A Study on the Interrelationships among the Stock Prices of Major Semiconductor Companies in Taiwan, USA and Japan

• Main Authors: Hsuan-Lun Chen, 陳萱倫
• Other Authors: Hsin-Hong Kang
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/39412634326006525922

碩士 === 國立成功大學 === 企業管理學系 === 90 === The purpose of this study is to examine the interrelationships among the stock prices of major semiconductor companies in Taiwan, the USA and Japan. It employs the unit root test; a test for cointegration and an error correction model (ECM) to analyze the interrelations among these three stock markets by examining the daily closing stock prices from September 1, 1998 to April 30, 2001. We suggest that international market efficiency and diversification effectiveness can be explained among major semiconductor companies’ stock prices in Taiwan, the USA and Japan. By using the unit root test, we find that all semiconductor company stock prices in Taiwan, the USA, and Japan conform to weak-form market efficient market hypothesis. Beside the cointegration test for TSMC and Wong-Houng’s common stock prices and its ADRs, each pair of stock price variables conform to semi-strong form market efficient hypothesis. Results from the ECM indicate that even if there are different time zones between Taiwan and the USA, the information transfer is quite efficient.