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SMIC中蕊國際價格預測之動態分析

A Dynamic Analysis of SMIC Predicted Prices

摘要


本文分析了2004/3/18-2007/3/27共745天的日資料,欲瞭解SMIC中蕊股價的統計特性及其最佳的價格時間數列動態模型。研究方法採用一般時間數列分析方法,但仍不失其模型的準確性。重要結論如下:1.SMIC股價在樣本期間開盤平均價格爲1.391852港元/股,每日最高價平均價格爲1.411678港元/股,每日最低價平均價格爲1.369356港元/股,收盤平均價格爲1.392067港元/股。每日平均交易量爲66,416,378股。2.經過一階差分後作Augumented Dickey-Fuller單根檢定,時間數列呈現穩定時間數列的特性。3.估計的迴歸模型如下:SMIC股價迴歸模型:CLOSE=0.0557301332-3.772821602e-005(上標 *)@TREND+.040018769(上標 *)CLOSE(-1)-0.07105484476(上標 *)CLOSE(-2) 4.迴歸模型顯示SMIC股價受前面二期的價格的影響。因此投資者在作價格預測時應考慮最近幾日的價格波動。5.面對這樣一檔股價逐漸隨時間下降的股價,投資者是否應加以繼續持有或出脫股票仍然必須配合產業的景氣循環及公司的折舊策略作進一布步考慮。隨著景氣的復甦,對於晶元代工的需求將會殷切,股價將會回升。而隨著公司投入設備的折舊,單位成本將會降低,對於利潤的預期將會更佳。6.SMIC股價在四月中旬高檔機會很大,而在三月上旬和十月中旬低檔機會很大。對於投資大眾若是想進行波段操作者,相信是一個參考指標,賺取資本利得不是難事。

並列摘要


An analysis of the fluctuations of SMIC share prices during the period of March 18, 2004 through March 27, 2007 was carried out to unveil the statistical characteristics of SMIC stock prices and to propose a dynamic time series model. The time series analysis method was chosen because it is considered appropriate to ensure predication accuracy. The major findings of the present study are listed below: 1. The average of four prices per share, namely open, high, low and close, were HK$1.391852, HK$1.411678, HK$1.369356, and HK$1.392067 individually. The average daily volume was 66 million shares. 2. This time series becomes relatively stable after the first order difference by the augmented Dickey-Fuller test. 3. A simple regression model for estimation of SMIC share price is formulated and proposed: CLOSE=0.0557301332-3.772821602e-005(superscript *)@TREND+1.040018769(superscript *)CLOSE(-1)-0.07105484476(superscript *)CLOSE(-2) 4. The results of the regression model highlight that the share price of SMIC is likely to be affected by the prices over the previous two periods. Investors should take into account the recent movement in the share price of SMIC while making prediction. 5. Investors should be cautious about the effects of industrial circle and the accumulation strategy used by SMIC, and make decisions on whether to buy, sell or hold its shares when facing the gradual decrease in share price. It is believed that the industrial recovery will boost the semiconductor industry and the share price is expected to increase accordingly. In addition, the cost per unit will decline when the asset accumulation approach is used and the profit would be better than expected. 6. The share price of SMIC may be about to reach its peak in April, whereas the big fall in share price tends to be in early March and middle October. If investors prefer to invest in short term, these information could be good reference guides to gain investment profits.

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