| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 102 === This study aims to investigate the influence of government’s relevant policies on solar photovoltaic industry value in recent years and to set up a virtual variable to detect “Green New Deal” promoted by the government on Apr. 2009 after controlling interference factors of oil price. The interest rate of three months and ten years are also considered in empirical model. Sample data taken from Taiwan Economic Journal (TEJ) and Datastream database system and photovoltaic industry index compiled by Taiwan Stock Exchange (TSE) to be used as proxy variables. The period for sample was from July 2, 2007 to May 7, 2014.
This study adopts the different models as GARCH model, GARCH-Dummy model, GARCH-Jump-Dummy model and GARCH-Jump-Dummy-ICSS model. In addition, to effectively capture the problem of change point in multiple-structure that may be existed in sequence of returns, this study uses ICSS method to examine break points. The results indicate ten structural change points and the growth of oil price has positive influence. It states that the increase in oil price will drive the market to seek for energy saving products and the demand of emerging energy. This pushes the performance of share price in photovoltaic industry. Furthermore, because domestic photovoltaic industry is mostly export orientation, the pressure of US dollar appreciation will be risen when U.S. government bond yield increases, and promote export growth in solar photovoltaic industry. Consequently, investors conducting investment decision-making should consider the influence of structural changes on model fitting.
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