| Summary: | 碩士 === 開南管理學院 === 企業管理研究所 === 93 === Taiwan, Japan, and South Korea are the major suppliers of the TFT-LCD panel. In 2001 , the TFT-LCD rises to become a star industry and starts the investment up surge. Its stock price receives the investor's attention. All lying in East Asia, being similar in cultural background as well as in the process of economic development, and being the top three countries from which products of the TFT-LCD panel industry are exported, Taiwan, Japan, and South Korea have been closely associated. With increasing global demand and the investment weights continuously added by international investors on the TFT-LCD panel industry, it is necessary to explore the stock piece gearing correlation for this industry in the three countries.
Both domestic and overseas researchers have studied on transnational stock market by utilizing methods such as the Cointegration Test, the Error Correction Model (ECM), and the Vector Auto Regression (VAR) Model. However, the price gearing correlation research done previously was primarily based on the overall stock market or the sector indexes. Seldom did they focus their studies on specific companies of certain industries. Moreover, TFT-LCD belongs to the industry that has just emerged in the recent three years. That’s the reason for rare access. Furthermore, the previous studies were concentrated either on semiconductor industry or on the overall stock market, which related much to the situation in the U.S.A. While the TFT-LCD panel industry differs from semiconductor industry mostly in the fact that, in the world, there are only three countries, Taiwan, Japan, South Korea, devoting themselves in the activities of research, production and export of the TFT-LCD panel products.
Therefore this research utilizes method of the Cointegration Test , the ECM ,and the VAR Model ,to study the transnational conformity of the TFT-LCD panel industry of Taiwan, Japan, and the South Korea. The research period is from 2001/10/31 to 2004/12/1, 698 daily data was calculated. The discovery of Taiwan, Japan and South Korea's TFT-LCD panel industry stock price through the diagnosis is :
1. By the Johansen Maximum Likelihood Test, it is discovered that these three has the conformity relations.
2. By the Error Correction Model, it is discovered that when these three has the short-term deviation, all will adjust to its long-term balanced condition.
3. By the Granger Causality Test, it is discovered that Japan leads Taiwan unidirectionally. The Granger Causality Test also shows that there are feedback relations between Taiwan and South Korea.
4. By the Impulse Response Function Analysis, it is discovered that Taiwan and South Korea have a similar response to Japan's impact condition.
5. By the Forecasting Error Variance Decomposition, it is discovered that the undulation of Taiwan and the South Korea are mainly influenced by the variation of Japan.
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