臺灣景氣指標宣告對貿易百貨類股價之影響

THE IMPACT OF TAIWAN BUSINESS CYCLE INDICATOR ANNOUNCEMENT ON STOCK PRICE OF GENERAL MERCHANDISE AND TRADING CATEGORIES

金柏伶(Chin, Bor-Ling)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2012年)

摘要

景氣指標之宣告，目的在於反應目前的經濟狀況並同時預測未來，經濟榮衰直接影響大眾之消費能力，而民眾的消費能力則相當程度地反映在股市中以貿易與百貨為主的相關類股表現，至於景氣指標與貿易百貨類股股價表現間之關聯性為何? 景氣指標之宣告是否確實對貿易百貨類股價形成顯著之異常報酬? 這些正是本研究所欲深入探討之主題。
本研究採行 「事件研究法」，研究期間為2006年1月至2011年5月(共計65個月)，以經建會每月定期之景氣指標公告日為事件日，透過 TEJ(臺灣經濟新報)系統以取得貿易百貨類股共十支股股價於事件期間之相關數據，並藉此分析各類股之異常報酬；其次彙整景氣指標數據，利用SAS統計軟體對數據進行統計分析，同時藉由Student’s t、符號及符號等級三種檢定方式，以了解景氣指標宣告對貿易百貨類股價異常報酬的顯著性，並進一步確認景氣指標宣告是否影響貿易百貨類股股價表現，其關聯性為何?
研究結果發現：
一、「景氣領先指標」上升時對貿易百貨類股價有顯著之正向異常報酬。
二、「景氣同時指標」對貿易百貨類股價有顯著正相關之累積異常報酬。
三、「景氣對策信號」對貿易百貨類股價之異常報酬無明顯關聯性。
四、「景氣燈號」維持「黃紅燈」時，對貿易百貨類股價產生顯著之正向累積異常報酬率，然其他燈號則無顯著關聯性。

關鍵字

景氣指標 ； 事件研究法 ； 異常報酬

並列摘要

The announcement of business cycle indicator is to reflect the present economic circumstances, and to predict for the future. The economic circumstance affect the buying power of consumers, the consumption can be shown by the stock price trend of general merchandise stocks, and trading stocks as well. But what is the relatedness of business cycle indicator and the trends of above stock categories? Does the announcement of business cycle indicator cause remarkable abnormal returns of those stocks? These questions are exactly the objects of this research.
The research is using the “Event Study” method, period from Jan. 2006 to May 2011 (totally 65 months), taking the announcement date of business cycle indicator monthly by the Economic Planning & Development Council as the Event Days, to get the data of those 10 stocks of general merchandise and trading stock categories, through the Taiwan Economic Journal Event Study System, and to analysis the abnormal returns of these stocks. Furthermore, to summarize the business cycle indicator data, and analysis them by the “Statistics Analysis System”, using the methods of “Student’s t test”, “Sign Test” and “Sign Ranked Test”, to confirm if the announcement of business cycle indicator does affect the performance and cause remarkable abnormal returns of the general merchandise and trading stock prices, and how is the relatedness.

並列關鍵字

Business Cycle Indicator ； Event Study ； Abnormal Returns

參考文獻

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