基本面、籌碼面與總體經濟對台灣半導體產業股票報酬影響之研究

Abstract

本論文研究基本面、籌碼面與總體經濟對台灣半導體產業股票報酬之影響。將基本面分析變數、籌碼面分析變數與總體經濟變數對年股票報酬率，建立逐步迴歸分析預測模型，來探討哪些變數對股票報酬有顯著的影響。基本面分析可以了解公司的實際經營狀況，籌碼面分析可以了解三大法人和融資融券對這家公司股票的投資行為，總體經濟可以了解整體的經濟情況，故本研究同時將三大因素來探討股票報酬。 本研究以台灣半導體產業為對象，共57家公司，229筆資料，研究期間為2007年至2011年，研究變數為32個基本面分析變數、5個籌碼面變數和6個總體經濟變數，共43個變數，利用逐步迴歸分析對年股票報酬率建立預測模型。實證結果顯示，基本面分析變數、籌碼面分析變數與總體經濟變數對年股票報酬率有顯著的影響，解釋能力高達79.3%。研究結論為基本面、籌碼面與總體經濟對台灣半導體產業股票報酬有顯著的影響，可以讓投資半導體股票期間為一年以上的長期投資人，作為投資股票的參考依據。

The thesis is about that the impact of fundamental, institutional investors and credit trading, and macroeconomics on stock returns of Taiwanese semiconductor industry. Stepwise regression analysis was applied to establish a forecast model about that fundamental variables, institutional investors and credit trading variables, and macroeconomic variables on stock returns. 229 samples collected between year 2001 and 2007 based on 57 companies selected from Taiwanese semiconductor industry. Using stepwise regression analysis, a stock return forecast model was established. The empirical results showed that fundamental variables, institutional investors and credit trading variables, and macroeconomic variables have significant influence on stock returns. The model established has an explanatory power of 79.3%. This thesis concludes that fundamental, institutional investors and credit trading, and macroeconomics do have significant influence on stock returns. The study result can be used as a reference of investing stocks for long-term investors in semiconductor industry.