| 摘要: | 半導體產業(Semiconductor Industry)已成為國內股市投資最重要的投資標的。有關美國股市對台灣電子股影響之研究，多半是以NASDAQ指數及道瓊工業指數兩者作為研究標的，而以費城半導體指數為研究標的似乎不多。然而與IC產業有聯動性的費城半導體指數因為電子股的幾檔重量級股票，如台積電、聯電、華邦電、聯發科、威盛及日月光，都是屬於市值較大的IC股，對台灣電子股的影響應有其作用。本研究依我國半導體產業的製造階段，依次為IC設計與光罩、IC製造、IC測試封裝，依序分別編列IC設計與光罩、IC製造、IC測試封裝指數，並據以探討半導體上游、中游、下游產業與美國費城半導體指數間的關聯性，以提供投資人作為股市投資決策的參考。我們使用MA(1)-GARCH(1.1)模型來探討報酬及波動性波及效果。研究期間從2000年2月1日至2002年6月30日，共591筆日資料，研究結果發現。 一、就MA(1)-GARCH(1.1)模型而言，條件變異數模型的估計值均顯著大於零，可知台灣與美國半導體產業的股價具有「波動性叢聚」(Volatility Clustering)現象。 二、對報酬溢傳效果來說，美國NYSE半導體產業綜合股價指數報酬的影響力大於NASDAQ半導體產業綜合股價指數報酬。台灣半導體市場中，以中游綜合股價指數最具有影響力。 三、對波動溢傳效果來說，NASDAQ與NYSE半導體綜合股價指數對台灣半導體市場皆無顯著影響效果，除了NYSE綜合加權股價指數波動會影響台灣中游綜合股價指數外，且影響幅度很低。 四、在半導體產業中，報酬外溢效果此因素比波動外溢效果來的重要。
Recently, the information industry has replaced the financial industry becomes the mainstream in Taiwan stock market. Most empirical researches that related to the influence of US’s stocks on Taiwan’s electric stocks often use NASDAQ Index and Dow Jones Index as research targets. However, Philadelphia Semiconductor Index (PSI) is seldom used as research objective. Since several electric stocks, such as TSMC, UMC, Winbond, Mtk, Asetwnand and VIA, count about 26.69 percent market values, PSI might be crucial for Taiwan Semiconductor Industry. In this research the authors category the Semiconductor production process as IC design, Mask, IC Wafer Manufacturing, and IC Testing Package. We examine the correlation of stock prices among Semiconductor industry’s upper, middle, lower streams and the stocks of the PSI. We use MA(1)-GARCH(1,1) model to discuss the mean spillover effect and volatility spillover effect. The research period covers from 2000/2/1 to 2002/6/30. The empirical study shows: First, as evidenced by GARCH(1,1) model, Taiwan’s and U.S.’s Semiconductor of stock exist the phenomenon of volatility, since the estimators of GARCH(1,1) are significant. Second, for mean spillover effect, the influence of NYSE on Taiwan’s Semiconductor stocks is much more important than NASDAQ Index. Moreover, the middle stream has most effect in Taiwan’s Semiconductor market. Third, for volatility spillover effect, NASDAQ and NYSE Semiconductor Weighted Index does not influence Taiwan’s Semiconductor Weighted Index. Besides, NYSE Semiconductor Weighted Index does impact the Semiconductor industry’s middle stream but the effect of impact was not significant. Fourth, the mean spillover effect is the major factor other than the volatility spillover effect in the Semiconductor Industry. |
