國內的製藥工業目前還是以製劑廠為主,購買已過專利期的原料藥進行加工,以國內市場為主。雖然國內股市市值,生技製藥產業所佔比例不大,但是放眼未來製藥產業發展是可預期的。本研究主要目的為檢測製藥產業月營收及股價季節特性之因果關係。本研究以國內上市歷史最久的四家製藥公司為對象,資料期間為2000年1月至2009年12月之10年月資料。使用SAS統計軟體進行X-11分析,以羅吉斯轉換後,先進行季節穩定性測試及移動性測試,以X-11分析四家業者之季節指數變化特性,再利用E-Views統計軟體做各公司營收與股價之間Granger因果關係檢定。最後再將X-11所得之季節指數預測值與實際值進行預測績效評比。主要研究結果有三:(1)四家公司月營收與月股價之季節指數皆存在顯著淡旺季差異。(2)探討月營收與月股價之間的因果關係,得到製藥產業股價表現主要還是受台股指數影響,與整體經濟相關性較大,而月營收是否影響股價,不同公司有不同影響效果。(3)利用X-11預測2010年四家公司的月營收及月股價之季節指數,發現預測值與實際值相當符合。此篇研究的結果應可為投資人進行投資決策之參考。
Although the pharmaceutical industry is not the major contribution of Taiwan stock market, it will be another rising star in the future in Taiwan. The purpose of this study is to analyze the seasonal characteristic of monthly revenue, average stock prices and their causal relationships in 4 pharmaceutical companies. Data was collected from Jan, 2000 to Dec. 2009. By using X-11 statistical model and Granger causality test, the results show that seasonality Granger causalities exist in both revenue and stock price series. The conclusion of this study described as below: (1) Seasonal stability of monthly revenues and average stock price are both significant. (2) These 4 local pharmaceutical companies’ monthly stock price is relative to Taiwan stock market index. But the connection between monthly revenues and average stock prices are different in individual companies. (3) The forecast of seasonal characteristic of monthly revenue and average stock prices are high accurate from Jan 2010 to Sep. 2010. The conclusion of this reseach can offer a useful reference to investors of Taiwan stock market.