| Summary: | 碩士 === 實踐大學 === 企業管理研究所 === 89 === Notebook industry, belonging to information technology industry, is one of famous domestic industries, and it will keep growing in the future. Besides, information technology industry has replaced with finance industry to be a main sector in domestic stock market. Thus, this research is interested in studying the current situation of stock price of this industry. Nowadays, most Taiwan’s firms of notebook industry cooperate with American firms due to American firms is the leader in global market. Therefore, this research will specifically use VAR model to investigate the relationship of the stock price between foreign firms and domestic firms under different types of OEM contracts.
Conclusions of this research are shown as below:
1.The closer the OEM relationship, the more similar long-term trend the stock prices of foreign and OEM firms show.
2.According to Granger Causality test, most foreign firms show leading effect. Besides, foreign firms keep much closer relationship with its own contract firms than other cooperating firms. And, the level of depth and stability of the OEM relationship will affect the interaction of stock price each other.
3.In the aspect of Variance decomposition, this research found out the source of most variation of return rate comes from the explained part of itself and Taiwan Market Index, even in different OEM types. However, some variation still comes from the vibration of stock price of those foreign firms. Thus, we conclude that the vibration of stock price of foreign firms have some influence but cannot show explicit differences in explanation.
4.Most impulse response of return rate of domestic outsourcing manufacturers react from the return rate of itself and Taiwan Market Index. In addition, the impulse will react more and the accumulated impulse reaction will also be additive, while the foreign firms play an important role on the net sales or growing motivation of domestic firms. Furthermore, most Impulse response will delay due to the reactions usually don’t achieve the largest situation on the first period.
KEYWORDS:
Vector autoregressive model(VAR)
Stock price correlation
Granger causality test
Variance decomposition
Impulse response analysis
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