新冠肺炎疫情事件對股市之影響-台灣半導體產業為例

本研究探討在新冠肺炎疫情下，台灣半導體產業(上市公司)是否具異常報酬率? 什麼因素產生異常報酬率? 哪些財務比率是投資者關注的指標? 本研究以事件研究法，驗證2020年新冠肺炎疫情下，對於台灣半導體上市股票市場之影響。本研究以台灣半導體上市股價日報酬率作為樣本，研究期間為2019/8/2-2020/6/22。以台灣衛服部公告的第2次口罩實名登記制2020/3/25作為事件日，檢視台灣半導體產業在新冠肺炎疫情下，是否具異常報酬率並分析原因。另對台灣半導體上市公司的營運能力、獲利能力、償還能力財務面分析，以選取的財務比率與異常報酬關聯性，檢視是否為投資者關注留意指標。實證結果為台灣半導體產業的上游dummy、融資活動淨現金流量變動率、流動比率、存貨週轉率，對於產業異常報酬CAR具顯著性。此外本研究實證發現，在新冠肺炎疫情事件期期間，台灣半導體產業的融資活動淨現金流量變動率與CAR呈正向顯著關係；半導體產業的流動比率、存貨週轉率對於異常報酬率CAR具反向顯著關係。

關鍵字

事件研究法；財務比率；新冠肺炎；台灣半導體產業；異常報酬

並列摘要

This study is to explore whether semiconductor companies listed on TWSE have abnormal returns during the COVID-19 pandemic? What factors affected the abnormal returns? Which financial ratios do investors focus on while making an investment decision? This study uses Event Study methodology to verify the impact of the COVID-19 Pandemic Event on the Taiwan semiconductor stock market. Using the data from August 2, 2019 to June 22, 2020, this study collects the Taiwan semiconductor companies listed on TWSE as samples. The event date is March 25, 2021, which is the time when the Ministry of Health and Welfare announced the second Mask-Rationing Plan. The study verifies and analyzes whether Taiwan’s semiconductor industry has abnormal returns under the COVID-19 pandemic. Besides, this study conducts financial analysis on semiconductor companies listed on TWSE from the aspects of operational capability, profitability, solvency, and the selected financial ratios & abnormal returns relationship to verify whether investors focus on these indicators. The empirical results show that Taiwan semiconductor upstream, the rate of change of Net Cash Flow from Financing Activities, current ratio, inventory turnover ratio have a significant relationship with cumulative abnormal returns (CAR). In addition, empirical results show that the rate of change of Net Cash Flow From Financing Activities are significantly positively correlated with CAR, while current ratio and inventory turnover ratio are negatively correlated with CAR.