美國費城半導體指數對台灣積體電路製造業的影響研究：以VAR模型實證

Philadelphia Semiconductor Index (PSI) of U.S.A Impact on the Stock Price of Taiwan IC Industry: VAR Model

10.6736/JPSR.200803_5(1).0006

張耀升(Yao-Sheng Chang)

VAR ； 費城半導體指數 ； 股價獲利率 ； VAR model ； Philadelphia semiconductor index PSI ； stock price

績效與策略研究

5卷1期（2008 / 03 / 01）

67 - 79

繁體中文

全世界的主要股票市場，經常存在著連動關係，特別是經濟強國美國對其他國家股市的影響最為明顯。本研究在討論美國費城半導體指數對台灣積體電路製造業的影響，使用時間序列的研究方法之VAR模型，選取2005/7/1到2006/6/30的股票收盤資料，探討兩個股市報酬率的影響。結果顯示台灣積體電路製造業報酬率受美國費城半導體指數報酬率影響，但反之不成立，而美國對台灣的衝擊多在2個週期內反應完畢。

The stock market of the world often relate to each others. Especially, USA, the economic powerful country, is usually the leader. This research discusses that the Philadelphia semiconductor index (PSI) of U.S.A impact on the stock price of Taiwan IC industry. We use VAR model to explore the lead-lag relationship of the stock return between the PSI and the stock price of Taiwan IC industry. The research period is from 2005/7/4 to 2006/6/30. The results show that the stock price of Taiwan IC industry are strongly influenced by PSI and the impact of stock price of Taiwan IC industry from PSI reflects within 2 cycles.

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