DRAM價格避險實證研究

Abstract

在目前DRAM產業中，DRAM商品現貨的價格波動性很高，所以DRAM廠商所遭受到的價格風險極大。本研究利用Finnerty（2002）於實務會計中計算避險績效模式，採用Regression Method，來驗證現存金融工具是否能規避DRAM現貨價格風險。此外引用史綱（2001）提出避險現貨價格與避險工具價格之間，若存在共整合關係，則交叉避險之避險績效會很好且穩定。實證結果發現，目前四家DRAM製造商股票（力晶、南科、茂德、華邦電）股價之避險績效幾乎都未超過RVR標準值0.8，且與DRAM現貨價格之間都不存在共整合關係；表示目前DRAM股票並無法規避價格風險。此外，本研究利用事件研究法，探討於DRAM產業中，重大事件對DRAM股價與現貨價的影響。結果發現，事件對股價影響較大，但對現貨價影響較小；且廠商營收報告釋出消息，對DRAM現貨價影響不顯著，表示廠商並不能藉由此方式來控制現貨價格走勢，而達到規避風險的結果。最後本文對未來其他可能避險方式作分析研究，特別針對編制DRAM股價指數方式，作避險績效實證研究。結果發現，若是採用市價加權法來編制之指數，避險績效有明顯改善；且與DRAM現貨價格之間有共整合關係，表示DRAM指數的確對規避DRAM廠商規避價格風險，有明顯的貢獻。

In current DRAM industry, the price volatility of DRAM products is so huge that DRAM firms confront large DRAM price risk. This research adopted Finnerty and Grant (2002) hedge effectiveness regression model to verify whether current financial tools could hedge the DRAM price risk. Otherwise, if the relationship between hedged product price and hedging tool price exists co-integration, the cross hedge performance will be good and stable. Our result finds that for four DRAM manufacturing firms (PSC, NANYA, ProMOS and Winbond) in Taiwan, the hedge effectiveness (RVR) ratio are almost below 0.8. The relationship between stock price and spot price has no co-integration effects, that is, one cannot hedge DRAM price risk if one uses DRAM firms’ stocks as the hedging tools. In addition, this article use event study to investigate the influence of the important events in the DRAM industry. The result suggests that these events affect DRAM stock price more than DRAM spot price; and the events such as sales reporting have less influence on DRAM spot price. That means DRAM firms cannot make use of sales reports to manipulate the trend of DRAM spot price, to hedge prick risk. Finally, our study explores other possible hedging means, especially focuses on creating a DRAM stock index. We create three indices ways to do similar empirical test and find that if we use market value to make the index, we can get better hedging effectiveness than using single stock hedge. Furthermore, this index has co-integration effect with DRAM spot price. These results suggest that creating a DRAM stock index have obvious contribution about hedging DRAM price risk.