本研究利用GJR-GARCH模型,探討新冠肺炎期間美國紐約道瓊股價報酬對台灣上市食品公司1201 味全、1203 味王、1210 大成、1215 卜蜂、1216 統一、1217 愛之味、1218 泰山、1219 福壽等食品上市公司之股價報酬的訊息不對稱分析,研究期間自2020年01月01日至2022年3月23日,共522筆日資料。實證指出台灣上市食品公司受美國紐約道瓊股價指數報酬存在訊息不對稱效果,符合本文研究假說。
This study uses the GJR-GARCH model to explore the impact of Dow Jones stock price returns on New York's Dow Jones in the United States during the COVID-19 period on Taiwan-listed food companies 1201 Weiquan, 1203 Weiwang, 1210 Dacheng, 1215 CP, 1216 Uni-President, 1217 Love Taste, 1218 Taishan, 1219 Information asymmetry analysis of the stock price returns of listed food companies such as Fushou. The research period is from January 1, 2020 to March 23, 2022, with a total of 522 daily data. Empirical evidence points out that Taiwan-listed food companies are rewarded by the New York Dow Jones stock index with information asymmetry, which is in line with the research hypothesis of this paper.