| 摘要: | 戰爭比我們預期的離我們更近。至二戰後戰爭的總體數量有所減少，但近十年來戰
爭的頻率和規模卻逐漸上升，例如烏克蘭與俄羅斯的衝突、以色列與巴勒斯坦的戰爭
以及蘇丹的衝突。這些事件提醒我們，戰爭的威脅並沒有退去。而戰爭對全球投資環
境有著深遠的影響。每當戰爭爆發，市場通常會經歷劇烈的波動，投資者會對不確定
性和風險做出反應。例如，烏克蘭與俄羅斯的衝突導致能源價格大幅波動，而以色列
與巴勒斯坦的戰爭則提高了中東地區的投資風險。戰爭不僅影響特定行業，例如軍工
和能源，還會改變整個地區的投資風險。因此，投資者需要關注戰爭的宣告，快速了
解戰爭的動態，以便做出相應的投資決策。這不僅有助於短期的風險管理，還能提供
關鍵的資訊來預測長期的市場趨勢，從而制定更為全面的投資策略。
在過去的學術研究中，已經發現戰爭宣告與股市報酬之間存在負向連結如 Kamal et
al. (2023) 。然而這些研究大多集中在短期內投資者對宣告的反應。筆者對於這種衝
擊是否會延續至長期感到好奇。除了戰爭開始前投資者需要提前佈局進行風險控管外，
當戰爭即將結束時，投資者更應該做好準備，迎接終戰的宣告。終戰宣告是否會引發
不同的投資者反應值得深入探討，特別是戰勝或戰敗對於投資者，甚至關注不同產業
的投資者，其影響如何，更是研究的有趣點。這樣的研究除了能彌補現有文獻的不足，
更能為投資者及政策制定者提供更完善的指導方針。
本研究探討戰爭宣告與終戰宣告對全球及不同區域股市的影響，並分析不同類型的
戰爭事件及地區反應。使用事件研究法，本文檢驗了 1970 年至 2023 年間多場戰爭事
件，並計算平均異常報酬率和平均累積異常報酬率。研究結果顯示，宣戰效果對投資
者造成短期負向影響，衝擊延續至事件後 30 天，而終戰則造成長期正向衝擊，延續至
事件後 150 天。此外，在戰爭結果的分析上，勝利宣告相對於戰敗宣告的衝擊更大且
方向不同，勝利宣告下衝擊顯著為正，反之則不顯著為負，不同區域結果也是相同。
對於不同產業的投資者，發現戰爭結束後越久，終戰宣告的衝擊由正向逐漸轉為負向。
也發現戰爭持續時間越長，對產業造成的負面衝擊越大。
關鍵字:事件研究法、效率市場假說、地緣政治風險
;War is closer to us than we might expect. Although the total number of wars has decreased
since World War II, the frequency and scale of wars have gradually increased over the past
decade, as seen in conflicts such as the Ukraine-Russia conflict, the Israel-Palestine war, and
the Sudan conflict. These events remind us that the threat of war remains. War has a profound
impact on the global investment environment. Whenever a war breaks out, markets typically
experience severe fluctuations as investors react to uncertainty and risk. For example, the
Ukraine-Russia conflict led to significant volatility in energy prices, while the Israel-Palestine
war increased investment risk in the Middle East. War affects not only specific industries, such
as the defense and energy sectors but also the overall investment risk of entire regions.
Therefore, investors need to pay attention to war announcements, quickly understand the
dynamics of the war, and make corresponding investment decisions. This not only helps in
short-term risk management but also provides crucial information to predict long-term market
trends, enabling the formulation of more comprehensive investment strategies.
In previous academic studies, it has been found that war announcements are negatively
correlated with stock market returns, as shown by Kamal et al. (2023) . However, these studies
have mostly focused on short-term investor reactions to the announcements. I am curious
whether this impact extends into the long term. Besides the need for investors to strategically
plan for risk management before a war begins, they should also be well-prepared for the end of-war declarations. It is worth investigating whether end-of-war announcements elicit different
reactions from investors. Particularly interesting is how the outcomes of wars, whether victory
or defeat, affect investors, including those focusing on different industries. Such research not
only fills gaps in the existing literature but also provides more comprehensive guidelines for
investors and policymakers.
This study explores the impact of war announcements and end-of-war declarations on global
and regional stock markets, analyzing different types of war events and regional reactions.
Using the event study methodology, this paper examines multiple war events from 1970 to 2023,
calculating the average abnormal returns (AAR) and cumulative average abnormal returns
(CAAR). The results show that war announcements cause a short-term negative impact on
investors, with effects lasting up to 30 days after the event, while end-of-war announcements
lead to a long-term positive impact, extending up to 150 days post-event. Furthermore, the
analysis of war outcomes reveals that victory announcements have a significantly positive
impact compared to defeat announcements, which tend to have a negative but not significant
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impact. This pattern holds across different regions. For investors focusing on various industries,
it is found that the longer the time since the war ended, the positive impact of the end-of-war
announcement gradually turns negative. Additionally, it is observed that the longer the war
duration, the more negative the impact on industries.
Keywords: event study methodology, efficient market hypothesis, geopolitical risk |
