近年來，全球半導體產業因與各個生產合作的國家緊密結合，增加其互動性，而台灣半導體產業因政策性之發展，形成重要的一環，導致吸引許多外資機構的投資。然而，相對外資機構、基金經理人與市場研究員對個股投資的需求上，渴望藉由產業鏈來探索公司股票，而非是透過國家別來尋找有力的個股，基於產業連動特性必會受到國際因素的影響，而興起本研究主題。
    本篇研究利用Panel Data檢測2004年1月到2009年12月間，306期週資料以研究三大國際要素(產業股價指數、國內外總體經濟變數與公司個別變數)和台灣半導體產業外資持股比例之間的關係。
    本研究採用固定效果作為模型，主要有三點發現。第一，三大國際因素皆有顯著影響外資持股比例，其分為正向與負向影響關係。第二，外資對台灣半導體公司的偏好程度不一致，高外資持股比例之公司擁有正係數，反之亦然，而高係數公司當中，意味著外資偏好知名度高、財務資訊透明的公司。第三，研究結果針對想要追隨外資投資策略之國內投資者與欲吸引國外機構投資的公司財務人員，具有重要之投資決策意涵。當研究所採用的變數變化時，國內投資者可事先調整投資組合，以因應外資在個股比例增減上所帶來的損益，並與外資一同創造利潤。

In recent years, the global semiconductor industry environment is accelerated because of increasing interaction to cooperative country, Taiwan play a important role in the industry so that it attracts investments from many foreign institutions. However, foreign institutions, fund managers and market analysts desire to explore company stocks through industry sector lens, rather than assess stocks country by country. Base on the Feature of industry co-reaction will influce by global factors, this paper start to research the topic.
  This paper examines the interrelationship between foreign factors (the stock indexes, macroeconomic variables and company factors) and foreign share holding in Taiwan semiconductor industry by the panel data from January 2004 to December 2009 including 306 weeks data. 
  The Fixed Effect Model is adopted as our methodology, the major findings of this study are as follows: First, three types of variable have significant influence on foreign share holding, they was divided into positive and negative sing. Second, the evidence suggests that the foreign institution’s preference for firms will be different. Firms of high share holding represent positive intercept and reverse direction will be negative, means foreign institution prefer these firms with famous and financial transparency. These findings might have important decision-making implication either for local investors who want to follow foreign institution investment’s strategy, or for firm’s financial managers who want to draw foreign institution’s attention to notice fluctuation of these variables, investors can change investment portfolio when these variables change and get the same decision with foreign institutions.

目錄    I
圖次	III
表次	IV
第一章 緒論	1
   第一節 研究背景與動機	1
   第二節 研究目的	4
   第三節  研究流程	5
第二章  文獻探討	6
   第一節 外資持股與股市波動關聯性	6
   第二節  影響股市報酬之國內外總體因素	10
   第三節 各國股市連動關係	16
   第四節 外資偏好之公司績效因素	20
第三章 研究方法	23
   第一節 研究假說之建立	23
   第二節 研究範圍	26
   第三節 研究架構	28
   第四節 變數定義	29
   第五節 分析方法	36
   第六節 研究模型	45
第四章 實證結果分析	47
   第一節 敘述性統計結果	47
   第二節 相關分析與共線性分析	49
   第三節 模型檢定與分析	52
第五章 結論與建議	58
   第一節 研究結論	58
   第二節 投資建議	60
   第三節 研究限制與後續研究	62
參考文獻	64
   附錄一、個別公司變數敘述統計	73

表次
表3-1 上市半導體公司 ........................................................................ 26
表3-2 本研究採用之半導體公司 ......................................................... 27
表3-3 美國費城半導體指數成分股 ..................................................... 31
表3-4 韓國半導體指數成分股 ............................................................ 32
表4-1 變數敘述統計量 ........................................................................ 48
表4-2 研究變數之相關係數表 ............................................................ 50
表4-3 研究變數共線性檢測結果 ......................................................... 51
表4-4 適用模型檢測結果 .................................................................... 52
表4-5 假說之驗證結果 ........................................................................ 53
表4-6 固定模型下自變數參數估計值與檢定結果 .............................. 56
表4-7 外資持股比重-個別公司係數 ................................................... 57


圖次
圖1-1 研究流程圖 ......................................... 5
圖3-1 研究架構圖 ........................................ 28
圖3-2 MSCI 台灣指數產業成分指數 .......................... 34
圖3-3 選定模式流程(本研究整理) .......................... 41

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