COVID-19與三次金融風暴的影響因子分析

本研究主要為研究COVID-19與三次金融風暴之影響因子分析，根據 Damiam (2020)所運用的七大因子，分別為品質、價值、規模、成長率、殖利率、動能以及波動性，將子因子依序分類。再分別依序使用累積異常報酬、主成分分析、逐步迴歸、相關係數檢定以及縱橫資料迴歸分析來探討2020年COVID-19事件所造成的疫情風暴，是否與過往的三次金融風暴有相似或相異之處。實證結果發現：短期動能在四次風暴期間無論是下跌期抑或是回復期皆具有顯著影響，代表台灣股票市場在金融風暴期間，存在著短期動能現象。在COVID-19風暴期間影響最為顯著的則是動能因子以及品質因子。而整體四次風暴期間足以影響股票價格的共同因子為動能、市值、波動性、Tobins Q以及Beta。因此，本研究建議所有投資人，若遇到金融風暴期間，應參考動能、市值、波動性、Tobins Q以及Beta這幾項指標。並且奉勸所有投資人，在金融風暴期間不要盲目的去追求高現金股利率之股票，以及看重營業毛利率和股利成長率等財報指標，因為在金融風暴期間參考財報指標都是不具有參考價值的。

關鍵字

COVID-19 ；金融風暴；累積異常報酬；主成分分析；逐步迴歸；縱橫資料分析

並列摘要

The main purpose of this study is to study the impact factors of COVID-19 and three financial crises. According to Damiam (2020), the seven factors he used are quality, value, size, growth rate, yield rate, momentum and volatility, and classified the sub-factors in order. Cumulative abnormal return(CAR), principal components analysis (PCA), stepwise regression, correlation coefficient and panel data regression were used respectively. In order to explore whether the epidemic storm caused by COVID-19 pandemic event in 2020 was similar or different from the three previous financial storms. The empirical results found that whether it is the decline period or recovery period. Short-term momentum had a significant effect during the four storms. This represents the short-term momentum of Taiwan's stock market during the financial crisis. During the COVID-19 pandemic storm, the most significant impact is the factor of kinetic and the factor of quality. During the overall four storms, the common factors that can affect stock prices are momentum, market value, volatility, Tobins Q, and Beta. Therefore, all investors are advised to use the following indicators as reference points during the financial turmoil: momentum, market value, volatility, Tobins Q, and Beta. In addition, this study advises all investors not to blindly pursue stocks with high cash dividend yield. To look at the operating gross profit margin, dividend growth rate and other financial indicators during the financial storm. Because there is no reference value to refer to financial reporting indicators during the financial crisis.

並列關鍵字

COVID-19 ； Financial Crisis ； Cumulative Abnormal Return (CAR) ； Principal Components Analysis (PCA) ； Stepwise Regression ； Panel Data Analysis

參考文獻

英文文獻

Google Scholar

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