俄烏戰爭之股價異常報酬分析－重建概念股之實證

本研究透過事件研究法，以俄烏戰爭事件來探討國際間之戰事是否會造成台灣重建概念產業類股出現股價的異常報酬以及是否存在訊息提前傳遞之情形，進而分析投資人的持續關注強度。由平均異常報酬率檢定結果顯示，除了在事件日前的第三到第五連續三個交易日呈現正向顯著水準外，事件日後第一個交易日起亦連續四個交易日均達1%極為顯著水準，顯示俄烏全面戰爭事件的確讓投資人對台灣重建概念股產生了「大砲一響黃金萬兩」的追價正向反應。而累積平均異常報酬率檢定結果則顯示，雖然俄烏雙方跟歐洲各國皆謂無暴發戰爭之虞，但事件日前第三個交易日，台灣重建概念股投資人的投資行為即已和英美兩國政府一致確認戰事必現。

關鍵字

俄烏戰爭；事件研究法；異常報酬；重建概念股

並列摘要

This study employs event study method to investigate whether international conflicts, such as the Russo-Ukrainian War, lead to abnormal returns in Taiwan's reconstruction concept stocks and whether there is evidence of information leakage. Additionally, it analyzes the sustained attention of investors. The average abnormal return test results indicate that, apart from showing statistical significance in trading day 3 to day 5 consecutively prior to the event day, there are also extreme significance of p-value 1% for the first four consecutive trading days after the event day. This suggests that the Russo-Ukrainian full-scale war event indeed prompted investors to exhibit a positive price response in Taiwan's reconstruction concept stocks, making big profits from war spoils. Furthermore, the cumulative average abnormal return test results indicate that although both Russia and Ukraine, along with European countries, claimed that there was no imminent outbreak of war, investors in Taiwan's reconstruction concept stocks had already aligned their investment behavior with the war confirmation from the governments of the United Kingdom and the United States three trading days before the event day.