台灣與中國大陸半導體股價之關連

Abstract

過去有許多論文探討股價指數連動關係，但是對於產業間之股價連動性相對較少關注。隨著經濟管制的開放與技術的發展，中國大陸半導體產業逐漸具有市場影響力，除了自主性的成長動能之外，中國大陸政府亦挹注了許多資金在半導體產業上。因此，本研究探討中國大陸半導體股價指數跟台灣半導體股價指數之連動性，以及分析兩者之間的交互關係。研究期間從2014年1月1日至2015年12月31日之股價日資料。Granger因果檢定研究結果顯示中國大陸半導體股價指數對台灣半導體股價指數具有Granger領先關係。另外，由VAR模型發現台灣半導體股價指數受到中國大陸半導體股價指數落後第四期及第一期所影響，但是經由衝擊反映分析圖觀察到，台灣受到自身衝擊的影響大於中國大陸的外生衝擊。

There are many paper study at linkage of stock price and stock index, nevertheless, there are just few study put attention on the linkage of industry stock prices. With the opening of the economy regulation and growing of technique, China semiconductor industry gradually had market influence. It is not just because of itself growing energy, but funding by China’s government. Hence, this thesis studies the relationship between China’s and Taiwan’s semiconductor stock index and analyzes their relation. This study starts from 2014/1/1 to 2015/12/31, with 460 daily stock prices. Granger casualty test shows that China semiconductor index had Granger leading relation among Taiwan semiconductor index. In the vector autoregression (VAR) model, we find that Taiwan semiconductor index was influenced by China semiconductor index lag forth and first value. However, the Taiwan semiconductor stock price index is mainly affected by itself than by the China semiconductor index by observing impulse response graph.