通膨與臺灣半導體產業股價報酬率關係之探討

Abstract

疫情後的嚴峻經濟環境下，通膨及美國聯準會貨幣政策仍是全球關注的議題。故本研究欲探討美國預期通膨率對臺灣半導體產業的影響程度，及進一步分析臺灣預期通膨率、匯率、景氣循環指數和臺灣半導體指數、櫃買半導體指數及主要公司台積電、聯發科、聯電股價報酬率關聯性。本研究採用OLS 模型和 Panel Data 模型，研究期間為2008 ~ 2022年，並運用月資料進行迴歸分析。實證分析結果如下： (1) 臺灣半導體指數報酬率、櫃買半導體指數報酬率及主要公司台積電、聯發科、聯電股價報酬率與臺股大盤走勢有顯著正相關。 (2) 臺灣半導體指數以衡量臺灣上市市場半導體產業類股整體績效表現。臺灣半導體指數報酬率與預期通膨率無顯著相關性、與新臺幣兌換美元之匯率呈顯著負相關性，而與景氣循環指數有正相關性。 (3) 櫃買半導體指數以中小型企業、新創公司等為主。其股價報酬率與美國預期通膨及景氣循環指數無顯著相關性，而與臺灣預期通膨率呈趨近負相關性、新臺幣兌換美元之匯率為顯著負相關性。此外，觀察COVID-19期間，其股價報酬率與預期通膨率、新臺幣兌換美元之匯率及景氣循環指數則無顯著相關性。 (4) 主要半導體業公司以台積電、聯發科、聯電作為主要觀察對象，其股價報酬率與美國預期通膨無顯著相關性、與臺灣預期通膨則呈負相關性，而與新臺幣兌換美元之匯率、景氣循環指數分別有顯著負、正相關性。但於COVID-19期間，其股價報酬率與美國預期通膨呈現負相關性、與臺灣預期通膨無顯著相關性。

In the challenging economic environment following the pandemic, inflation and the monetary policy of the U.S. Federal Reserve remain globally significant issues. Therefore, this study aims to investigate the impact of the U.S. expected inflation rate on Taiwan's semiconductor industry and further analyze the correlations between Taiwan's expected inflation rate, exchange rate, business cycle index, and the Taiwan Semiconductor Index of Taiwan Stock Exchange, the Taiwan Semiconductor Index of Taipei Exchange, as well as the stock returns of major companies such as TSMC, MediaTek, and UMC. The study utilizes OLS (Ordinary Least Squares) and Panel Data models, covering the period from 2008 to 2022, with monthly data for regression analysis. The empirical analysis results are as follows: （1）The returns of the Taiwan Semiconductor Index of Taiwan Stock Exchange, the Taiwan Semiconductor Index of Taipei Exchange, and the stock returns of major companies, including TSMC, MediaTek, and UMC, exhibit a significant positive correlation with the overall trend of the Taiwan stock market. （2）The Taiwan Semiconductor Index of Taiwan Stock Exchange serves as a measure of the overall performance of the semiconductor industry in Taiwan's listed market. The return of the Taiwan Semiconductor Index shows no significant correlation with the expected inflation rate but demonstrates a significant negative correlation with the exchange rate between the New Taiwan Dollar and the U.S. Dollar, and a positive correlation with the business cycle index. （3）The Taiwan Semiconductor Index of Taipei Exchange primarily consists of small and medium-sized enterprises and startups. The stock returns of these companies show no significant correlation with the U.S. expected inflation and the business cycle index. However, there is an approaching negative correlation with Taiwan's expected inflation rate, and a significant negative correlation with the exchange rate between the New Taiwan Dollar and the U.S. Dollar. Additionally, during the COVID-19 period, there is no significant correlation observed with stock returns, expected inflation rate, exchange rate, and the business cycle index. （4）Major semiconductor companies, such as TSMC, MediaTek, and UMC, are the main focus. The stock returns of these companies show no significant correlation with the U.S. expected inflation rate, a negative correlation with Taiwan's expected inflation rate, and significant negative and positive correlations with the exchange rate between the New Taiwan Dollar and the U.S. Dollar and the business cycle index, respectively. However, during the COVID-19 period, there is a negative correlation with the U.S. expected inflation rate and no significant correlation with Taiwan's expected inflation rate.