我國上市(櫃)公司於財務危機事件發生後之股價行為

The Stock Price Behavior after the Financial Crisis for Taiwan Listed Companies

蔡龍瑋(Long-Wei Tsai)

指導教授 ： 顧廣平

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00739

摘要

本研究以1992年∼2015年間，以發生財務危機的我國上市(櫃)公司為研究樣本，採用事件研究法探討危機事件發生時前後10天，其股價是否存在異常報酬。研究結果如下：
我國上市(櫃)公司股價於財務危機事件期內，對其樣本股票價格均存在顯著負向的影響，且在事件尚未宣告前，投資人已提前反應。本研究進一步針對財務危機事件中之紓困財危、跳票擠兌、繼續經營疑慮等前三大危機事件進行探討。發生紓困財危事件時，對其股價存在為顯著負面的影響，如同全部樣本結果，顯示投資人在紓困財危宣告前已提前反應該訊息。發生跳票擠兌事件時，對其股價產生顯著「極度悲觀」的影響，由顯著之統計檢定結果得知全部樣本所得之結果應會受到跳票擠兌事件之顯著影響。發生繼續經營疑慮事件時，對其股價仍具顯著之負面影響，相較於前述全部樣本、紓困財危與跳票擠兌等事件，股價對發生繼續經營疑慮訊息反應相對較慢，且影響幅度相對較小。

關鍵字

財務危機 ； 紓困財危 ； 擠兌跳票 ； 繼續經營疑慮 ； 事件研究

並列摘要

This paper adopts the listed companies that happened financial crisis to be research samples in Taiwan during 1992 to 2015. The study uses the event studies method to explore whether there are abnormal returns to the stock price behavior after the financial crisis before and after 10 day. The results are as follows:
The study finds that the financial crisis events have significant negative effects on stock returns, and the investors have responded in advance for the events announced. This study is aimed at the three major crisis events in the financial crisis, relief-financial distress, bounced cheque and concerns continue to operate are selected. The relief-financial distress events have significant negative effects on stock returns, similar all sample results, indicating that investors have responded to the message in advance of the relief-financial distress. The bounced cheque events have significant "extreme pessimistic" effects on stock returns. The statistical significant effects show that the results of all the samples should be significantly effects by the bounced cheque events. The concerns continue to operate events are significant negative effects on stock return. Compared to all samples, relief-financial distress and bounced cheque events, stock returns are relatively slow to respond to the concerns continue to operate events, and the effects are relatively small.

並列關鍵字

Financial crisis ； Relief-financial distress ； Bounced cheque ； Concerns continue to operate ； Event study.

參考文獻

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