台灣半導體上、中、下游產業股價指數之連動性探討

The purpose of this study is to examine the interrelationships among the stock indexes of the upper, middle and lower stream of IC industry in Taiwan by using time series method. The results found that there is no long-term equilibrium relationship among the upper, middle and lower stream of IC industry in Taiwan. In the short-term, IC design and IC packaging industries have been influenced by all industries except manufacturing industry. From the causality test, there are no lead-lag relationship among the IC design, packaging and manufacturing industries. The empirical results of impulse response functions and variance decompositions point out that, comparing those IC industries, there is stronger sudden impulse to the exogenous in IC manufacturing industry. On the other hand, there are less and shorter impact of the exogenous disturbance in IC design and packaging industries.