台灣TFT-LCD產業上中下游股價之長期記憶、關聯性與波動外溢效果之研究：FIEC-HYGARCH模型之應用

A Study on the Long Memory, Interrelationships and Volatility Spillovers for Stock Price Indexes of Taiwanese TFT-LCD Upper, Middle, and Down Stream Industries: An Application of FIEC-HYGARCH Model

本文旨在探討台灣TFT-LCD產業上中下游股價之長期記憶、關聯性與波動外溢效果。基於此，本文建構FIEC-HYGARCH模型進行實證分析，樣本期間為2003年1月1日至2010年6月30日。實證結果證實FIEC-HYGARCH模型可正確捕捉長期記憶效果。台灣TFT-LCD面板產業上中下游股價指數報酬率具有自身外溢效果，TFT-LCD面板產業上中下游股價指數皆為非效率性，亦投資人可使用過去的資訊預測TFT-LCD面板產業上中下游股價指數報酬率。實證結果也顯示台灣TFT-LCD產業上游與中游及中游與下游股價指數具波動外溢效果，此隱含投資人購買台灣TFT-LCD上中下游產業股票時需考慮彼此間之外溢性。最後，條件變異之估計結果則顯現TFT-LCD面板產業股價指數報酬率於上中下游之間具動態關聯性。

The purpose of this study is to analyze the long memory, interrelationships and volatility spillovers for stock price indexes of Taiwanese TFT-LCD upper, middle and down stream industries. This study formulates a trivariate FIEC-HYGARCH Model. The sample period of this study extends from January 1, 2003 to June 30, 2010. The empirical results verify that the FIEC-HYGARCH model can be used to capture the effects of long memory. The rate of returns of TFT-LCD upper, middle, and down stream stock price indexes have their own-and cross-market mean spillover effects. These findings imply that the TFT-LCD panel market for each industry is not efficient in the sense that the rate of returns of the indexes for these industries could be predicted by using past information for the investors. The empirical results also reveal that the volatility spillover effects of the rate of returns among TFT-LCD upper, middle and downstream industries in Taiwan. Finally, as for the conditional covariance, the dynamic interrelationships were found to exist among the stock price indexes of these three TFT-LCD panel industries.