TFT-LCD Industry Analysis and Connected Relationship of Stock Price for Taiwan and China Stock Market

• Main Authors: Tzu-Hsuan Peng, 彭子軒
• Other Authors: Po-Sheng Ko
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/61066392678668124748

碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 97 === Nowadays where relations across the Taiwan Strait have become more transparent, the Thin Film Transistor Liquid Crystal Display (TFT-LCD) industry, fostered by the Taiwanese government, is gradually starting to set up plants within the Chinese markets for production and fabrication. This resulted in a heavy impact toward the local TFT-LCD industry in China. Not only the relevant core technological skills may bring about concern, but also greater competition and cooperation may occur. Therefore, our research attempts to first determine the orientation of the Taiwanese TFT-LCD industry with a Five Forces Analysis. We then extract historical stock prices of relevant corporations selected from the Taiwanese and the Chinese markets as our sample set, which is further examined by applying statistical methods, namely the Unit Root Test, the Co-integration Test, the Granger Causality, and the Forecast Error Variance Decomposition, to find out the stock-price correlation among the two TFT-LCD industries and forecast probable leading indicators. The period of our investigation is from March 31, 2006 to April 1, 2009. Empirical results suggest that, from a Johansen Maximum Likelihood Test, co-integration exists within the stock prices from the two TFT-LCD industries, which implies a long-term equilibrium relationship within the stock-indices of the Taiwanese and the Chinese TFT-LCD industry. By applying a Granger Causality test, we also find that the Taiwanese TFT-LCD industry stock index leads the Chinese TFT-LCD industry stock index. Furthermore, with an error correction model, it is found that when there exists short-term deviations between the two indexes, they will adjust to their long-term equilibrium. Finally, from a Forecast Error Variance Decomposition we know that the volatilities of both TFT-LCD industry stock indexes are mainly influenced by their own variations, which indicates strong independence.