ECFA政策辯論對受益產業之影響分析

AN ANALYSIS OF THE IMPACT OF THE ECFA DEBATE ON BENIFICIAL INDUSTRIES IN TAIWAN

練鴻慶(Hing-Cing Lian)

指導教授 ： 簡明哲

國立臺北大學/社會科學學院/經濟學系/碩士(2011年)

摘要

本研究以事件研究法探討2010年4月25日馬英九與蔡英文就ECFA所舉行之公開辯論(以下簡稱雙英辯論)，對於ECFA受益產業股價的影響；以及就2011年第一季的資料，檢驗雙英辯論之內容與ECFA初步成效是否相符。
本文分別以不需估計期的市場指數調整法，需要估計期的市場模式OLS法，以及市場模式GARCH法，來檢定股價的異常報酬率。
研究結果發現：
一、在中國總理溫家寶公開宣示「讓利說」之後，ECFA之受益產業個股股價有顯著為正的異常報酬率，表示與ECFA推動進程有關之資訊具有訊息價值。

二、在雙英辯論之後，ECFA之受益產業個股在事件日後之一到三天有顯著為正的異常報酬率，可推估雙英辯論有助於ECFA的推動。

三、早收清單生效後第一季的資料，在中國大陸降稅之早收清單項目內之台灣主要產業在股價報酬、出口總額、勞工薪資、就業人數之成長皆大於平均值。而就ECFA對投資的影響，ECFA簽署後台灣在「外人直接投資」之金額較去年同期為負成長，但在「民間投資」之部分卻為正成長，ECFA對促進投資的效果尚無法判斷。

關鍵字

兩岸經濟合作架構協議,早收清單,事件研究法

並列摘要

The purpose of this study is to investigate the impact of the ECFA debate on the stock returns of the ECFA beneficial industries. The ECFA debate, held on April 25, 2010, was the first policy debate ever between the incumbent President and the opposition party in Taiwan.
An event study is employed to examine the reaction of the stock market in response to the debate.
Market-adjusted returns model and market models with OLS and GARCH techniques are utilized to test if there exists abnormal returns on ECFA beneficial industries stocks after the debate.
In addition, data of the first quarter of 2011 is collected and analyzed to see if there exists any preliminary policy effectiveness after ECFA was in effect on January 1, 2011.
The results of this study are summarized as follows.
First, after Wen Jia-bao, the Premier of mainland China declared that ‘mainland could sacrifice some of its own interests in negotiating ECFA,’ there did exist significantly positive abnormal returns on stocks of ECFA beneficial industries.
Result indicates that ECFA related information did impact Taiwan’s stock market.
Second, there exist significantly positive abnormal returns on stocks of ECFA beneficial industries after ECFA debate. Result indicates that ECFA debate not only helps the ruling party to clarify some anxieties but also promote awareness of policy effectiveness to people in Taiwan.
Third, data from lists of early harvest of first quarter, 2011show that the growth of stock returns, values of export, total employed workers, and average wages were all higher, compared to those of first quarter, 2010. However, the FDI and domestic investment growth are not such obvious.
Results indicate that there appears preliminary policy effectiveness after ECFA in effect on January 1, 2011.

並列關鍵字

Economic Cooperation Framework Agreement (ECFA), Early Harvest, Event Study

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