新冠肺炎疫情對金控類股報酬之影響-事件研究法之應用

受到新冠肺炎疫情的影響引發全球股市血崩，其中美國三大股票指數在2020年3月9日開盤大跌，道瓊工業指數於盤初迅速下跌超過1,800 點，跌幅擴大至7.79%。標普 500 指數則跌 7%，觸發第一層熔斷機制，暫停交易 15 分鐘，是美股繼 1997 年亞洲金融風暴後第二次發生。若全球股市不好，台股通常亦受影響，台股指數自2020年初12,100點下跌至同年3 月19日的8,681點。此波金融市場動盪，有別於昔日的金融風暴是金融體系內部與市場參與者所引起問題而影響到經濟，而是因為新冠病毒疫情對經濟廣泛的影響後而牽連到金融體系。本研究主要係以台灣上市櫃金融類股票市場作為研究的中心，並以事件研究法之 GARCH 風險調整模式，探討新冠肺炎疫情對台灣金融類股股票市場是否有影響，觀察事件期間是否產生顯著異常報酬。實證研究主要以15檔台灣上市櫃金控類股為研究對象，研究期間自2019 年 3 月 4 日至 2020 年 5 月 25 之日報酬率，採用事件研究法，實證結果顯示新冠肺炎疫情對金控類股股價報酬率有顯著的影響。

關鍵字

新冠肺炎；事件研究法；異常報酬；市場模式； GARCH

並列摘要

The impact of the COVID-19 pandemic triggered a global stock market crash, showing a sharp drop in stock prices. US stocks suffered panic selling; the three major US stock indexes fell sharply at the opening of March 9, 2020. The Dow Jones Industrial Average (DJIA) of the U.S. stocks plunged 1800 points at the opening, and the stock market indices in the U.S. fell 7.79% within one week; the S&P 500 index fell 7%, triggering the first-layer circuit breaker mechanism and suspending trading for 15 minutes. This was the second time that US stocks have occurred during the 1997-1998 Asian Financial Crisis. If the global stock market situation is not sound, Taiwan stocks will be usually affected as well. As a result, the Taiwan Capitalization Weighted Stock Index fell from 12,100 points at the beginning of 2020 to 8,681 points on March 19 of the same year. This wave of financial market turmoil is different from the past financial crises, because the problems were caused by the internal financial system and market participants affected the economy, but the financial system was implicated because of the widespread impact of the COVID-19 pandemic on the economy. In this study, the author uses the exchange-listed or OTC-listed trading of securities on the Taiwan Stock Exchange (TWSE) or the over-the-counter (OTC) stock market as his market research benchmarks and introduces GARCH models to conduct an event study trying to find out whether the COVID-19 pandemic has an impact on the Taiwan financial stock market, and observe whether there are any significant abnormal returns or not during the financial crisis. This study mainly focuses on 15 prominent stocks trading on the Taiwan listed and OTC financial stock market held by financial holding companies as a research object. During the research period, the empirical results on the daily return rate from March 4, 2019 to May 25, 2020 observed using the event study method showed that the COVID-19 pandemic has a significant impact on the Stock Returns of Taiwan' Financial Holding Companies.