| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 105 === There are many paper study at linkage of stock price and stock index, nevertheless, there are just few study put attention on the linkage of industry stock prices. With the opening of the economy regulation and growing of technique, China semiconductor industry gradually had market influence. It is not just because of itself growing energy, but funding by China’s government. Hence, this thesis studies the relationship between China’s and Taiwan’s semiconductor stock index and analyzes their relation. This study starts from 2014/1/1 to 2015/12/31, with 460 daily stock prices. Granger casualty test shows that China semiconductor index had Granger leading relation among Taiwan semiconductor index. In the vector autoregression (VAR) model, we find that Taiwan semiconductor index was influenced by China semiconductor index lag forth and first value. However, the Taiwan semiconductor stock price index is mainly affected by itself than by the China semiconductor index by observing impulse response graph.
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