| 摘要: | 有鑑於近年來國際間經濟情勢起伏大，台灣是全球的一份子，在面臨出口、消費、投資、信心及失業率提高，經濟動能有限下，經濟成長下滑，股價下跌，勢必會影響產業、公司經營與投資人的信心。本文運用事件研究法中的市場模式，分析兩大國際重要事件（次貸、歐債）對台灣營建與金融類股是否產生異常報酬，進而分析兩者之間資訊宣告產生的連動關係。資料取自台灣經濟新報資料庫，次貸事件宣告日以2008年9月15日雷曼宣告破產；而歐債事件宣告日以2009年10月20日，希臘政府宣布當年財政赤字佔國內生產總值的比例將超過12%，遠高於歐盟設定的3%上限消息，兩者都取事件宣告日前後15日作為事件期。
實證後分析顯示，次貸和歐債在事件宣告當日都呈現利空消息，衝擊股價。兩事件宣告後，在觀察兩產業從事件期間來看都具有顯著的平均異常報酬，次貸下對投資人呈現負的財富效果；但歐債下有不同的財富效果。另外，5%顯著水準下、宣告日當日平均異常報酬率、及周短線指標，次貸事件下營建股比金融股具領先關係。而歐債事件下，金融類股比營建類股較具領先關係。
In view of rise and fall of international economic situation during the recent years, Taiwan is one of the members in the world, it shall face fall in export, consumption, investment, confidence and raise of employment rate., however , subject to limitation of economic power, both of downturn of economic growth and fall in stock price that will certainly affect industry, company operating & management, and investor’s confidence. This study applies the market model in Event Study to analyze two major international import events (subprime mortgage crisis , European sovereign debt crisis) whether to generate the abnormal return related to the category of Taiwan construction stock and financial stock, and further to analyze the interactive relations generated from information declaration between both. The data in this study was came from the database of Taiwan Economic Journal, the date of declaration of subprime mortgage crisis was based on the date that Lehman Brothers declared bankruptcy on September 15, 2008, the date of declaration of European sovereign debt crisis was based on the date that Greek government declared the financial deficit of the current year occupied over 12% of GDP (Gross Domestic Product), it was far higher than 3% of upper limit set by European Community, both took 15 days before and after the date of declaration as the event period.
After demonstration, the analysis shows that on the current date of event declared subprime mortgage crisis and European sovereign debt crisis , which appeared bad news and impacted stock price immediately. After declaration of both events, observed both industries during the period of event, both had significant mean abnormal return, especially, All the investors appeared a negative wealth effect under subprime mortgage crisis, however, under European sovereign debt crisis, it had different wealth effect. In addition, based on 5% of remarkable level, on the current date of declaration, the mean abnormal return rate and weekly short term index that caused construction stock having leading relations than financial sector under the event of subprime mortgage crisis. However, under European sovereign debt crisis , that caused financial stock having leading relations than construction sector. |
