政策宣告與股價異常報酬率之研究：台灣股價的實證分析

A Study on the Relationship between Announcement Effects and Abnormal Stock Returns: Evidence from the Stock Market in Taiwan

10.6985/TBFQ.201203.0057

陳芬英(Fen-Ying Chen)；黃宸浩(Chen-Hao Huang)

事件研究法 ； 異常報酬率 ； 政策宣告 ； 兩岸經貿政策 ； Event Study ； Abnormal Return ； Policy Announcement ； Cross-strait Economic Policies

台灣金融財務季刊

13卷1期（2012 / 03 / 01）

57 - 85

繁體中文

本研究探討兩岸經貿政策宣告是否對台灣股價產生異常報酬率。本文利用2007年8月至2010年9月與政策相關之台灣上市公司股價日資料為樣本，採用事件研究法之市場模式，分析兩岸直航、MOU、ECFA等政策分別自宣告期間、簽署期間和生效期間等三個時期，台灣相關類股之股價是否會有異常報酬率。實證結果可知，政策宣告期間，兩岸直航、MOU確實對股價異常報酬率具有顯著的宣告效果；ECFA宣告期間發生於次貸風暴最低點時期，無顯著的宣告效果，但投資人可藉由觀察政策相關受惠類股配合全球投資氣氛，於政策宣告期間獲得超額報酬。在簽署期間，兩岸直航、ECFA二個政策對相關類股之股價異常報酬率顯著呈正向關係，而MOU政策顯著呈負向關係，其原因可能是MOU為兩岸金融監理合作瞭解備忘錄，實質協商內容與條件還沒明確討論。故政策簽署對股價異常報酬率具有顯著的簽署效果，投資人藉由觀察政策相關受惠類股配合政策內容，於政策簽署期間獲得超額報酬。然而，生效期間政策生效對股價異常報酬率不具有顯著的效果。

sing a market model of event study approach, this paper explores the relationships between abnormal returns on the Taiwan stock market and the announcement of cross-strait economic policies such as the cross-strait direct flights, MOU and ECFA policies. The samples selected are the daily data of stock returns in Taiwan from Aug 2007 to Sep 2010, and are separated into three periods, which are the policy announcement, policy-signing and policy-implementation periods.The empirical results show that the effects of the cross-strait direct flights and MOU policies on stock abnormal returns are significant during the announcement period, while the impacts are insignificant for the ECFA policy. However, investors still gain excess profits during the policy announcement periods. Alternatively, the effect of MOU on abnormal returns is a negative correlation, whereas the relationships between abnormal returns and the cross-strait direct flights or ECFA are positive during the policy-signing period. Generally, there are crucial effects in the policy signing period. Conversely, the impacts are insignificant during the policy-implementation period.

1. Desai, H.,Jain, P. C.(1997).Long-Run Common Stock. Returns following Stock Splits and Reverse Splits.The Journal of Business,70(3),409-432.
2. Dyckman, T.,Philbrick, D.,Stephan, J.(1984).A Comparison of Event Study Methodologies Using Daily Stock Returns.Journal of Accounting Research,22(Supplement),1-33.
3. Liu, P.,Smith, S. D.,Syed, A. A.(1990).Stock Price Reactions to The Wall Street Journal's Securities Recommendations.Journal of Financial and Quantitative Analysis,25(3),399-410.
4. Mcintosh, W.,Ott, S. H.,Liang, Y.(1995).The Wealth Effects of Real Estate Transactions: The Case of REITs.Journal of Real Finance and Economics,10(3),299-307.
5. Sharpe, W. F.(1964).Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.Journal of Finance,19(3),425-442.
6. Shelton, L. M.(2000).Merger Market Dynamics: Insight into the Behavior of Targetand Bidder Firms.Journal of Economic Behavior and Organization,41(4),363-383.
7. Zantout, Z. Z.,Chaganti, R.(1996).New Product Introductions, Shareholders' Wealth and First-Mover Advantages.Journal of Financial and Strategic Decisions,9(3),49-61.
8. 杜泯錡(2010)。碩士論文(碩士論文)。國立交通大學土木工程學系。
9. 沈中華、李建然(2000)。事件研究法—財務與會計實證研究必備。台北市:華泰書局。
10. 姜淑萍(2010)。碩士論文(碩士論文)。國立中央大學產業經濟研究所。
11. 張建成(2010)。碩士論文(碩士論文)。國立政治大學經營管理研究所。
12. 黃雅玲(2004)。碩士論文(碩士論文)。國立台灣大學會計學研究所。

1. 曾思齊(2016)。台灣強制編製企業社會責任報告書之事件研究。國立臺灣大學會計學系學位論文。2016。1-64。