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。






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