A Study on the Relationship between the Stock Price of Taiwan Semiconductor Industry and U.S. Semiconductor Industry-Evidence on the Taiwan DRAM Industry

• Main Authors: Wang, Chao-Chin, 王兆勤
• Other Authors: Jung-Hui, Liang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/63931444973216217693

碩士 === 中國文化大學 === 國際貿易學系碩士班 === 94 === The purpose of this research is to discuss the relationship between the stock price of five Taiwan DRAM companies of the world top ten Chart: PSC, NTC, PROMOS, WINBOND, ESMT and B/B Ratio. This research using three applications of the Vector Autoregression Model: Granger Causality Test, Impulse-Response Function, Forecast Error Variance Decomposition and the Cointergrating Test as a tool to find out the relationship between stock price of Taiwan Dram companies and B/B Ratio. The research shows that B/B Ratio moves in the same direction with the stock price of Taiwan DRAM companies in the long-run, in other words, there is a long-run equilibrium correlation between stock price of Taiwan Dram companies and B/B Ratio. But it is ineffective using B/B Ratio as a leading indicator of the stock price of Taiwan Dram companies. It needs further research to find a substitute variable of B/B Ratio.