- 學位論文
颱風對台灣各產業股市的影響
The Impact of Typhoons on Stock Returns – Evidence from Taiwan Industries
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摘要
本篇研究在於探討颱風本身的特性以及產業特性對股市的影響。就颱風特性部分，我們又細分為直接與間接的影響。研究中我們使用了從1971 至2010 年的256 筆颱風，以及每一年所有的上市公司的報酬率。我們檢驗了四種不同期間的報酬率: (1) 颱風來前兩天 (2) 颱風來期間 (3) 颱風離開後兩天 (4) 包含颱風期間以及前後兩天。就各產業的平均報酬率來看，我們發現並不是所有的產業在颱風來襲時擁有負面的影響。我們認為一些產業正報酬也許是來受惠於其他產業的損失。結論也顯現出颱風的強度、雨量、以及帶來的農業損失是評估各產業報酬率的重要指標。我們發現颱風對於水泥業、通訊業、以及營建業有較顯著的影響。房屋倒塌數目、放假與否、以及放假天數對水泥業有正向的影響。我們認為這是因為房屋倒塌數目越多或是放假天數越長隱含著較嚴重的災害，所以增加重建而提高對水泥的需求。通訊業以及營建業則是受到自然災害損失 (例如: 電力或道路坍塌損失…)嚴重性所影響。在颱風期間，自然災害的損失會帶給營建業負向的影響。由於自然災害損失(如: 電力的損失)可能會造成通訊連絡的不便，對通訊業來說也是負向的影響。
並列摘要
Our study would like to investigate the impact of typhoon’s characteristics and the impact of industrial characteristics on the market industry. Regarding the former influence, we further divide the impacts of typhoons into direct and indirect effects. Our sample includes 256 typhoons from 1971 to 2010 and all the listed companies in each year. (1) the days during typhoon period; (2) two days before typhoon period; (3) two days after typhoon period; (4) including all three periods mentioned. We find in our study that not all industries in the market have a negative effect towards typhoons. Some positive effects may be due to the fact that the industry can benefit from other’s loss. Our results show that typhoon intensity, precipitation, the agricultural disaster brought by the typhoon is a major effect to the industries market return. Our empirical results show that typhoons have significant impact on the cement, information service and construction industries. The number of houses collapsed, declaring day off and number of days off have the positive impact to the cement industry’s abnormal return. The typhoon disaster such as electric power loss results in the negative impact on the information service industry. In addition, the typhoon disaster such as the damage of railway or highway also results in a negative impact to the construction industry during the typhoon period.
參考文獻
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