本文主要在探討美國股價指數與台灣半導體上、中、下游產業股價指數報酬之動態連動性。以2005年1月1日到2007年12月31日的股價收盤日資料來進行研究，考量時間序列資料具有單根的性質，本研究採共整合分析、向量修正誤差模型來進行實証上的分析。為了對股價連動性做更進一步探討，也同時進行了衝擊反應函數及變異數分解的實証分析。實証結果發現：美國股價指數與台灣半導體上、中、下游產業股價指數存在共整合關係；同時，台灣半導體本身之上、中、下游產業股價指數間亦存在一共整合關係。在短期領先落後關係上，道瓊工業指數對台灣半導體上游的IC設計、中游的整合元件製造及下游的DRAM模組具有單向領先關係；同時，台灣半導體中游的晶圓製造及下游的封測皆存在單向領先美國道瓊工業指數。再者，依據衝擊反應函數及誤差修正模型來看，美國股價指數，例如道瓊工業指數對台灣整體半導體產業股價指數報酬的變動具有持續性的影響；且台灣半導體上、中、下游各產業股價指數的變動也深受道瓊工業的影響。

This thesis focuses on the investigation of dynamic linkages among the U.S. stock indices and the stock indices of upper, middle and lower stream of semiconductor industry in Taiwan. Using daily data from Jan. 1st, 2005 to Dec. 31st, 2007, we examine the dynamic linkages between the U.S. stock market and the Taiwan IC industry. The index level series are shown to have a unit root and therefore, we apply co-integration and vector error-correction methods to model the dynamics. The empirical results show that there exists a long-term co-integration relationship either between the U.S. stock market and the Taiwan IC industry or among the stock indices of upper, middle and lower stream of semiconductor industry in Taiwan. In the short run, our results indicate that, as documented historically, DJI has led UPP, IDM and DRM at the 5% significance level, while MAN and PT are influential in affecting DJI. Moreover, from the empirical results of impulse response functions and variance decomposition, the U.S. stock indices, such as DJI, have the greatest power in explaining the shocks in Taiwan IC industry as time goes by.

Contents
Chapter 1 Introduction…………………………………………………1
Chapter 2 Literature Review
2-1 Co-integration and Lead-lag relations in Error Correction Model……6
2-2 Granger Causality tests………………………………………………..9
2-3 Impulse Response Function and Variance Decomposition…….11
Chapter 3 Data
3-1 Data Description……………………………………………………14
3-2 Descriptive Statistics………………………………………………..16
3-3 Unit Root Tests……………………………………………………...17
Chapter 4 Econometric Models
4-1 Co-integration Test…………………………………………………..19
4-2 Vector Error-Correction Model………………………………………22
4-3 Granger Causality Tests………………………………………………22
4-4 Impulse Response Function…………………………………………24
4-5 Variance Decomposition…………………………………………….25
Chapter 5 Empirical Results
5-1 Johansen Co-integration Tests………………………………………...28
5-2 Vector Error-Correction Models……………………………………..30
5-3 Impulse Response Results…………………………………………...33
5-4 Variance Decomposition Results…………………………………….34
Chapter 6 Conclusions…………………………………………...………..37
References…………………………………………………………………78
Appendix………………………………………………………………….82
Tables
Table 1- Contribution (%) of each sector to △GDP (yearly)…………..40
Table 2- The rank of Export countries…………………………………..41
Table 3- The rank of export commodity by amount (NT$)……………..42
Table 4- Trading statistics by industrial group…………………………..43
Table 5- Time zone differences between the U.S. stock market and the Taiwan stock market…………………………………………………….45
Table 6- Name of Variables……………………………………………..46
Table 7- Component company name v.s. Variables……………………..47
Table 8- The Correlation Matrix of selected stock indices………………49
Table 9- The Correlation Matrix of stock returns………………………49
Table 10- The Descriptive Statistics of stock indices……………………50
Table 11- The Descriptive Statistics of stock returns…………………….50
Table 12- Augmented Dickey-Fuller Test………………………………..51
Table 13- The arrangement of samples for co-integration, Granger causality, Impulse Response and Variance Decomposition test…………52
Table 14- Johansen Co-integration Test-Trace Statistics (Set 1)………54
Table 15- Co-integrating Vector (Set 1)………………………………..54
Table 16- Johansen Co-integration Test-Trace Statistics (Set 2)………55
Table 17- Co-integrating Vector (Set 2)………………………………..55
Table 18- Vector Error Correction Estimates (Set 1)…………………..56
Table 19- VEC Pair-wise Granger Causality Tests (Set 1)……………...59
Table 20- Vector Error Correction Estimates (Set 2)…………………..60
Table 21- VEC Pair-wise Granger Causality Tests (Set 2)……………...63
Table 22- Variance Decomposition in Set 1…………………………….65
Table 23- Variance Decomposition in Set 2…………………………….67






















Figures
Figure 1- The graph of Dow Jones Industrial Average Index………….70
Figure 2- The graph of S&P 500 Index…………………………………70
Figure 3- The graph of Nasdaq Composite Index………………………70
Figure 4- The graph of Philadelphia Semiconductor Sector Index……..71
Figure 5- The graph of Taiwan Stock Exchange Capitalization Weighted Stock Index……………………………………………………………..71
Figure 6- The graph of Taiwan Semiconductor Sector Index………….71
Figure 7- The graph of Taiwan IC Designing Index……………………72
Figure 8- The graph of Taiwan IC Manufacturing Index……………….72
Figure 9- The graph of Taiwan IC IDM Index………………………….72
Figure 10- The graph of Taiwan IC Packaging & Testing Index……….73
Figure 11- The graph of Taiwan DRAM Module Index……………….73
Figure 12- Response of UPP to MAN, IDM, PT and DRM respectively…74
Figure 13- Response of MAN to UPP, IDM, PT and DRM respectively…74
Figure 14- Response of IDM to UPP, MAN, PT and DRM respectively…75
Figure 15- Response of PT to UPP, MAN, IDM and DRM respectively…75
Figure 16- Response of DRM to UPP, MAN, IDM and PT respectively…76
Figure 17- Response of Set 2 to DJI respectively……………………….77

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