The Stock Dynamics between IC Foundry and IC Packaging & Testing Industries

[[abstract]]由於台灣在全球半導體產業中扮演著舉足輕重的角色，在產業分工上採用具有高效率的垂直整合分工。晶圓代工業與封裝測試業一直維持著上、下游的合作模式，是一個緊密的供應鏈關係，該產業的高產值與高獲利所造就的經濟波動高於其他產業，因此研究台灣半導體產業的動向亦即明瞭台灣經濟的脈動。 本研究聚焦到晶圓代工業及封裝測試業，研究台積電，聯電、日月光、矽品等四家公司股價相互的影響及互動關係。利用單根檢定、共整合檢定、誤差修正項與向量自我回歸模型找出四家公司的股價已不存在單根，為定態序列。再以Granger因果關係檢定發現四家公司的股價彼此間有相互影響，存在回饋效果。四家公司的股價存在共整合現象，亦即具有長期穩定的關係。矽品股價會領先台積電，聯電股價會領先矽品股價，日月光股價會領先矽品股價，存在單向的影響。由衝擊反應函數分析顯示，晶圓代工產業的變動相對於封測業的變動為大。封測業的波動影響為日月光大於矽品。晶圓代工業的波動影響為台積電大於聯電。[[abstract]]This study IC foundry and packaging & testing industries keep the cooperation with upstream and downstream model which is a very close supply chain These high profitable and productive industries also enjoyed a higher economical fluctuation than other industries These two industries contribute valuable firm investments to the development of Taiwan economy This study is focusing on the dynamics of two IC foundry firms and two packaging & testing firms they are “Taiwan Semiconductor Manufacturing Company TSMC” “United Microelectronics Corporation UMC” “Advanced Semiconductor Engineering Inc ASE” “Siliconware Precision Industries Co SPIL” Using unit-root test we find that the stock return of these four companies do exist unit-root They are stationary series Granger causality tests show that there exist feedback relations between these four companies show an interrelationship Evidence shows that the four stock prices are cointegrated From impulse response function analysis the fluctuation effect of foundry industry is higher than packaging & testing In packaging & testing the fluctuation effect of ASE is higher than SPIL And in foundry the fluctuation effect of TSMC is higher than UM