非經濟事件對股價的影響-以SARS事件與2004年總統大選為例

The Effect to Stock Exchange Market of Noneconomic Events:The Cases of the SARS and 2004 Presidential Election in Taiwan

李瑋鈞(Wei-Chung Lee)

指導教授 ： 蔡文賢

國立中央大學/管理學院/企業管理學系/碩士(2006年)

摘要

影響台灣投資人投資股市的因素非常多，其中可以大約分成經濟因素與非經濟因素。而最近幾年對台灣影響最重的2003年的嚴重急性呼吸道症候群（以下簡稱SARS）疾病災難。另一種較為常見非經濟因素為政治性因素，如選舉。在2004年總統大選後的選後紛爭，也對台灣股市造成影響。故本研究以SARS事件與2004年總統大選二次事件，利用事件研究法來探討對運輸業、百貨業與觀光業三個類股的股價影響。
實證結果發現，SARS事件與2004年總統大選，除了運輸類股在SARS事件不符合效率市場假說外，其餘皆符合效率市場假說。SARS事件與2004年總統大選皆造成運輸類、觀光類以及百業類股出現負向累積異常報酬。在SARS事件與2004年總統大選，產業別並沒有造成累積異常報酬率顯著的差異。本研究所採用的四項財務比率因子：「公司總資產」(TA)、「總資產報酬率」(ROA)、「流動比率」(CR)和「負債資產比」(LA)，並無法能夠完全解釋所有產業。實證結果顯示，除了類股的不同外，不同的事件也會造成投資者對財務比率有不同的解讀。因為SARS事件，對企業短期營運的衝擊遠大於其他事件，故投資者會重視短期償債能力的流動比率。而2004年總統大選，投資者會全盤的考慮相關財務比率。

關鍵字

事件研究法 ； 異常報酬 ； 橫斷面複迴歸

並列摘要

There are very many factors influencing Taiwanese investors to invest in the stock market, it is nearly divided into the economic factor and not economic factors. And the serious acute respiratory disease syndrome influencing the heaviest 2003 to Taiwan in recent years (hereafter referred to as SARS) disease disaster of Severe Acute Respiratory Syndrome (SARS ). It is not that an economic factor is a political factor that another kind is comparatively common, such as electing. The dispute after selecting after 2004 general presidential election also causes influence on the stock market of Taiwan. Therefore, this research is with SARS incident and two incidents of general presidential election of 2004, utilize the event study to probe into stock price influence of transport service, general merchandise industry, and visiting industry.
The empirical research finds that the results of SARS incident and 2004 general presidential election, except that transport the type stock in SARS incident does not accord with Semistrong-form efficiency market hypothesis, the others all accord with Semistrong-form efficiency. SARS incident and 2004 general presidential election all cause the stock of transporting, general merchandise, and visiting industry to have the Cumulative Abnormal Returns. In SARS incident and 2004 general presidential election, the classification of the industry has no statistic significant difference of Cumulative Abnormal Returns. Four financial rate factors which this research adopts: total asset (TA), return on assets, the liquidity ratio (CR), and the ratio of debt to asset (LA) unable to totally explain all industries. The empirical research shows that the classification of the industry and different events both result in the diversified understanding of investors. Far greater than other event to the impact that enterprises operate in a short time because of SARS incident, so investors will pay attention to the liquidity ratio of short-term debt paying ability. However, investors will consider the relevant financial rates totally about the 2004 general presidential election.

並列關鍵字

abnormal return ； cross section regression analysis ； event study

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