臺灣博碩士論文加值系統

股價能否真實穩定地反映其合理價值取決於市場本身的效率，亦即，股市的效率性越高，股價就越能真實穩定地反映其合理價值。換言之，當一個新訊息進入市場後，對照該訊息的相關證券，能迅速將該訊息反應至證券價格上，這就是市場有效率的表現。Fama (1970) 提出效率資本市場的假說以來，資本市場的效率性一直是學術界熱門研究的對象。本研究基於效率市場和股價之間的關係，探討在美國的強式效率市場及台灣的半強式效率市場分別對股票價格之影響程度。
採用資料包絡分析法 (Data Envelopment Analysis, DEA)、麥式生產力指數(Malmquist Productivity Index, MPI) 進行效率分析，運用於半導體產業獨特的上、中、下游分工體系，將研究對象進一步區分成IC設計、IC封裝與測試、IC製造等三大產業進行實證分析，客觀地進行相對績效之評估，以確切獲悉不同公司的相對經營效率。本研究分析方法分為：第一階段為整體生產力模式，用來分析企業生產效率；第二階段為個別生產力模式，用來分析企業獲利力與市場力；以及生產力變動趨勢和效率與股價相關分析，實證結果顯示：
1.台灣半導體產業整體經營績效優於美國半導體產業。
2.美國半導體產業跨期生產力變化優於台灣半導體產業。
3.在美國之強式效率市場情況下影響股價的程度高於台灣之半強式效率市場。

Whether or not the stock price can truly and stably reflect its reasonable value depends on the efficiency of market itself; that is, the higher efficiency of stock market is, the more truly and stably the stock price can reflect its reasonable value. In other words, after a recent message enters the market, we can rapidly reflect this message on the security price when comparing the relevant securities of this message, which reveals the market effectiveness. Fama (1970) has proposed the hypothesis of efficiency capital market, which has been a popular research object in the academic circles. Based on the relations between efficiency market and stock price, discusses what degree US Strong Form Efficient Market and Taiwan Semi-Strong Form Efficient Market influence stock price separately. The Data Envelopment Analysis, DEA、Malmquist Productivity Index, MPI are adopted to carry on the efficiency analysis, and utilized in the unique up, middle, downriver division of labor system of semiconductor industries. The object of the research will carry on the real diagnosis analysis of the three easy childbirths industries, including the IC design, the IC seal and the test, the IC manufacture, objectively carrying on appraisal the relative achievements so as to exactly learn the relative management efficiency of different companies. The method of this research analysis divided into two stages：The first stage is the overall productive forces pattern used to analyze the enterprise productive forces; the second stage is the individual productive forces pattern used to analyze the enterprise to make a profit in the business strength and the market strength；As well as productive forces change tendency and efficiency on stock price through the relations, the real diagnosis result showed that：1. The influential degree of Stock price in Taiwan Market is higher than that of US Market. 2. The cross time of US semiconductor industry MPI surpasses those of Taiwan. 3. The whole management achievements of US semiconductor industry surpass those of Taiwan.

致謝 II
中文摘要 II
英文摘要 V
論文目錄 VII
表目錄 VIII
圖目錄 X
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究問題 5
第三節 研究方法與架構 6
第四節 研究對象與限制 7
第二章 文獻回顧 9
第一節 效率市場假說 9
第二節 半導體產業特色 14
第三節 資料包絡分析法之效率評估模式 20
第四節 資料包絡分析法應用於半導體產業之文獻 29
第五節 非資料包絡分析法應用於半導體產業之文獻 33
第三章 研究設計 39
第一節 研究模式 39
第二節 資料來源與樣本選取 41
第三節 變數定義 43
第四節 投入與產出項的選取 46
第四章 實證分析 49
第一節 生產力分析 49
第二節 生產力變動趨勢分析 69
第三節 效率與股價相關分析 88
第五章 結論與建議 93
第一節 研究結論 93
第二節 管理意涵 95
參考文獻 97

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