(18.210.12.229) 您好!臺灣時間:2021/03/01 05:49
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:陳立誠
研究生(外文):Li-cheng Chen
論文名稱:費城半導體指數與台灣電子股價之關聯性分析
論文名稱(外文):The Correlation between PHLX Semiconductor Index and Taiwan Electronics Sub-Index
指導教授:翁銘章翁銘章引用關係
指導教授(外文):Ming-Jang WENG
學位類別:碩士
校院名稱:國立高雄大學
系所名稱:國際高階經營管理碩士在職專班(IEMBA)
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:51
中文關鍵詞:費城半導體指數台積電單根檢定共整合檢定向量自我迴歸模型(VAR)誤差修正模型(ECM)
外文關鍵詞:Philadelphia semiconductor indexTaiwan electronics indexTSMCUnit root testVector autoregressive modelCointegration testError correction model
相關次數:
  • 被引用被引用:2
  • 點閱點閱:558
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
以往的關聯性研究,多半以道瓊工業指數與那斯達克指數為主體,隨著時代的變遷,台灣的電子業已成為全世界的代工重鎮,本研究以費城半導體指數與電子股指數、半導體指數、台積電股價的日資料來探討其連動關係之變化。在VAR向量自我回歸模型實證結果相當顯著,亦即費城半導體指數的波動會影響台灣電子指數、電子半導體指數、台積電股價的波動。共整合檢定中,兩兩變數之間均呈現共整合關係,代表費城半導體指數與台灣電子指數,費城半導體指數與電子半導體指數,費城半導體指數與台積電股價三組變數間,存在長期均衡的關係。誤差修正模型兩兩股價(指數)中則發現費城半導體指數分別受到台灣電子指數前2期、台灣半導體指數前2期、台積電股價前3期之影響。台灣電子指數、台灣半導體指數、台積電股價則受到費城半導體指數前1期之影響。由此而知費城半導體指數較具有影響力。故台灣的投資人可由前一天費城半導體的走勢來做為投資台積電的依據。
Most of the previous studies focus on Dow Jones industrial average index and the NASDAQ index. However, with the time goes by, Taiwan has become one of the most important parties in the electronics industry. In this research, we study the relationships among Philadelphia semiconductor index, electronic index, semiconductor index, and the daily price of TSMC. The result from the VAR cointegration test is very significant, which points out that Taiwan's electronic index, the semiconductor index, and TSMC stock price are affected by Philadelphia semiconductor index. In cointegration test, a co-integration relationship, which tells a long-term equilibrium relationship existed among PHLX Semiconductor Index, Taiwan Weighted Stock Index and TSMC stock price. From the error correction model, it shows that the Philadelphia Semiconductor Index is influenced by the two-previous-ahead of Taiwan’s electronic index, Taiwan's semiconductor index and the three-previous-ahead of TSMC stock. Taiwan’s electronic index, Taiwan's semiconductor index and TSMC stock are influenced by the one-previous-ahead of Philadelphia semiconductor index. The result tells us that the Philadelphia Semiconductor index plays the most important roles in the model. Therefore, the TSMC stock investors can take the Philadelphia Semiconductor historical trend as the main reference.
第一章 緒論…………………………………………………………………… 1
   第一節 研究背景與動機……………………………………………… 1
   第二節 研究目的……………………………………………………… 1
   第三節 研究架構與流程……………………………………………… 2
   第四節 研究限制……………………………………………………… 3
第二章 文獻探討……………………………………………………………… 5
   第一節 國外相關文獻………………………………………………… 5
   第二節 國內相關文獻………………………………………………… 10
第三章 研究方法……………………………………………………………… 15
   第一節 單根檢定(Unit Root Test)…………………………………… 15
   第二節 向量自我迴歸模型(Vector Autoregressive Model; VAR)… 19
   第三節 共整合檢定(Cointegration Test)……………………………  20
   第四節 誤差修正模型(Error Correction Model; ECM)……………… 24
第四章 實證研究結果………………………………………………………… 26
   第一節 單根檢定結果………………………………………………… 26
   第二節 向量自我迴歸模型檢定結果………………………………… 29
   第三節 共整合檢定結果……………………………………………… 33
   第四節 誤差修正模型檢定結果……………………………………… 34
第五章 結論…………………………………………………………………… 38
參考文獻………………………………………………………………………… 40
中文部分
邱瑞文 (2001),「北美自由貿易區與亞洲區域國家股價指數互動關係之研究」,國立高雄第一科技大學金融營運研究所碩士論文。
姚志泯 (2001),「費城半導體指數與美光股價對台灣電子股的影響」,淡江大學管理科學研究所碩士論文。
翁唯峻 (2000),「半導體產業股價關連性暨泡沫檢定」,東吳大學企業管理研究所碩士論文。
陳仲仁 (2002),「半導體產業資訊與其股價關聯性之研究」,淡江大學財務金融研究所碩士論文。
楊筆琇 (1999),「台灣電子股指數與美國股價指數互動關係之實證研究」,國立成功大學企業管理研究所碩士論文。
劉健欣 (1999),「台灣股市與美國股市關連性之實證研究」,淡江大學管理科學研究所碩士論文。
蔣繼賢 (1999),「台灣積體電路產業之股價關聯性」,國立東華大學國際經濟研究所碩士論文。
謝朝光 (2001),「台灣與亞太各國股市間關連性與動態相關係數之研究」,國立台北大學企業管理研究所碩士論文。






英文部分
Bierens, H. J. (1997), “Nonparametric Cointegration Analysis,” Journal of Econometrics, 77, 379-404.
Cheung, Y. L. and Mark, S. C. (1992), “The International Transmission of Stock Market Fluctuation between the Developed Markets and the Asian Pacific Markets,” Applied Financial Economics, 2, 43-47.
Choudhry, T. (2000), “Meltdown of 1987 and Meteor Showers among Pacific-Basin Stock Markets,” Applied Financial Economics, 10, 71-80.
Dickey, D. A. and Fuller, W. A. (1979), “Distribution of Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427-432.
Eun, C. S. and Shim, S. (1989), “International Transmission of Stock Market Movements,” Journal of Financial and Quantitative Analysis, 24, 241-257.
Elyas, E., Priyal, P. and Tribhuvan, N. P. (1998), “Interdependence and Dynamic Linkages between Stock Markets of Sri Lanka and Its Trading Partners,” Journal of Multinational Financial Management, 8, 89-101.
Engle, R. F. and Granger, C. W. J. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55, 254-276.
Fargher, N. L., Gorman L. R. and Wilkins, M. S. (1998), “Timely Industry Information as an Assurance Service Evidence on the Information Content of the Book-to-Bill Ratio,” Auditing, 17, 109-123.
Fuller, W. (1976), Introduction to Statistical Time Series, New York: John Wiley Press.
Granger, C. W. J. and Newbold, P. (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 2, 111-120.
Hansen, H. and Juselius, K. (1995), CATS in RATS: Cointegration Analysis of Time Series. Illionis: Estima, Evanston.
Hsiao, Y. R, Masulis, R. W. and Ng, V. K. (1998), “The Price Relationships among the Hong-Kong, Taiwan and China Stock Markets: An Application of Cointegration Approach,” Review of Securities and Futures Markets, 10, 153-185.
Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12, 231-254.
Johansen, S. and Juselius, K. (1990), “Maximum Likelihood Estimation and Inference on Cointegration: with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169-210.
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity against The Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?” Journal of Econometrics, 54, 159-178.
MacKinnon, J. G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Test,” Journal of Applied Econometrics, 11, 601-618.
Ozun, A. (2007), “Are the Reactions of Emerging Equity Markets to the Volatility in Advanced Markets Similar? Comparative Evidence from Brazil and Turkey,” International Research Journal of Finance and Economics, 9, 220-230.

Phillips, P. C. B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 335-346.
Suliman, O. (2005), “Interest Rate Volatility, Exchange Rates and External Contagion,” Applied Financial Economics, 15, 883-894.
Sims, C. A. (1980), “Macroeconomics and Reality,” Econometrica, 48, 1-48.
von Furstenberg, G. M. and Jeon, B. N. (1989), “International Stock Price Movements: Links and Messages,” Brookings Papers on Economic Activity, 1, 125-167.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔