台灣半導體產業股價與美國半導體產業關聯性之研究-以DRAM業為例

CCUR > College of Business > Department of International Trade 7 Graduate Institute of International Trade > Thesis > Item 987654321/27570

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Title:	台灣半導體產業股價與美國半導體產業關聯性之研究-以DRAM業為例 A Study on the Relationship between the Stock Price of Taiwan Semiconductor Industry and U.S. Semiconductor Industry-Evidence on the Taiwan DRAM Industry
Authors:	王兆勤
Contributors:	國際貿易學系碩士班
Keywords:	北美半導體出貨進貨比率動態存取記憶體向量自我迴歸模型共整合檢定 B/B Ratio DRAM Vector Autoregression Model Cointergrating Test
Date:	2006
Issue Date:	2014-06-24 15:03:44 (UTC+8)
Abstract:	本研究主要在探討國內五家名列全球銷售量前十大的DRAM廠商力晶半導體、南亞科技、茂德科技、華邦電子及晶豪科技股價之間的關連性，再進一步探討B/B 值與這五家廠商的價報酬率之間的關連性。本研究以向量自我迴歸模型的三個應用：因果關係檢定、衝擊反應分析以及誤差變異分解再加上共整合檢定進行分析。研究結果顯示：B/B Ratio 與DRAM 各厰股價存在長期均衡的關係，但是以B/B Ratio 作為DRAM 的景氣指標效果不佳，未來研究可再尋求更適當的變數，提供予投資人參考。 The purpose of this research is to discuss the relationship between the stock price of five Taiwan DRAM companies of the world top ten Chart: PSC, NTC, PROMOS, WINBOND, ESMT and B/B Ratio. This research using three applications of the Vector Autoregression Model: Granger Causality Test, Impulse-Response Function, Forecast Error Variance Decomposition and the Cointergrating Test as a tool to find out the relationship between stock price of Taiwan Dram companies and B/B Ratio. The research shows that B/B Ratio moves in the same direction with the stock price of Taiwan DRAM companies in the long-run, in other words, there is a long-run equilibrium correlation between stock price of Taiwan Dram companies and B/B Ratio. But it is ineffective using B/B Ratio as a leading indicator of the stock price of Taiwan Dram companies. It needs further research to find a substitute variable of B/B Ratio.
Appears in Collections:	[Department of International Trade 7 Graduate Institute of International Trade ] Thesis

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