- 學位論文
ChatGPT與臺灣AI概念股之異常報酬研究
ChatGPT’s introduction and the abnormal returns of Taiwanese AI-themed stocks
摘要
本研究分別以ChatGPT 3.5發佈和ChatGPT 4.0版本更新作為事件日探討ChatGPT對臺灣AI相關產業的影響。利用臺灣經濟新報資料庫（TEJ）的數據，透過事件研究法分析前述事件對AI概念股的異常報酬以及其影響因素。根據2022年7月至2023年3月的樣本期間進行實證，結果發現，ChatGPT的發佈和更新對臺灣AI概念股產生了顯著的異常報酬。三大法人交易行為方面，在ChatGPT 3.5(4.0)事件下，外資(自營商)對AI概念股的異常報酬具有正向影響；投信在兩次事件日中對AI概念股的異常報酬皆表現出正向影響。此外，在公司基本面因素方面，ChatGPT 3.5事件中營運資金具有正向影響；在ChatGPT 4.0事件中公司系統性風險(市值)具有正(負)向影響。
並列摘要
This thesis aims to investigate the impact of ChatGPT on Taiwan's AI- themed stocks, using the release of ChatGPT 3.5 and the update of ChatGPT 4.0 as event dates. By utilizing data from the Taiwan Economic Journal (TEJ) database and employing the event study methodology, I analyze the abnormal returns of AI-themed stock and their influencing factors following the aforementioned events. Based on a sample period from July 2022 to March 2023, the empirical results show that both events have led to significant abnormal returns on Taiwan's AI-themed stocks. Regarding the trading activity among the three major institutional investors, foreign investors (dealer) had a positive impact on the abnormal returns of AI-themed stocks following the ChatGPT 3.5 (4.0) event; Investment trust exhibited a positive impact on the abnormal returns of AI-themed stock during both events. Additionally, regarding company fundamentals, working capital had a positive impact during the ChatGPT 3.5 event, while systemic risk (market capitalization) had a positive (negative) impact during the ChatGPT 4.0 event.