign Institutional Investor), QDII (Qualified Domestic Institution Investor) and Securities dealer become the predominant force in the market. Therefore, the movements of these professional institutions are the important observed pointers for the stock market.
There were fifty-three semiconductor-design companies at the end of 2006 in Taiwan stock market; their production value was close to 10 billion US dollars, second only to America. The objects of this study are eight domestic listed IC design companies：ESMT, ITE, FARADAY, ALI , ELAN, MEDIA TEK, GLOBAL UNICHIP, and REALTEK. The correlations among stock price, trade volume, treasury stock, outstanding balance of margin loan, and outstanding balance of stock loan for each individual stock are examined by Unit Root Test, Cointegration Test, Vector Error Correction Model (VECM), and Vector Autoregressive Model (VAR).The results of this study can be the reference material for investors.
The study results indicate that there are significant cointegration among stock price, treasury stock and outstanding balance of margin loan for ESMT and FARADAY. Furthermore, long run equilibrium relationship exits among the three variables for these two stocks. In the VAR, stock prices are influenced by pro-phase treasury stocks for ITE, ELAN. The stock prices of ALI, MEDIA TEK precede all other variables. Outstanding balance of stock loan precedes stock price for GLOBAL UNICHIP. There is no obvious correlation found for traded volume. Although these eight stocks belong to IC design category and with the high interlocking movement of stock prices, each one still has its own stock features.

並列關鍵字

outstanding balance of margin loan, treasury stock, IC design

參考文獻

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