兩岸重大經貿事件對台灣金融類股股價之影響

The Impact of Cross-Strait Economic Issue on Stock Price of Financial Institution in Taiwan

田育任(Yu-Ren Tien)

指導教授 ： 顧廣平

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00385

摘要

本研究以2009至2013年台灣之上市、上櫃股票為研究樣本，觀察宣佈兩岸重大經貿事件前後對台灣金融類股的影響，擬選定以兩岸金融監理備忘錄(2009年11月16日)、兩岸經濟合作框架協議(2010年06月29日)、兩岸貨幣清算合作備忘錄(2012年08月31日)及兩岸服務貿易協議(2013年06月21日)之重大經貿事件為事件日，採用事件研究方法來檢視上述重大經貿事件宣告之資訊對台灣金融類股股價是否有關聯性。
實證結果發現兩岸金融監理備忘錄、兩岸經濟合作框架協議、兩岸貨幣清算合作備忘錄及兩岸服務貿易協議等重大經貿事件簽署對台灣金融股股票的確具有資訊內涵，惟多數在事件簽署日前即出現平均異常報酬，推測上述之兩岸經貿事件為政府推動兩岸往來重大施政，相關資訊公開透明，投資人因易於取得而及早反應對該事件之看法。
兩岸相關經貿事件之簽訂應可逐漸鬆綁兩岸金融產業往來限制，開放更有助於日後兩岸經貿交流發展，投資人對台灣金融市場理當樂觀看待，然實際研究結果與事件預期迥然不同，實證發現若簽署日協商內容未新增有利於國內金融業者發展之業務，在欠缺其他實質效益情況下，股價反而產生利多出盡現象。

關鍵字

兩岸經貿事件 ； 事件研究法 ； 異常報酬

並列摘要

This essay takes Event Study as a reference, and uses Taiwan stock exchange market's common stock as research sample. This research study data were collected from 2009 to 2013, for 48 months. In order to research the relevance of significant economic and international trade events and financial stock as well as the information impact at the very day, We pick up the events include MOU (2009/11/16), ECFA (2010/06/29), Memorandum on Cross-Strait Currency Clearing Coorperation (2012/08/31), and
Cross-Strait Service Agreement(2013/06/21).
The result indicates that important events such as MOU and ECFA did caused impacts to Taiwanese financial stocks, it also existed abnormal returns before the signing date. It is assumed that open information, including major cooperation projects and details, prompted the investors to react in advance.
On the other hand, the cross-strait agreements may deregulate the restraints of cross-strait financial industry, facilitating the economic development in the future. It is forecasted that investors will be positive to the agreements. However, the research result differs from previous assumption. When the agreements are not beneficial as the investors expected, the stock market show price reversal.

並列關鍵字

Cross-Strait economic issue ； Event studies ； Abnormal Returns

參考文獻

6.汪瑞芝、陳明進、林世銘，2005，土地增值稅減半政策之事件研究，證券市場發展季刊，第17 卷第1 期，頁79-104。

8.林時賢，2010，兩岸金融MOU簽訂對台灣銀行業股價之宣告效果研究，國立臺北大學國際財務金融碩士在職專班碩士論文。

2.Brown, S. J. and J. B. Warner, 1985, ”Using Daily Stock Returns: The Case of Event Studies,” Journal of Finance Economic, Vol. 14, 1-31.

3.Brown, S. J. and J. B. Warner, 1980, “Measuring Security Price Performance,” Journal of Financial Economics, Vol. 8, 205-258.

4.Brav, A., C., Geczy, C., and P. Gompers, 2000, “Is The Abnormal Return Following Equity Issuances Anomalous?” Journal of Financial Economics, Vol. 56, 209-249.