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題名:高市值電子公司股價報酬率與營收成長率之關聯性研究
作者:歐陽修
作者(外文):OU,YANG-HSIU
校院名稱:逢甲大學
系所名稱:金融博士學位學程
指導教授:張倉耀
學位類別:博士
出版日期:2023
主題關鍵詞:高市值電子公司股價報酬率營收成長率拔靴傅立葉追蹤因果關係檢定High Market Value of Electronic CompaniesStock ReturnsRevenue Growth RateBootstrap Panel Granger Causality Test with Fourier Function
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本研究主要分半導體8家、電子零組件6家,以及電腦及週邊設備9家等三群高市值電子公司,加以探討股價報酬率與營收成長率之關聯性。研究期間為2013年1月至2022年12月,此期間包含美中貿易大戰、新冠肺炎(COVID-19),以及俄羅斯與烏克蘭戰爭,可能造成結構的改變,因此本研究將可處理結構改變之傅立葉函數加入研究模型中。本研究以 Panel Data 架構,主要是希望增加自由度及減少解釋變數間的共線性,使得點估計更具一致性。經過嚴謹的實證過程,獲得如下的結論:23家高市值電子公司之營收成長率與股價報酬率受美中貿易大戰、COVID-19及俄烏戰爭等事件的影響,已有明顯的結構改變。經以拔靴傅立葉追蹤因果關係模式加以實證,台積電、聯詠、國巨及光寶科之股價報酬率對營收成長率有單向因果關係,而瑞昱、南亞科、嘉澤、南電、仁寶、華碩、微星及和碩之營收成長率對股價報酬率有單向因果關係。綜上所述,有較多高市值電子公司,其營收成長率對股價報酬率的影響較為顯著。
This study mainly divided into three groups of electronics companies which are high market value, including 8 semiconductors, 6 electronic components, and 9 computers and peripherals, to explore the relationship between stock returns and revenue growth rate. The research period is from January 2013 to December 2022, including the US-China trade war, the COVID-19 epidemic, and the Russia-Ukraine war, which may cause structural changes. Therefore, the Fourier function for dealing with structural changes is added to the research model in this study. This study uses the Panel Data structure to increase the degree of freedom and reduce the collinearity between explanatory variables, so as to make the point estimation more consistent. After a rigorous empirical process, the following conclusions were obtained:The revenue growth rate and stock returns of 23 high market value of electronic companies had been affected by events such as the US-China trade war, COVID-19 epidemic, and the Russia-Ukraine war, which might cause structural changes. In an empirical study by bootstrap panel Granger causality test with Fourier function, the stock returns of TSMC, Novatek, Yageo, and Lite-On had a one-way causal relationship from stock returns to revenue growth rate, while Realtek, Nanya Technology, Lotes, Nan Ya PCB, Compal, ASUS, MSI, and Pegatron had a one-way causal relationship from revenue growth rate to stock returns. To sum up, the revenue growth rates of many high-market-value of electronic companies had a more significant impact on stock returns.
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