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-

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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。一、在網路泡沫化前期，半導體產業相互間之股價報酬，影響程度非常明顯，且從中可看出中游為股價領導廠商。但在波動外溢程度方面，除中游會受上游影響外，其他皆不明顯。訊息不對稱方面，僅上游較不顯著。二、在網路泡沫化後期，股價報酬間僅剩中游為領導廠商。然波動外溢方面，彼此間影響劇烈，上中游為相互影響，而下游則是僅受到中游及自身影響。因此，亦可得知，中游為波動外溢之領導者。最後，各游均具有波動不對稱現象存在。三、經前後期比較發現，中游不論在前後期均為領導廠商。在後期研究，各游間的波動外溢敏感度提升，代表各游若有訊息揭露容易影響到各自所屬下游產業，造成所屬下游波動度提高，原因在於半導體產業訊息已能被投資人分類解讀及外資近年在台股半導體投資比重提升，所做的研究分析數據容易被解釋為產業好壞指標，進而影響了自身產業及其下游產業。此外，不論是在前後期，均可發現壞消息所導致的波動程度遠大於好消息的影響。 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:	[Graduate Institute & Department of Banking and Finance] Thesis

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