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題名：臺灣半導體產業供應鏈準垂直整合公司股票報酬蔓延效果與外溢效果之研究
作者：戚萍
作者(外文)：CHI, PING
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
林美珍
學位類別：博士
出版日期：2024
主題關鍵詞：蔓延效果；外溢效果；Bi-GARCH；半導體產業；Contagion effect；Spillover effect；Bi-GARCH；Semiconductor industry
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近十幾年來，台股資本市場產業結構出現改變，現今半導體業是臺灣最重要的產業之一，上市與上櫃半導體業市值占總市值比重逐年增加， 2020、2021、2022及2023年度分別為31.40%、40.16%、40.89%及35.13%，為我國上市上櫃公司市值占比第一大產業；又臺灣半導體產業在跨國供應鏈中扮演重要的角色，因此，投資人會密切留意臺灣半導體業的發展前景、公司經營策略、營收、獲利、股票價格與波動，以獲取股票報酬。
為因應快速多變的半導體產業景氣以取得競爭優勢、從事多元化經營或賺取投資利益等原因，近年來臺灣半導體廠商從事供應鏈轉投資持股者越來越多（即準垂直整合）。又有鑑於後COVID-19疫情時代，各國對半導體供應鏈變化非常重視，未來半導體供應鏈將朝多元化、分散化策略，因此本研究關注臺灣半導體產業供應鏈準垂直整合公司股票報酬是否存在蔓延效果與外溢效果。
本論文研究期間為2010年1月1日至2021年12月31，樣本共計17組母子公司（34家企業）。 研究採用單根檢定、LB-Q檢定、ARCH檢定、Bi-GARCH模型、有母數t檢定及無母數符號檢定、符號秩檢定與Kruskal-Wallis檢定。主要研究結果如下：供應鏈準垂直整合母公司對子公司與子公司對母公司均有股票報酬正向蔓延效果與外溢的主效果與次效果。整體而言，母公司對子公司的蔓延效果和外溢效果均大於子公司對母公司的蔓延效果與外溢效果。
In the past decade or so, the industrial structure of Taiwan's capital market has changed. Semiconductor industry is now one of the most important industries in Taiwan and is the largest industry in the market value of listed and OTC companies in Taiwan. Furthermore, Taiwan's semiconductor industry plays a major role in the multinational supply chain. Therefore, investors will pay close attention to the development prospects of Taiwan's semiconductor industry, company business strategies, revenue, profits and stock price changes (fluctuations) in order to obtain stock return.
In the future, the semiconductor supply chain will move towards a diversified and decentralized strategy. Therefore, this study focuses on whether there are contagion effects and spillover effects in stock return of quasi-vertically integrated firms in Taiwan's semiconductor industry supply chain.
The study intends to investigate whether there are contagion effects resulting from supply-chain stock returns interaction and spillover effects deriving from returns volatility causation in quasi-vertically integrated Taiwan semiconductor industry. 17 paired groups (34 companies) of parent and subsidiary companies were found. The unit root test, LB-Q test, ARCH test, Bi-GARCH model, parametric t test and nonparametric sign test, ranked sign test and Kruskal-Wallis test are applied. The major findings are as follows: Positive stock returns contagion effect exist in both parent-to-subsidiary and subsidiary-to-parent. Stock returns volatility spillover main and minor effects exist in quasi-vertically integrated supply chain. In general, the contagion effect and volatility spillover effect of parent-to-subsidiary are greater than those of subsidiary-to-parent.
參考文獻
一、中文參考文獻
尚清林（2020）。台積電暴紅台積電暴紅誰是最大受益者？大牛股變身飆股 11檔受惠股跟著狂飆。財訊，613期。
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二、英文參考文獻

Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility Spillovers between Oil Prices and Stock Sector Returns: Implications for Portfolio Management. Journal of International Money and Finance, 30(7), 1387-1405.
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三、其他參考資料

安侯建業聯合會計師事務所（2022），2022全球半導體產業大調查， https://kpmg.com/tw/zh/home/insights/2022/04/global-semiconductor-industry-outlook-2022.html
財團法人資訊工業策進會（2022），迎戰全球半導體產業變動格局。
臺灣證券交易所：公開資訊觀測站/基本資料/電子書/財務報告書 https://mops.twse.com.tw/mops/web/t57sb01_q1
臺灣證券交易所、證券櫃檯買賣中心：產業價值鏈資訊平台/半導體產業鏈簡介 https://ic.tpex.org.tw/introduce.php?ic=D000
KPMG（2022）. Global Semiconductor Industry Outlook 2022. https://advisory.kpmg.us/articles/2022/global-semiconductor-industry-outlook-2022.html
Statista（2023）. Leading semiconductor foundries revenue share worldwide from 2019 to 2022, by quarter. https://www.statista.com/statistics/867223/worldwide-semiconductor-foundries-by-market-share/

 

 
 
 
 
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