本研究探討台積電現金股利宣告對半導體產業股價異常報酬的影響，評估其是否構成市場變動因素並引發產業連鎖效應。本研究採用事件研究法，以台灣上市與上櫃半導體公司為樣本，期間為 2023年2月至2024年5月。本文分析台積電股利宣告對供應鏈上、中、下游企業的影響，並將樣本期間的六次股利宣告區分為前三次股利宣告(2023年第一季至第三季)及後三次股利宣告(2023年第四季至2024年第二季) 進行比較，研究結果顯示： 整體半導體產業在股利宣告後未觀察到顯著的股價異常報酬，即使進一步區分供應鏈上、中、下游，市場反應仍不明顯。當區分前後三次分析，前三次股利宣告(2023年第一季至第三季)的股價反應與企業特質關連性較低，僅與資產報酬率略有關係。而後三次股利宣告(2023年第四季至2024年第二季)結果顯示截距項顯著，反映市場環境與未納入模型的其他因素影響較大。 前三次與後三次股利宣告的影響比較顯示，供應鏈下游公司之規模與累積異常報酬呈正相關，而虛擬變數則顯示負相關，顯示不同時期的市場反應有所不同。此外，公司規模呈負相關，顯示規模較小的公司股價報酬較高，公司規模會影響台積電宣告時的股價反應，規模越小，正向反應越大。 ;This study investigates the impact of TSMC′s cash dividend announcements on abnormal stock returns in the semiconductor industry, assessing whether such announcements constitute a market-moving factor and trigger industry-wide chain effects. Employing the event study methodology, this research examines Taiwan-listed and OTC semiconductor companies from February 2023 to May 2024. The study analyzes the effect of TSMC’s dividend announcements on upstream, midstream, and downstream firms within the supply chain. The six dividend announcements during the sample period are divided into two groups for comparison: the first three announcements (Q1–Q3 2023) and the latter three (Q4 2023–Q2 2024). The results indicate that the overall semiconductor industry did not exhibit significant abnormal stock returns following dividend announcements. Even when further categorized into upstream, midstream, and downstream supply chain segments, market reactions remained inconspicuous. A comparison between the first and latter three announcements reveals that stock price reactions to the first three announcements (Q1–Q3 2023) had a weak correlation with firm characteristics, showing only a slight association with return on assets. In contrast, the latter three announcements (Q4 2023–Q2 2024) show a significant intercept term, suggesting a greater influence from market conditions and other unmodeled factors. The comparison between the two periods highlights that firm size in downstream supply chain companies is positively correlated with cumulative abnormal returns, while the dummy variable exhibits a negative correlation, indicating different market responses across time periods. Additionally, firm size is negatively correlated with stock returns, suggesting that smaller firms experience greater positive reactions to TSMC′s dividend announcements.
