LCD產業之股價與面板價格關聯性之研究

Abstract

LCD產業在股票投資領域裡，其重要性已不亞於晶圓代工、DRAM等，且受到日、韓與台灣間的激烈競爭，競相投資設廠提高產量、降低成本，致其面板價格長期處於降價聲浪中，偶有漲價亦都僅是短暫現象，這種情形與DRAM的顆粒報價及一般電子科技產品的價格長期都處於降價趨勢中頗為雷同。但其相關上市、櫃掛牌公司(台灣與日、韓等面板公司)之股價，也會有波動、漲跌，其股價性質已極類似於景氣循環股。故本研究想藉由台、日、韓三國合計八家上市的LCD公司股價組合成一個代表面板產業的加權平均指數(以MCI稱之)並結合過去二年期間的面板價格變化，藉由時間序列分析方法，探討LCD產業之股價與面板價格之間的關連性為何? 研究結果顯示： (一) 代表LCD產業股價的MCI(含平均股價與收盤價)與代表LCD基本面的面板價格間具有長期穩定的均衡關係。 (二) MCI平均股價明顯領先面板價格漲跌而提前反應，亦即MCI平均股價對面板價格具有預測能力；而MCI單日收盤價對面板價格之變化較不具明顯領先反應跡象。 (三) 無論是MCI平均股價或單日收盤價，對面板價格之衝擊皆為正向反應，只不過MCI平均股價的衝擊反應大於單日收盤價之衝擊反應。 (四) LCD產業股價對面板價格變動的解釋能力隨著時間的延續，其解釋程度愈高。惟MCI平均股價對面板價格漲跌的解釋能力高於MCI當日收盤價的解釋能力。

The importance of LCD industry has been not less than that of foundry and DRAM industries in the stock market. Due to the keen competition among Japan, Korea and Taiwan, all manufacturers have been built up more factories to enlarge the output and lower the cost, that has resulted in a down-trend for the panel price in the long term . Even there was some price going up occasionally, it is only short-term phenomena. Such price down-trend in the long term is very similar to that of DRAM and electronic product. The stock price of the relevant listed companies of LCD industry has been going up and down,the type of price fluctuation is quite similar to that of the cyclic stocks. This thesis is trying to find out the relationship between the LCD industrial index and panel-price, which makes use of the weighted index of the eight listed LCD panel companies’ stock prices in Japan, Korea and Taiwan(called as MCI), linked with the panel-price fluctuation in the past two years, by means of Time Series Analysis.

The empirical results reveal as follows:

1. There is a long-term equilibrium relationship between the MCI(either industrial average index or industrial closed index) and LCD panel-price. 2. The fluctuation of average MCI is significantly leading the variation of panel-price, which means the average MCI has LCD panel-price prediction power. However,the leading position of the closed MCI to panel-price's fluctuation is insignificant. 3. The impulse response of either average MCI or closed MCI to LCD panel-price is positive.But the impulse response of the former is greater than that of the latter. 4. The longer the period extends, the better decompostion degree of LCD industrial index to fluctuation of panel-price. But, the decompostion degree of average MCI to fluctuatin of panel-price is better than that of closed MCI.