探討美、日、星、台的重大災難與股市關係之實證研究

To Investigate the Relationship Between Catastrophe and Stock Market ─The Cases of U.S.A、Japan、Singapore and Taiwan─

林麗姬(Li-Chi Lin)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2001年)

https://doi.org/10.6840/cycu200100233

摘要

根據Benjamin（1966）研究，一般影響股價之因素，有52%是屬於市場因素，其餘則可歸之於產業及公司因素；而重大災難的變動常是造成市場劇烈變動的因素之一，近十五年來重大國際災難包括一九八七年的美國華爾街股市大跌（黑色星期一），一九九五年阪神大地震，以及由於阪神大地震所導致的新加坡霸菱銀行事件，台灣一九九九年集集大地震，及二００一年美國西雅圖大地震，這些災難事件均影響股市及經濟甚鉅，加上近年來受到經濟共同體世界村之影響下，使得一國股市之變動，皆可能連動影響其他國家，而一國之證券市場的主管當局面對重大事件發生後，所採行之政策亦對股市影響甚大，因此本研究特別針對美、日、星、台四個國家，於重大事件發生後的股市變動情況，以股價日報酬率來比較在重大事件發生前與其後各一週的變化情形，並比較四個國家之證券市場主管當局在重大事件發生後，對股市所採取之應變決策，是否有顯著之績效，研究結果顯示：當重大事件發生當天四個國家的股市皆下跌，而此事件發生當天與事件發生後第五個交易日之股價日報酬率比較，日本下跌6.13%，台灣下跌1.3%，新加坡上漲0.21%，美國黑色星期一上漲3.17%，美國西雅圖上漲3.91%，亦即五個事件中在第五個交易日上漲的比率佔有60%，而其中只有台灣實施政策干預股市且休市一星期，其餘國家股市皆照常營運，顯示台灣政府今後在面對重大災難事件時，似應參考其他國家之作法，不須要干預股市之運作。

關鍵字

重大災難 ； 股市

並列摘要

According to the study of Benjamin（1966）, among the stock price affecting factors, 52% are market factor and the others are industry and company factor, The catastrophe was one major market factor causing the instability of the stock market.
The major heavy catastrophe occurred during the previous fifteen years were as follows：Wall Street stock market crashed in 1987（black Monday）, Japan’s Osaka-Kobe earthquake in 1995, Causing a Barings bank’s financial crisis, Taiwan GIGI earthquake in 1999, Seattle earthquake in 2001 of all, these shocked the stock market and economic environments.
As a catastrophe occurred in the country, it will cause other countries experienced the downturn of stock market, This study uses four countries as an sample：U.S.A.、Japan、Singapore and Taiwan to examine the impact of catastrophe on the event date and one week before and after, This work also investigates the reaction of government officials on controlling stock market on or after the event date ,The empirical result is as follows：
On the day the catastrophe occurred, all four stock market indices felled down dramatically, yet there were sixty percent of the cases, the stock prices rose on the fifth day after the catastrophe occurred.
This study also finds that Taiwan is the only one out of four countries whose government officials closed the stock market right after the catastrophe occurred hence, this work suggests that Taiwanese policy maker should not intervene the stock market if there will be a catastrophe occurred in the future.

並列關鍵字

Stock Market ； Catastrophe

參考文獻

Benjamin F.,1966, “Market and Industry Factors in Stock Price Behavior, ”Journal of Business, Junuary pp.139-150。

Bennett, Colin, J. and Howlett, Michael, 1993,“The Lessons of Learning：Reconciling theories of policy Learning and Policy, ”Public Science, Vol.25, pp. 275-294。

Blumler, J. G. and Katz E.,1974,“The Use of Mass Communication,”Current Perspectives on Gratification Research, Beverly Hills, Calif.：Sage Publication。

Brock, William, Josef Lakonishok, and Blake Lebaron, 1992,“Simple Technical Trading Rules and the Stochastic Properties of Stock Return, ”Journal of Finance, Vol. VII, December, pp. 1731-1764。

Chambers, A. E. and Stephen Penman, H., 1984,“Timelines of Reporting and the Stock Price Reaction to Earnings Announcement., ”Journal of Accounting Research, Spring, pp. 21-47。