A Study on the Relationships between Stock Prices and Volatility Spillovers of the Semiconductor Industry：Pre- and Post-crash Analysis of the Bubble Internet

• Main Authors: Hsin-Hong Chou, 周信宏
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/32128677483322067932

碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === By applying extended multivariate EGARCH model, we find the difference between pre- and post-crash of the bubble internet. In the pre-crash period, empirical estimation reveals the interactions of return among the upper、middle and lower stream of semiconductor, but volatility spillovers are insignificant. However, volatility spillovers are more significant in the post-crash. It means stock prices which were affected by information to be more sensitive than past. The reason may be due to the size of semiconductor industry is more and more integrity ; investors understand to distinguish the difference among the upper、middle and lower stream of semiconductor. Besides, industry reports become more important than past. Compare pre- with post-crash era, middle is a leader semiconductor industry in two periods. It represents middle industry to be more important than upper and lower. Finally, the volatility transmission is asymmetric except for upper in the pre-crash era. The bad news always makes bigger volatility of stock prices than good news. Therefore, the investors should be more careful about the industry news when making investment decisions.