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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31604

    Title: 半導體產業股價相關暨波動外溢分析-網路泡沫化前後差異之探討-
    Other Titles: A study on the relationships between stock prices and volatility spillovers of the semiconductor industry - pre- and post-crash analysis of the bubble internet
    Authors: 周信宏;Chou, Hsin-hong
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-liang;吳佩珊;Wu, Pei-shan
    Keywords: 半導體;波動外溢;EGARCH;Semiconductor;Volatility Spillover
    Date: 2008
    Issue Date: 2010-01-11 01:02:14 (UTC+8)
    Abstract: 本文以Nelson(1991)所提出之EGARCH模型進行實證分析,並擴充至三變量EGARCH,由三組平均數方程式及條件變異數方程式進行參數估計,並由此模型探討在網路泡沫化前後個別上、中、下游彼此相互間之互動關係,並藉以瞭解前後兩時期之差別及其背後所代表的產業意義。實證結果大意如下。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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