經濟因素與台塑企業月營收、股價關聯性之探討

Abstract

原油為塑化產業最上游原料，油價走勢將牽動整體塑化產業表現。一般來說，油價上漲促使塑化產業提高報價，在原先庫存原料成本較低情況下，將使產業利潤大幅提升，是以塑化產業股價會正向反應在油價變動上，然而長期持續高油價將會阻礙經濟成長並使塑化業成本提高而侵蝕利潤，因此塑化產業表現和油價間的互動關係值得探討。台塑為全台灣最大的民營企業，是以本文挑選台塑企業做為塑化產業分析標的，以西德州原油近期價、工業生產總指數、匯率、M1B 餘額及 法人持股比例為解釋變數。 研究架構上，由2000 年1 月至2010 年12 月樣本資料，以VAR 模型、Granger因果關係、衝擊反應函數、共整合檢定、誤差修正模型進行實證分析，由實證結果獲得重要結論如下:1.總體變數對台塑股價影響並不顯著且模型配適度低，此外，股價和月營收間並無相互影響之因果關係，亦即不符合盈餘資訊內涵臆說假設。法人持股比例對股價關聯性也不顯著，顯示出台塑股價在反應市場資訊上具有效 率性。2.根據共整合檢定，可以發現長期上股價和工業生產總指數以及M1b 貨幣餘額有顯著正相關。3.台塑股價顯著領先原油近期價且為正相關，隱含原油期貨價格訊息很容易被投資人掌握，是以原油近期價作為解釋變數並無預測功效。4.台塑月營收受自身落後一期顯著負向影響，顯示公司為平滑年度各月份營收，兩期之間亦產生負向影響關係。5.匯率對台塑股價與營收影響不顯著，顯示台塑企業在避險上操作使匯兌的利得和損失對營收影響不大。

Crude oil is the leading factor in plastics industry, whose performance is affected by oil price as well. In general, raising in oil price results in high plastic prices, and it leads to higher profit of the industry in the event of lower cost of the prior inventories. Consequently, the stock price of plastic industries often fluctuate according to the oil price, whereas high oil price would obstruct the economic growth and would make the cost of plastics industries higher and thus lower the profit. Hence, the relationship between the performance of plastics industry and oil price is worth discussing. In this paper, we employs the data from Formosa Plastics Co. as a benchmark to represent the plastics industry due to its income is one of most outstanding company in Taiwan, and we also employs some major macroeconomic factors such like west Texas Intermediate Crude oil future price, industrial production general index, exchange rate, M1B and the rate of share holdings of institutional investors as our explanatory variables. In this study, we collect data from January 2000 to December 2010, and proceed to our research by using VAR model, Granger causality, Impulse Response Function, Cointegration test, and Vector Error correlation model. The main results are as the following: According to the empirical results, we can draw a conclusion as the following: 1. The effect of macroeconomic variables on Formosa Plastics Co. stock price is statistically insignificant and the model with low fitting level. Furthermore, there is no cause-effect relationship between stock price and monthly sales, which does not consist with the assumption in the information content of earnings either. The relationship between the rate of share holdings of institutional investors and stock price is not statistically significant, which means the information that revealed by the stock price of Formosa Plastics Co. is efficient. 2. According to Cointegration Test, we can find stock price, industrial production general index and M1b significantly positive related in long term. 3. The stock price of Formosa Plastics Co. is leading Oil future price and has a positive effect on it as well. This implies that the information of oil future price is easily to be revealed to investors. Consequently, choosing oil future price as independent variable does not have effect on prediction. 4. The monthly sales in afterward period of Formosa Plastics Co. have negative effects on the monthly sales itself. It reveals that the monthly sales in the prior and afterward period have significant negative effects during smooth year. 5. The effect of exchange rate on Formosa Plastics Co. stock price and sales is insignificant. This shows the hedge that Formosa Plastics Co. operated made little effect on the profit or lost of exchange.