兩岸議題的發表對中國概念股之股價反應研究-以兩國論、一邊一國論及反分裂法為例

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题名:	兩岸議題的發表對中國概念股之股價反應研究-以兩國論、一邊一國論及反分裂法為例
作者:	余育全;Yu-Chuan Yu
贡献者:	企業管理研究所
关键词:	事件研究法;橫斷面複迴歸;隨機化集區設計;異常報酬;event study;Randomized Block Design;cross section regression analysis;abnormal return
日期:	2005-06-23
上传时间:	2009-09-22 14:28:59 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	長久以來，許多人針對重大事件對於台灣股市的影響一直有許多不同角度的解讀，有人以過度反應或不確定資訊假說的構面來檢定，也有人以效率市場的看法來驗證台灣股市，不過近年來新興的行為財務學派針對Fama效率市場爭議不斷。本研究想針對政治議題對台灣股市的影響做探討，以「兩國論」、「一邊一國論」及「反分裂法」等三次兩岸議題的發表為例，檢定對中國概念股是否有顯著的股價反應影響，並且藉由近幾年來三個不同的時間點來驗證台灣股市效率性。此外，本研究想進一步想知道「兩國論」及「一邊一國論」是由台灣當局高層所提出的「台獨」言論，而「反分裂法」是由中共當局所發布的「一中」言論，但其對台灣股市所造成的衝擊是否有一致也是本研究所關心的重點，最後再針對不同財務比率來探討累積異常報酬是否是其影響。本研究先使用事件研究法來計算出中國概念股在三個事件中是否有顯著的異常報酬以及累積異常報酬，再以隨機化集區設計來檢定三次事件所帶來的平均累積異常報酬是否有顯著的不同，最後以橫斷面複迴歸分析來比較不同的財務比率對累積異常報酬是否有顯著影響。研究結果顯示，在「兩國論」及「一邊一國論」兩個事件當中，對於中國概念股的衝擊，都是先造成顯著的負向異常報酬，隨後即展開反彈行情出現正向的異常報酬，而「反分裂法」對於中國概念股沒有造成負向顯著異常報酬，所以之後也沒有出現反彈行情。此外，以累積異常報酬來看，「兩國論」及「一邊一國論」有對中國概念股造成顯著累積異常報酬，而「反分裂法」並無對中國概念股造成顯著的累積異常報酬。使用隨機化集區設計檢定三個事件對中國概念股的平均累積異常報酬發現事件日後十五天之內只有CAR(0,5)及CAR(0,6)兩者有0.05的顯著水準，其餘的均無任何顯著差異產生。在財務比率方面，「公司總資產」(TA)、「總資產報酬率」(ROA)、「流動比率」(CR)和「負債資產比」(LA)，並非能夠完全解釋所有產業，就中概電子股而言「公司總資產」(TA)、「總資產報酬率」(ROA) 和「負債資產比」(LA)有較為顯著的解釋力，不過「公司總資產」(TA)並非如預期中的正向關係。而對中概內銷股而言，四個因子均有顯著解釋力，不過「公司總資產」(TA) 亦不如預期中的正向關係。而對中概外銷股而言，四個因子也都具有解釋力，不過「總資產報酬率」(ROA)和「流動比率」(CR)不如預期中的正向關係。 For a long time, a lot of people have had the understanding of a lot of difference angles all the time to the influence on the stock market of Taiwan of the major event, someone assays with the literary composition surface of the overreaction or the uncertain information hypothesis, someone verifies the stock market of Taiwan with the view of the efficiency market too, but the new developing financial school of behavior directs against Fama efficiency market's dispute constantly in recent years. This research wants to do the discussion to the political impact on stock market of Taiwan of topic , with “two states” theory , “One country on each side theory” and “against separation law” wait for for three times two sides topic deliver for the example, whether assaying has apparent stock price that reacts to influence to China's concept share , and check and verify the efficiency of stock market of Taiwan with three pieces of different time in recent years. In addition, this research wants to want to know “two states” theory and “One country on each side theory” is speeches of “independence of Taiwan” put forward by the Taiwan authorities on the senior level, and “against separation law” is the speech released by the Communist Party of China authorities “The unified one”, but it is this focal point cared about of research whether impact caused of stock market of Taiwan is consistency, whether it is its influence to probe into and CAR different financial rates afterwards. This research uses the event study to calculate out China's concept share and there is apparent AR and CAR in three incidents first , whether and then there is apparent difference in the average CAR brought to assay three incidents by melting in the Randomized Block Design, it is replied with the cross section regression analysis that finally analyses whether more different financial rates have influence of showing in CAR. The result of study shows, in “two states” theory and “One country on each side theory”, the impact to China's concept share, all it is first it cause apparent negative significant AR and then have positive AR. The “against separation law” doesn’t cause any significant AR, so later rebounding quotations did not appear either. In addition, look by CAR , “two states” theory and “One country on each side theory” cause CAR to China's concept share apparently, and “against separation law” has not caused apparent CAR to China's concept share . Use and melt in the Randomized Block Design and assay three incidents and find to the average CAR of burst of China's concept that there will be CAR within 15 days in the future in CAR(0, 5) and CAR (0 , 6 ) have 0.05 significant of showing, the rest do not have any that is produced showing the difference . In financial rate, Total Asset (TA ) , the total rate of returns of assets (ROA ), the liquidity ratio (CR ) compare with debt asset ratio (LA), can not totally explain all industries. For the electron company, (TA ) ,(ROA ) and (LA) to have comparatively apparent explanation, but (TA) is not positive in expectancy. And to in the general to be the sold inside the country for burst but speech ,have not lasting explanation strength four piece factor, but (TA) also as anticipated in relation. But the speech of and general to China burst for export, four factor is it explain strength , but (ROA ) and as to the relation as expectancy (CR ) to have too.
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