國際原物料價格與股價關係之探討──以不鏽鋼產業為例

A Study of the Relationship between International Raw Material Price and the Stock Price-An Example of Stainless Steel Industry

臺灣原物料短缺。因此，生產不銹鋼所需之廢鐵、鎳、鉻等原料都需要進口，本研究主要是實證探討不銹鋼國際原物料價格與中鋼、華新麗華、千興、唐榮、榮剛、燁聯等六家公司股價間的連動性、關聯性及其長短期之關係，經由單根檢定、共整合檢定（長期）、短期的向量誤差修正模型（VECM）及向量自我迴歸模型（VAR）檢定及Granger因果關係檢定等方法來實證國際原物料價格與股價是否有關聯及因果關係。本研究採用週資料，研究期間為2003年1月至2007年12月，實證結果發現：（1）上述六家不銹鋼廠商股價及三種國際原物料價格都無法拒絕存在單根之虛無假設，表示原始數列為非定態數列，即各不銹鋼廠商股價及三種國際原物料價格均符合弱式效率市場之假說，呈現隨機漫步的狀況，投資人無法以技術分析獲取超額報酬；（2）股價與各國際原物料價格間的短期互動關係，由VECM及VAR模型檢定中發現，股價與國際原物料價格間，其間的短期互動關係皆有明顯的影響趨勢。鎳價對於不銹鋼業的股價較無明顯的影響作用，廢鐵價格及鉻價格對於不銹鋼廠商而言，對其股價的影響甚大；（3）在共整合檢定結果中顯示，在六組的序列檢定中，只有榮剛這一組顯示其在長期下有均衡關係，也就是長期而言，榮剛股價受原物料價格波動而造成股價波動的影響將漸趨縮小，開始走向股價及原物料價格共移的情形，而趨於均衡；及（4）由Granger因果關係檢定發現，鉻價格對於榮剛股價有領先指標作用，對於華新麗華的股價而言，它是個落後指標，華新麗華的價格領先鉻價格反應在前。關於鎳價格的部份，只有對千興股價而言有影響作用，也就是為千興股價的領先指標，但對於其他五家廠商的股價是完全互不相關的。最後，對於廢鐵的價格部份，其為唐榮、榮剛、華新麗華三家股價的領先指標。

This research uses Unit Root Test and Cointegration Test to examine the long-term equilibrium relationship, it also uses VECM, VAR model and Granger Causality Test to examine the short term dynamic relationship between the stock prices of six stainless steel industry related companies such as: China Steel Corp., Walsin Lihwa Corp., Chien Shing Stainless Steel Co., Tangeng Iron Works Co. Ltd., Gloria Material Technology Corp. and Yieh United Steel Corp. and stainless steel raw material, for example, scrap iron, nickel and chrome. This research adapts weekly data and research time spans from January 2003 to December 2007. The results of this research are as following: (1) The stock prices and international raw material prices are nonstationary time series; (2) From VECM and VAR model, there is a short term interaction between stock prices and international raw material prices. The prices of scrap iron and chrome have significant effects on the stock price; the price of nickel only has minor effect on the stock price; (3) Cointegration Test shows that only the stock price of Gloria Material Technology Corp. and three raw material prices are cointegrated. There is a long-term relationship among the four variables; and (4) Granger Causality Test shows that chrome price is ahead of the stock price of Gloria Material Technology Corp., but the stock price of Walsin Lihwa Corp. is ahead of chrome price. Nickel price is ahead of the stock price of Chien Shing Stainless Steel Co., but it has no causal relationship obviously with the other five companies. Finally, scrap iron price is ahead of the stock prices of Tangeng Iron Works Co. Ltd., Gloria Material Technology Corp. and Walsin Lihwa Corp.