台、韓、美半導體產業關聯性研究

Abstract

本研究以向量自我迴歸模型（Vector Autoregressive Model）為研究方法，以市場對市場、產業對產業、公司對公司以及產業對公司四層次進行台、韓、美股市關聯性研究，進而以股市訊息傳遞效果探討三國半導體產業之關聯性。 實證結果顯示，美國股市領先台灣股市，美股與台股呈現同漲同跌之態勢；其中以美廠對於台灣IC製造業最具解釋能力。另一方面，由因果關係檢定顯示台灣半導體類股報酬、南韓半導體類股報酬、台灣上游廠商股價指數報酬之間存在單向領先關係，且南韓對台灣股市跨期動態反應呈負向衝擊。此外，韓、美兩國股價指數日報酬具雙向回饋關係，其中美國股市對於南韓股市較具影響力，而南韓對美國股市跨期動態反應呈負向衝擊，顯示韓、美半導體類股具反向變動之關係。由股市關聯性窺知，台、韓、美半導體產業呈競合並存之緊密關聯性。

The purposeof this study is grouping selectedreturn of stock indicesinto four levels such as market to market, sector to sector, firm to firm and sector to firm, and using Vector Autoregressive Model to analyzethe interrelationships among the semiconductor Industry in Taiwan, Korea and US. The empirical results show that Taiwan stock market indexreturn goes up and down with US stock market indexreturn, and US semiconductor sector index return has strong effect to Taiwan IC manufacture sector index return. In the other hand, Taiwan semiconductor sector index returnleads to Korea semiconductor sector index, and Korea has negative impulse effect on Taiwan stock market. Moreover, Korea and US market index returnhas feedback relationship, and US stock market has moreinfluential to Korea stock market. Therefore, there are strong interrelationships between Taiwan, Korea and US semiconductor industry.