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  • 學位論文

國家金融安定基金宣示效果研究–以事件研究法分析

The Evaluation of Announcement Effect of the National Finance Stabilization Fund-An Event Study Approach

指導教授 : 孫同文
共同指導教授 : 林霖
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摘要


本文突破以往國安基金文獻的研究方法與途徑,採取事件研究法作為檢視政策結果評估的標準。事件研究法能精確的發現政策宣示前、後的影響,在效果性方面,國安基金宣示確實達成穩定股市之目標。在公平性上,國安基金對八大類股指數也有顯著且正面的助益,尤以塑化與機電類股表現較佳。回應性方面,政府依國家機關相對自主性,面對國內、外重大事件衝擊,透過國安基金政策(政府作為)對股市進行保護。意即當股市連續二天統計上顯著性的下跌且達到某種程度重挫,同時市場成交量顯著性萎縮且累計異常成交量下滑到某種程度時,可能是國安基金宣示授權進場護盤的決策點。在標的團體的反應方面,三大法人皆在國安基金宣示後,出現了買超天數與金額較多的現象,尤以投信與自營商的反應較佳。另外,政府為了避免市場成交量萎縮造成系統性風險,國安基金宣示護盤後,也增加了市場的流動性。 非預期效果上,研究發現市場於前一天就透露出國安基金即將啟動的消息,因此,在國安基金介入的前一天,加權指數已有縮小跌幅的現象。另外,本文假設在政策宣示後,當天應最具有顯著性的正值異常報酬率,其後再逐日遞減,然而實證結果卻顯示顯著性發生於授權日後第一、三、五日,此項發現亦係本文所預料之外。 最後,本研究建議國安基金政策宣示前應保密,政策宣示後應資訊透明,政策介入時間與次數應適當,以免投資人預期心理與過度依賴。

並列摘要


This study takes the event study and outcome evaluation approaches to re-examine the traditional ways of studying the National Finance Stabilization Fund (NFSF). The event study approach can accurately find out the impact of policy announcement, this study also uses abnormal return rate to view the result of the intervention of NFSF. On the basis of this study, NFSF does have the following impacts on stock market: (1) it really has achieved the goal of stabilizing the stock market; (2) from the viewpoint of equality, the interventions of NFSF have resulted in positive impacts on all the eight major stock categories, but more significantly on the Chemical Industry and the Mechanical-electric industry; and (3) the government, according to its relative autonomy, used NFSF to protect the stock market when facing to the challenges of domestic and foreign crises. When the stock market index and the market volume had significant declined for two consective days, it may be the time that NFSF declared to intervent. After NFSF declared to protect the market, institutional investors, especially the Investment Trust Investors and Dealers, tend to respond more positively. Additionally, in order to avoid systemic risk of the market volume contraction, the NFSF would increase market liquidity after policy announced. Unexpectedly, this study also reveals the situation that one day before the intervention of the NFSF, the declining rate of TAIEX had been slowed down. Presumably, after NFSF had announced its intention to intervent stock market, the most significant abnormal returns would occure immeadily, and it would gradually decrease thereafter. Unexpectively, the empirical results of this study have demonstrated that the significant returns have occurred on the first, the third, and the fifth day after the annoucement. This study suggests that NFSF should be very confidential before policy announcement. But after the decision is made, the information should be open and transparent to the public. Furthermore, for avoiding the excessive expectations and dependence of the investors, the timing and the frequency of NFSF intervention on stock market should be carefully evaluated and minimized.

參考文獻


一、中文文獻
丘昌泰(2004)。公共政策-基礎篇(二版)。台北:巨流圖書公司。
立法院(2000年10月21日)。89(55)3114公報(下)。
立法院公報網 http://lci.ly.gov.tw/
李允傑、丘昌泰(2009)。公共政策,政策執行與評估(二版)。台北:元照出版有限公司。

被引用紀錄


臧家宜(2011)。國家金融安定基金運作與績效評估之研究〔碩士論文,國立交通大學〕。華藝線上圖書館。https://doi.org/10.6842%2fNCTU.2011.01121

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