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題名:臺灣半導體上、中、下游產業股價指數之連動性探討
書刊名:臺大管理論叢
作者:聶建中 引用關係林少斌莊亨懋
作者(外文):Nieh, Chien-chungLin, Shao-binChuang, Heng-mao
出版日期:2005
卷期:15:2
頁次:頁25-41
主題關鍵詞:IC產業時間序列股價指數IC industryTime seriesStock index
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:0
  • 點閱點閱:34
本文以編算IC產業上、中、下游各股價指數的方式,探討其間垂直分工特性之關聯性。研究發現:IC上、中、下游產業,長期間不具有穩定均衡關係。短期間,IC設計及IC封裝產業受到所有產業的影響,唯IC製造業在短期內僅受其本身的影響。由因果檢定得知,IC上、中、下游三產業間並不具有任何領先-落後之關係。在衝擊反應分析中,IC製造業的突發性衝擊,除了對其本身有較顯著且持續性的反應外,亦對其餘變數呈現越來越顯著且延續長時期的正面影響,顯示出其最具影響力的角色。最後在變異數分解中發現,IC製造業外生性最強,對自身變異的解釋能力高,受其他IC產業的影響程度相當低,而IC設計業及IC封裝業發生變異時,受IC製造業的解釋極強,且隨著期數的增加而顯著提高,說明了IC製造業之變動,在整體IC 產業中扮演著一個相當重要的要角;換言之,IC製造業足以做為其他IC產業的變動指標。
The purpose of this study is to examine the interrelationships among the stock indexes of the upper, middle and lower stream of IC industry in Taiwan by using time series method. The results found that there is no long-term equilibrium relationship among the upper, middle and lower stream of IC industry in Taiwan. In the short-term, IC design and IC packaging industries have been influenced by all industries except manufacturing industry. From the causality test, there are no lead-lag relationship among the IC design, packaging and manufacturing industries. The empirical results of impulse response functions and variance decompositions point out that, comparing those IC industries, there is stronger sudden impulse to the exogenous in IC manufacturing industry. On the other hand, there are less and shorter impact of the exogenous disturbance in IC design and packaging industries.
期刊論文
1.Dickey, David A.、Pantula, S.(1987)。Determining the Order of Differencing in Autoregressive Processes。Journal of Business and Economic Statistics,5(4),455-461。  new window
2.Osterwald-Lenum, M.(1992)。Practitioner's Corner - A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54,461-472。  new window
3.Johansen, Soren(1994)。The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables。Econometric Reviews,13(2),205-229。  new window
4.Gonzalo, Jesus(1990)。Five Alternative Methods of Estimating Long-run Equilibrium Relationships。Journal of Econometrics,60(2),203-233。  new window
5.Nieh, C. C.、Lee, C. F.(2001)。Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance,41(4),477-490。  new window
6.Doldado, Juan J.、Jenkinson, Tim、Sosvilla-Rivero, Simon(1990)。Cointegration and Unit Roots。Journal of Economic Surveys,4,249-273。  new window
7.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
8.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
9.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
10.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
11.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
12.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
13.Reimers, H. E.(1992)。Comparions of Tests for Multivariate Cointegration。Statistics Paper,33,335-346。  new window
14.Bauer, Johannes M.(1995)。The Regulatory Treatment of Utility Diversification。Land Economics,71(3),386-400。  new window
15.Cramer, Christopher(1999)。Can Africa Industrialize by Processing Primary Commodities? the Case of Mozambican Cashew Nuts。World Development,27(7),1227-1466。  new window
16.Luke, David F.(1996)。The Impact of the Uruguay Round on Trade Preferences - Toward a Forward-looking Trade Agenda for African Countries。Journal of World Trade,30(3),141-159。  new window
17.Schindler, H. J.(1992)。Chemical Industry Diversification。Journal of International Marketing and Marketing Research,17(1),25-38。  new window
18.Sims, Christopher A.(1980)。Comparison of Interwar and Interwar and Postwar Business Cycles: Monetarism Reconsidered。The American Economic Review,70(2),250-257。  new window
19.Yu, Tony Fu-Lai(2000)。Coordination and Industrial Organization: South Korea's Chaebols versus Taiwan's Small Enterprises。Journal of the Korean Economy,1(2),367-392。  new window
學位論文
1.洪志傑(2000)。股價關聯互動之研究--我國半導體業上、中、下游個案(碩士論文)。大葉大學。  延伸查詢new window
2.翁唯峻(2000)。半導體產業股價關聯性暨泡沫檢定,0。  延伸查詢new window
3.劉豐誠(2000)。臺灣專業IC封裝廠之發展與分析,0。  延伸查詢new window
4.陳萱倫(2002)。臺灣、美國、日本半導體產業股價連動關係,0。  延伸查詢new window
圖書
1.Box, George E. P.、Jenkins, Gwilym M.(1970)。Time Series Analysis: Forecasting and Control。Holden-Day。  new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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