歐洲主權債信危機對台灣證券市場金融股的影響

The Effects of the European Sovereign Debt Crisis on Taiwan Financial Industry

陳品仲(Pin-Jung Chen)

指導教授 ： 吳庭斌

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2012年)

摘要

本研究以事件研究法（Event Study）分析歐洲主權債信危機對台灣證券市場金融業的影響，並檢定其異常報酬率。以台灣上市34家金融機構公司，依產業類別不同分五大類為研究樣本，並選取歐債事件4個事件日，進行下列四項假設檢定。
1、台灣金融業對歐債危機事件的股價變化。
2、金融股不同產業公司對歐債危機事件的股價變化。
3、探討歐債危機事件分類宣告效果。
4、比較金融業不同產業類別公司股價在歐債危機事件不同宣告類別
宣告的股價變化。
實證結果發現歐債危機事件宣告會對台灣金融股股價產生顯著異常報酬率，類股中以金控及票券類股有顯著異常報酬率。歐債危機事件宣告類別中以希臘爆發債務危機及達成紓困協議方案事件宣告有顯著影響，類股中以金控及銀行類股對不同的事件宣告類別有顯著異常報酬率。

關鍵字

歐債危機 ； 事件研究法

並列摘要

According to the Event Study, this study analyzes how the European sovereign debt crisis influences the finance corporation in Taiwan Stock Exchange Corporation and tests the abnormal returns. We use 34 financial companies in Taiwan Stock Exchange Corporation and distinguish five types from the industry category. We select 4 event days in the European debt events to test four hypothesis as following.
1.The change of stock price of the Taiwan’s financial corporation when the European sovereign debt crisis was declared.
2.The change of stock price of the financial industry from different types of companies when the European sovereign debt crisis was declared.
3.The declared effects of classifications when the European sovereign debt crisis was declared.
4.The change of stock price of the financial industry from different types of companies compared with the one of declared effects of classifications when the European sovereign debt crisis was declared.
The results show that the European sovereign debt crisis has significant abnormal returns on the Taiwan financial stocks especially for Holdings and Bills Companies. There are significant effects between the declaration of the Greek debt crisis and the relief agreement program. According to different events, there are significant abnormal returns from Holdings and Bank Companies.

並列關鍵字

event study ； the European sovereign debt crisis

參考文獻

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