國際原油事件對台灣航運業股價報酬之影響

本研究之目的是將 1990年後所發生之類似於過去的三個國際原油重大事件做為樣本期間，事件分別為2008年9月15日雷曼兄弟宣布破產倒閉、2015年12月 18日美國解除石油出口禁令與2019年9月16日無人機轟炸沙烏地石油設施事件對於台灣航運類股股票之報酬影響，採用事件研究法並透過股價波動所產生之異常報酬，了解市場對三個國際原油事件之反應。實證結果我們發現了雷曼兄弟宣布破產倒閉時台灣航運股、台灣航空股與台灣運輸類股皆有顯著正異常報酬。我們再研究美國解除石油出口禁令宣告時，發現有顯著正異常報酬，接著在無人機轟炸沙烏地石油設施事件時我們分析出了有顯著負異常報酬。針對這三件事件，觀察出市場對雷曼兄弟宣布破產倒閉與美國解除石油出口禁令有正向反應，無人機轟炸沙烏地石油設施事件有負向反應

關鍵字

國際原油事件；事件研究法；異常報酬

並列摘要

The purpose of this research is to compare three major, similar and international crude oil events that occurred after 1990, taking those incidents which include the announcement of Lehman Brothers bankruptcy on September 15 in 2008, the lifting of the U.S. oil export ban on December 18 in 2015 and the drone bombing of Saudi oil facilities on September 16 in 2019 as the sample period. Moreover, I would discuss how they affect the returns of Taiwan shipping stocks by event study and how the market responds to them through abnormal returns according to stock price fluctuations. Empirical results turn out that when Lehman Brothers declared bankruptcy, Taiwan shipping, airlines and transportation stocks all had significant positive abnormal returns；we also found out when the U.S. lifted the oil export ban, there were significant positive abnormal returns；moreover we analyzed that there was also a significant negative abnormal return when the drone bombing of Saudi oil facilities. In response to these three incidents, it was observed that the market had a positive reaction to Lehman Brothers’ bankruptcy and U.S. lifted the oil export ban, however a negative reaction for the drone bombing of Saudi oil facilities.