新冠肺炎對台灣鋼鐵產業股價的衝擊：事件研究分析法

2019年底新型冠狀病毒(COVID-19)的爆發，對全球金融市場帶來極大的震盪以及經濟活動的不確定性。而台灣在2021年5月疫情爆發，對於餐飲、旅遊等特定產業衝擊最為明顯，而鋼鐵產業則因各國推動基礎建設則有強勢的股價表現。本研究採用事件研究法，取樣國內COVID-19疫情事件期間台灣加權股價報酬指數以及上市鋼鐵公司股價的日報酬率資料，本研究以市場模式(Market Model)以作為預期報酬的估計模式，分析平均異常報酬率以及累積平均異常報酬率。實證結果顯示疫情重大事件期間對於台灣加權股價報酬指數的短期的影響並不顯著，長期則為負面影響，而國內上市鋼鐵產業公司在疫情事件短期有負面影響，長期則有顯著的正向影響。此外，將樣本類股依照產業位階分類，可以得出異常報酬率的實證結果有一定差異，在本研究中，產業中游類股異常報酬率最為顯著。

關鍵字

事件研究法； COVID-19 ；重大疫情事件；平均異常報酬；鋼鐵產業

並列摘要

The outbreak of the novel coronavirus (COVID-19) brought great shocks and uncertainty to global financial markets and economic activities in the end of 2019. In May 2021, COVID-19 started to spread rapidly in Taiwan and impacted negatively on specific industries such as catering and tourism, while the steel stocks outperformed the market due to the infrastructure investment plan in various countries. This thesis applies event study and analyzes the average abnormal return(AAR) and cumulative average abnormal return(CAAR) of Taiwan Capitalization Weighted Stock Index(TAIEX) total return index and the domestic steel companies during the domestic COVID-19 outbreak. This thesis gathers the daily return of TAIEX-total return index and domestic listed steel companies and estimates the expected return by market model. The empirical results show that major epidemic events have no significant impact on TAIEX-total return index in the short-term, while the long-term impact is significantly negative. The major epidemic events have negative impact on domestic listed steel companies in the short-term, while the long-term impact is significantly positive. In addition, the empirical results indicate that the differences of abnormal returns are significant between upstream, midstream and downstream companies of the industry. In this thesis, the abnormal return of midstream stocks in the steel industry is the most significant.