美國央行的貨幣政策對台灣股市的影響－以台積電為例

Abstract

本論文研究美國貨幣政策自2001年對東亞七個國家與地區(包含中國、日本、南韓、台灣、新加坡、香港與泰國)股市指數的影響，在這22年的三段期間(2001-2007、2007-2015、2015-2022)與兩種傳送管道(主要利率與S & P 500)所造成的外溢影響下，台灣是唯一皆有顯著性的國家。 接著分析為何台灣股市持續受到美國央行貨幣政策影響的可能國家因素，而得到以下結論：1) 透過外資在股市買超的資本流入扮演關鍵的因素；2) 對台灣股市最大的權值公司-台積電的買超扮演關鍵因素，尤其在2012年後；3) 台積電的股價與主要美國客戶(如Apple、Nvidia與AMD)的股價持續高度關聯；4) 台積電與在美國掛牌的存託憑證的股價也有高度關聯；5) 貿易網路的影響似乎並不明顯。 論文並且用南韓股市(市值與台灣接近並且科技業也是最大權值產業)與三星電子(南韓股市最大權值公司並以半導體營收與獲利為主)做進一步的分析與比較。

The thesis studies spillover impacts of FED monetary policy to stock markets in seven East Asian countries and region (including China, Japan, South Korea, Taiwan, Singapore, Hong Kong, and Thailand) since 2001, while Taiwan is the only country, whose market has the significant correlation with both of two different channels (US major interest rate index and S&P 500) through three time periods (2001-2007, 2007-2015, and 2015-2022). In addition, the research analyzes the possible country factors, which have caused spillover impacts of FED monetary policy to Taiwan’s stock market. The conclusions are following: 1) Foreign buying on Taiwan’s stock market via capital flows played an important role. 2) TSMC also played a critical role for capital flows into Taiwan as its foreign buying amount accounted for about 40% of total Taiwan market annually after 2012. 3) TSMC’s share prices had the significant correlation with its major customers (such as Apple, Nvidia, and AMD) in the US. 4) The cross-country listings of TSMC in both Taiwan and the US seem to have brought impacts. 5) However, impacts of trade network seem less obvious. The analysis also includes the comparison of South Korea (given its similar market capitalization size and high weighting on the technology sector) and Samsung Electronics (as the largest market-weighted company in South Korea, with the high contributions from the semiconductor sector) with Taiwan and TSMC.