探討中國半導體供應鏈上中下游股價之波動外溢效果

Abstract

自中美科技戰爆發以來，美國制裁了包括華為和中芯國際在內的多家中國半導體公司以阻止其在該產業的發展，對中國半導體產業產生巨大影響。中國政府也採取多項政策以扶持半導體產業的國產化。因應經濟事件的發生和一系列政策的出台，中國半導體產業股票發生巨大波動。本研究以該研究背景出發，欲從產業的角度探討中國半導體產業鏈（上游對中游、中游對下游）股價波動關係。本研究運用GARCH-MIDAS模型實證分析2016年11月1日至2021年3月25日中國半導體產業鏈之外溢效果。全樣本期間涵蓋中美科技戰與COVID-19兩個事件。本研究蒐集八家IC設計公司、兩家晶圓代工公司以及三家封裝測試廠共十三家半導體上市公司股票收盤價數據，並根據公司年度報表的「業務概要」裡公司目前能實現的工藝技術依據半導體製程構建中國半導體供應鏈。根據GARCH-MIDAS模型實證結果顯示，在中美科技戰期間，大部分IC設計公司的已實現波動會對中游晶圓代工公司產生長期正向的波動外溢效果；中游晶圓代工廠的低頻報酬率波動會對下游封裝測試廠商產生負向的波動外溢效果。上述證實了半導體垂直供應鏈之間存在股價波動外溢效果，因此當投資人在做投資組合時，應考慮到半導體產業投資標的之間的長期波動關係，以便進行相應套利和避險的舉措。

Since the outbreak of the US-China scientific and technological war, the United States has imposed sanctions on several Chinese semiconductor companies, including Huawei and SMIC, preventing their development in the industry. It has had a huge impact on the Chinese semiconductor industry. Due to the occurrence of US-China scientific and technological war and a series of Chinese government’s policies, the stock price of China`s semiconductor industry fluctuated greatly. The purpose of this paper is to explore the fluctuation among various segments of China`s semiconductor industry chain (upstream to midstream and midstream to downstream) from the perspective of industry. This study collected the data from November 1, 2016 to March 25, 2021 and applied GARCH-MIDAS model to analyze the spillover effects of semiconductor industry chain. In this study, we collect the closing price of 13 listed Semiconductor Companies from eight IC design companies, two wafer foundry companies and three Assembly and testing companies, and build a Chinese semiconductor supply chain based on the current technology that the companies can be achieved in the annual report of the company. Based on the GARCH-MIDAS model, the empirical results show that most of the IC design companies’ fluctuations will have significantly positive volatility spillover effects on wafer foundry companies in the long term during the US-China scientific and technological war. Low-frequency fluctuations in the Assembly and testing companies will have significantly negative fluctuation spillover effects on Assembly and testing companies in the long term. The results confirm the spillover effect of stock price fluctuations within vertical semiconductor supply chains. Therefore, when making a portfolio, investors should consider the long-term fluctuation relationship among different links of semiconductor industry for the purpose of making appropriate arbitrage and hedge measures.