台美資本市場對事件的反應差異分析：以台積電為例;Analyzing Differences in Capital Market Reactions between Taiwan and the U.S.: Evidence from TSMC

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题名:	台美資本市場對事件的反應差異分析：以台積電為例;Analyzing Differences in Capital Market Reactions between Taiwan and the U.S.: Evidence from TSMC
作者:	陳宗佑;Chen, Tsung-Yu
贡献者:	企業管理學系
关键词:	事件研究法;虛擬變數;跨市場;投資人反應
日期:	2025-06-18
上传时间:	2025-10-17 11:28:25 (UTC+8)
出版者:	國立中央大學
摘要:	本研究探討台積電於2020至2025年間宣布的四項重大海外投資案，分析其在台灣與美國場股價報酬反應是否一致。研究採用事件研究法與多元線性迴歸模型，將事件週前後一週視為觀察期間，並設計四個事件虛擬變數（event_2020、event_2021、event_2023、event_2025），分別代表各項投資案。市場別亦以虛擬變數（Market）表示，並加入事件與市場的交互作用項（event × Market），以進一步檢驗市場間反應差異。同時納入費城半導體指數（SOX）及其與市場的交互作用項（SOX × Market）作為控制變數，以排除整體產業波動的干擾。實證結果顯示，2020年與2025年赴美投資案對台積電股價產生顯著負面影響，反映市場對大規模資本支出有顯著的反應；然而，不同市場對相同事件的反應並無統計上顯著差異，顯示資訊傳遞效率與投資人結構可能趨於一致。本研究提供企業在面對跨市場資訊揭露與投資人溝通時之參考，建議未來研究可擴大樣本與納入語氣分析，以進一步探討市場反應機制。 ;This study examines whether stock return reactions to four major overseas investment announcements by TSMC between 2020 and 2025 differ across the Taiwan and U.S. markets. Utilizing an event study methodology combined with multiple linear regression analysis, the study defines an event window one week before and after each announcement. Four event dummy variables (event_2020, event_2021, event_2023, and event_2025) are constructed to represent the respective investment announcements. A market dummy variable (Market) distinguishes between the Taiwan and U.S. markets, with interaction terms (Event × Market) included to assess cross-market differences in responses. Additionally, the Philadelphia Semiconductor Index (SOX) and its interaction with the market (SOX × Market) are incorporated as control variables to account for industry-wide fluctuations. Empirical results reveal that the 2020 and 2025 U.S. investment announcements significantly and negatively impacted TSMC’s stock returns, likely reflecting investor concerns over substantial capital expenditures. However, no statistically significant differences in stock return reactions were observed between the Taiwan and U.S. markets for these events. This finding suggests that information transmission efficiency and investor behavior may have become increasingly aligned across these markets. The study offers practical implications for firms regarding cross-market information disclosure and investor communication strategies. Future research could expand the sample size and incorporate tone or sentiment analysis to further elucidate the mechanisms driving market reactions.
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