中美貿易談判對我國股市之影響

The Impact of China-US Trade Negotiations on Taiwan's Stock Market

袁淑芳(Shu-Fang Yuan) ； 陳宥橙(You-Cheng Chen)

《管理科學研究》 12卷2期 (2018/12) Pp. 53-65

https://doi.org/10.6873/MSR.201812_12(2).0004

摘要

2018年美方特別針對中國知識產權侵害和技術轉讓要求調查是否存在「不公平貿易關係」，俗稱的「301條款」，以平衡日益惡化的中美貿易赤字。由於中美雙方堅守母國利益，使得貿易談判的氛圍愈趨緊張，由於二國皆為貿易大國，其效應將可能直接或間接波及其它的貿易夥伴。台灣由來與中、美在貿易皆有密切往來，故此推測台灣將受此事件直接的衝擊。本文即利用事件研究法探討中、美貿易談判對於我國股市之影響，研究樣本包括可能受衝擊之公司，如南亞、台橡、正新、鴻海、台積電、大立光，共計6個樣本公司、產業類股指數及大盤加權指數，並以市場風險調整模型及平均報酬調整模型建立預估報酬模型。實證結果顯示中美貿易談判對與中國公司具有上、下游關係之台灣公司的股價將產生影響。

關鍵字

中美貿易談判 ； 事件研究法 ； 市場風險調整模型 ； 平均報酬調整模型 ； 異常報酬

並列摘要

In 2018, the US proposed the ＂Section 301＂ against the China's technology transfer requirement which is accused has been violated the US's intellectual property rights for the purpose of balancing the worsening China-US trade deficit. Furthermore, it is getting more and more tensed for the trade negotiations between China and the United States due to both of the countries adhere to the interests of their home countries. Since both countries are major trading nations, their effects may directly or indirectly affect other trading partners. Taiwan is trade rivalry with both China and the United States, so it speculated that Taiwan will be directly affected by this incident. This article uses the event research method to explore the impact of China-US trade negotiations on the Taiwan stock market. The research samples the companies which have the co-operation relationship with China, such as Nan Ya, TSRC, Cheng Shin, Foxconn, TSMC, and Largan Precision. Besides that, the industry stock index and the market-weighted index are sampled as well. Both of the market risk adjustment model and the average return model are employed to calculated the abnormal return. The empirical results show that China-US trade negotiations have significant impact on the stock price of Taiwanese companies which have the cooperation relationships with Chinese companies.

並列關鍵字

China-US Trade Negotiations ； Event Study ； Market Risk Adjusted Model ； Mean Adjusted Return Model ； Abnormal Returns