DRAM現貨價格與相關生產廠商股價的關係

Abstract

DRAM生產廠商在台灣的半導體產業中一直扮演著舉足輕重的角色，其相關廠商的股價也牽動著台灣股票指數的漲跌，大多數的投資人希望能夠從股價的歷史波動中找尋到一些蛛絲馬跡，事實上或許DRAM的現貨價格才是影響股價的關鍵因素之ㄧ。 本研究將運用Engle和Granger在1987年所提出的誤差修正模型，試圖找到DRAM現貨價格與生產廠商股價間的關係，透過針對2003到2004年間的資料分析，發現在短期上DRAM現貨價格的波動領先相關廠商股價的現象，在本研究所選定的三家DRAM生產廠商（力晶半導體、南亞科技、以及茂德科技）的股價資料上都呈現一致性的結果，但觀察誤差修正項的係數，可以得知在長期的關係中，DRAM生產廠商的股價具有領先反應訊息的特性，另外在衝擊反應分系的結果中，也說明了股票市場的訊息反應以及價格發現能力優於現貨市場。最後本研究希望能夠以實證之後的結果，提供給投資大眾作為參考的依據，甚至在DRAM生產廠商的財務操作方面，也能有所幫助。

DRAM manufacturers have been playing an important role in Taiwan semiconductor industry, so do their stock price in Taiwan stock market. While many people tried to predict the stock price of DRAM makers through historical data. This thesis finds that DRAM price has short-run price leadership over producer’s stock price. In this thesis we applied Engle and Granger’s（1987） VEC Model, trying to explore the relations between DRAM price and stock prices of its manufacturers. By analyzing 2003 and 2004 data, the results reveal that in the short run, change of DRAM price would advance it of the stock prices of its producers. The three companies we observed in this thesis（Powerchip Semiconductor Corp., Nanya Technology and Promos Technology）confirmed the above statement. In the long run, stock prices of DRAM producers, however, would reflect information advance the spot market. As for impulse analysis, we found out that stock market is better in information reflection and price discovery than the spot market. In sum, this thesis would like to provide a more profound foundation for the public to observe this market through empirical study, even helpful to the financial operation for the DRAM producers.