歐債主權危機對大中華區股市之影響

European Creditor Rights Crisis in the Stock Markets of Greater China

楊雪蘭(Hsueh-Lan Yang) ； 陳勻蓁(Yun-Chen Chen)

《管理資訊計算》 3卷1期 (2014/03) Pp. 67-86

https://doi.org/10.6285/MIC.3(1).05

摘要

2008年金融海嘯導致全球經濟衰退，波及全球股價出現暴跌，這波金融風暴災情迅速蔓延，加速歐洲各國財政赤字與政府債務大幅飆升，2009年底希臘遭到三大信評機構調降評等，揭開歐債主權危機序幕。本研究探討歐債主權危機對大中華區股票市場所造成的影響，研究方法採事件研究法，以歐債危機對大中華區股票市場進行實證分析，本文探討三方向：（1）發生歐債主權危機對上證指數是否產生異常報酬；（2）發生歐債主權危機對台灣指數是否產生異常報酬；（3）發生歐債主權危機對香港恆生是否產生異常報酬。實證結果顯示：事件研究法檢測結果，歐債主權危機事件對大中華區股市產生異常報酬，且隨時間之淡化，產生緩衝反應，2010年事件有16個異常報酬，內含9個負異常報酬7個正異常報酬，經過2年之洗禮與衝擊，2012年只剩11個異常報酬，內含4個負異常報酬7個正異常報酬，顯示歐債主權危機對大中華區有顯著影響。但也隨著歐債主權危機經過兩年歹戲拖棚未結束，讓大中華區投資人對事件再次發布與衝擊出現麻木的投資反應，漸趨樂觀。

關鍵字

歐債主權危機 ； 事件研究法 ； 金融風暴 ； 大中華區

並列摘要

The financial tsunami happened in 2008 has caused a global economic recession, which consequently made a global stock plunge seriously. This financial tsunami spread rapidly through over the world and sped up the financial deficit and governmental debt in European countries. In 2009, Greece was downgraded by three major credit rating agencies, as a result, the disaster-the European sovereign debt crisis commenced.This research aims to explore the impact of European sovereign debt crisis on Greater China. Event Study Method was employed in this impact on the stock market in Greater China. The research investigated three aspects: (1) Did abnormal returns occurrence in SSE (Shanghai Stock Exchange) when the European debt crisis.(2) Did abnormal returns occurrence in TAIEX when the European debt crisis.(3) Did abnormal returns occurrence in Hang Seng Index when the European debt crisis.Results show: Event Study Method also showed that European sovereign debt crisis contributed abnormal returns on the stock market of mainland China, Hong Kong and Taiwan; and the abnormal returns of desalinated over time resulting in numbness reaction. there were 16 abnormal returns in the event of 2010, comprised of 9 negative abnormal returns and 7 positive abnormal returns; with the shock and assault within two years, there were only 11 abnormal returns left, in which there were 4 negative abnormal returns and 7 positive abnormal returns; this results evidenced that European debt crisis did produce significant impact on Greater China. European sovereign debt crisis has swept around the world for two years and its remaining troubles seem to have no end, and the endless debt crisis seems not to paralyze investors' reaction of Greater China anymore, on the contrary, the investors in this area are growing optimism for the future.

並列關鍵字

European sovereign debt crisis ； Event study ； Financial tsunami ； Greater China

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