| Summary: | 碩士 === 國立臺北大學 === 統計學系 === 96 === As regarding to the correlative study between Taiwan stock market and American stock market in the past, the inspected result indicated that the first one which owned the great authority was Dow Jones Industrial Average Index. The second one was NASDAQ index or PHLX Semiconductor Index; and mostly the correlation between them was single correlation.
However, by following the transition of industries, electronics industry turns into main industry in Taiwan, especially Taiwan becomes a place of strategic importance in OEM for worldwide electronic technology industries. In the field of wafer foundry, Taiwan occupies the most important position particularly. The leading position of TSMC naturally becomes the investing target for most people. These years, PHLX Semiconductor Index is getting more and more important. It subsumes TSMC, the only selected ASIA semiconductor factory, to the constituent stocks of nineteen great semiconductor factories.
To investigate the correlation ( ahead or fall behind) among PHLX Semiconductor stock market, Taiwan stock market and TSMC, and analyze the dynamic and mutual relation for finding reference opinions of investment policy, the first thing is to carry out Unit Root test for rate of return sequence. After confirming the steady state, the study will use Granger Causal Relations to test it. Next, use the stock to carry out co-integration analysis and error-correction model to test the long-term and short-term relation structure among sequences.
The study started from 2003.6.24 to 2008.2.12 with 1111 daily data. The conclusion of the experimental study is generalized as follows:
1.We find that the influence of PHLX Semiconductor Index to TSMC stock is stronger than Taiwan stock index. That is, the result is remarkable no matter in Granger Causal Relations, co-integration test and error-correction model. In addition, the relation between the rate of return for PHLX Semiconductor Index and rate of return for Taiwan Weighted Stock Index also is remarkable by using Granger Causal Relations test.
2.In co-integration test, we find that long-term equilibrium relationship existed among PHLX Semiconductor Index, Taiwan Weighted Stock Index and TSMC Stock. Next, comparing all of them with co-integration test, two by two, PHLX Semiconductor Index & TSMC Stock and Taiwan Weighted Stock Index and TSMC Stock exist long-term equilibrium relationship. Investors can use one of the sequence data to predict another one. However, there is no co-integration between PHLX Semiconductor Index and Taiwan Weighted Stock Index. It might be influence by Moore's Law in semiconductor industries and caused the significant fluctuation of PHLX Semiconductor Index.
3.From the error-correction model, we can know both PHLX Semiconductor Index and TSMC stocks are influenced by previous stage. Not only they have short-term and long-term correlations, but also both sequences will interact for each other. For Taiwan Weighted Stock Index and TSMC Stock, however, only the previous four stages of TSMC Stock would influence Taiwan Weighted Stock Index. When we use cross variable to explain the variable at that stage for the previous one to four stages, we can find that the result is not remarkable.
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