以事件研究法分析美國升息對臺灣股市的影響

本研究探討自2022年6月到11月美國升息對臺灣上市類股是否產生異常報酬。透過事件研究法設定四個升息時間點分別檢定，由6月16日之首次升息為事件開啟，接續7月28日實施第二次，再於9月22日又進行第三次，直到11月3日執行第四次，共計四次升息，每次皆調漲三碼。此外考量利息變動影響金融產業之利差收益，再以均值差異檢定驗證金融與非金融類股受升息影響的顯著性差異。實證結果發現，首次升息對各類股的異常報酬為正向；第二次皆呈負向反應；第三次正向影響全部及非金融類股，對金融類股則為負向；第四次對全部類股及非金融類股產生負向影響，而與金融類股之間為正向關聯。最後，均值差異檢定顯示，金融類股受升息的影響顯著大於非金融類股。

關鍵字

美國升息；異常報酬；事件研究法

並列摘要

This study examined whether US interest rate hikes produce abnormal returns to Taiwan listed stocks from June to November 2022. Four different time points of interest rate hikes were examined with the Event Study Method. Total four rate hikes, starting from 16th June, followed by 28th July and 22nd September, ending with 3rd November, each were raised by three-quarters of percentage. Additionally, considering the differences of interest rate spreads in the financial industry caused by the interest alteration, the outstanding differences of the average abnormal returns between financial and non-financial stocks are determined by a test of comparing means value. The outcome of empirical shows that the abnormal returns results are positive in the first rate hike; negative in the second rate hike; negative to financial stocks, positive to all other stocks in the third rate hike; and positive to financial stocks, negative to all other stocks in the fourth rate hikes. Therefore, the interest rate hikes have a significant impact on financial stocks compared to non-financial stock.