臺灣博碩士論文加值系統

本研究探討當台灣環保法令頒布以禁止環境破壞的消息曝光時，台灣鋼鐵、塑膠及水泥產業股價是否會出現負向異常報酬。而當中國環保法令頒布以禁止環境破壞的消息曝光時，台灣鋼鐵、塑膠及水泥產業股價是否會出現正向異常報酬。近一步討論台灣頒布環保法令造成之異常報酬與中國頒布環保法令造成之異常報酬是否有顯著差異，以及當台灣或中國頒布環保法令時，台灣鋼鐵、塑膠及水泥產業的異常報酬是否有顯著差異。最後則檢視了環保法令造成之異常報酬波動幅度可否被系統風險所解釋。
本研究蒐集2014年3月至2018年6月間，台灣、中國頒布環保法令以禁止環境破壞之相關事件，以事件日研究法分析台灣鋼鐵、塑膠與水泥工業之股價反應，並採用變異數分析驗證台灣環保法令造成之異常報酬與中國環保法令造成之異常報酬是否有顯著差異，以及台灣鋼鐵、塑膠及水泥產業產生之異常報酬是否有顯著差異，最後以回歸模型測試系統風險是否對異常報酬波動幅度具解釋能力，藉此得以闡述效率市場假說、從眾行為及競爭效果。
經研究結果證實：
1.台灣環保法令頒布以禁止環境破壞的消息曝光將使台灣鋼鐵、塑膠、水泥產業出現負向異常報酬。
2.中國環保法令頒布以禁止環境破壞的消息曝光將使台灣鋼鐵、塑膠、水泥產業出現正向異常報酬。
3.台灣與中國環保法令頒布以禁止環境破壞的消息曝光對台灣鋼鐵、塑膠與水泥產業之股價影響有顯著差異。
4.中國京津冀秋冬限產令通過以要求中國業者配合停限產的消息曝光對台灣鋼鐵產業造成較大的正向異常報酬。
5.台灣與中國環保法令頒布時，權益報酬率愈高，異常報酬波動幅度愈大，營運資金佔資產比率愈高，或市場價值愈大，則異常報酬波動愈小。

This study investigates whether the stock prices of the steel, plastics, and cement industries in Taiwan will have negative abnormal returns when Taiwan’s environmental regulations are issued to prevent environmental damage. Secondly, we test whether the stock prices of the industries of steel, plastics, and cement in Taiwan will have positive abnormal returns when the China’s environmental regulations are issued to prevent environmental damage. And we also check whether there is a significant difference between abnormal returns caused by Taiwan’s environmental regulations and abnormal returns caused by China’s environmental regulations.
We examine if abnormal returns are significantly different among the industries of steel, plastics, and cement when Taiwan’s or China’s environmental regulations are issued to prevent environmental damage. Finally, the relationship between abnormal return volatility and systematic risk is be examined.
The results find that：
1.The issue of Taiwan's environmental regulations about environmental damage prevention will cause negative abnormal returns to Taiwan's steel, plastics and cement industries.
2.The issue of China's environmental regulations about environmental damage prevention will cause positive abnormal returns to Taiwan's steel, plastics and cement industries.
3.There is a significant difference between abnormal returns caused by Taiwan’s environmental regulations about environmental damage prevention and abnormal returns caused by China’s environmental regulations about environmental damage prevention.
4.The adoption of China's production restriction order has caused larger positive abnormal returns to the steel industry in Taiwan than the plastics and cement industries in Taiwan.
5.The higher return on equity is, the higher fluctuation of abnormal returns is. The higher market value is, the lower fluctuation of abnormal returns is. The higher working capital to assets is, the lower fluctuation of abnormal return is.

摘要…………………………………………………………………………………………………………………………………………Ⅰ
ABSTRACT……………………………………………………………………………………………………………………………Ⅱ
目錄………………………………………………………………………………………………………………………………………Ⅲ
圖目錄…………………………………………………………………………………………………………………………………Ⅴ
表目錄…………………………………………………………………………………………………………………………………Ⅵ
第一章 緒論…………………………………………………………………………………………………………………………1
1.1 研究背景與動機……………………………………………………………………………………………1
1.2 研究目的……………………………………………………………………………………………………………4
1.3 研究程序……………………………………………………………………………………………………………5
第二章 文獻探討………………………………………………………………………………………………………………7
2.1 效率市場假說…………………………………………………………………………………………………7
2.2 從眾理論……………………………………………………………………………………………………………8
2.3 競爭效果…………………………………………………………………………………………………………10
2.4 兩岸環保法令重大提案或修正介紹……………………………………………………11
2.4.1 台灣地區………………………………………………………………………………………………………11
2.4.1.1 台灣環保法令提案或修正背景……………………………………………………………11
2.4.1.2 台灣環保法令提案或修正內容……………………………………………………………15
2.4.2 中國地區…………………………………………………………………………………………………………17
2.4.2.1 中國環保法令提案或修正背景……………………………………………………………17
2.4.2.2 中國環保法令提案或修正內容……………………………………………………………19
2.5 鋼鐵、塑膠、水泥產業與環保法令之關係……………………………………21
2.6 事件日研究法………………………………………………………………………………………………23
第三章 研究方法……………………………………………………………………………………………………………24
3.1 研究架構…………………………………………………………………………………………………………24
3.2 研究假說…………………………………………………………………………………………………………25
3.3 樣本說明…………………………………………………………………………………………………………32
3.3.1 樣本蒐集與範圍…………………………………………………………………………………………32
3.3.2 事件日選擇……………………………………………………………………………………………………35
3.4 實證模型…………………………………………………………………………………………………………35
3.4.1 事件日研究法………………………………………………………………………………………………35
3.4.1.1 確定事件日……………………………………………………………………………………………………36
3.4.1.2 定義並估計異常報酬率……………………………………………………………………………37
3.4.1.3 檢定異常報酬率…………………………………………………………………………………………38
3.4.2 變異數分析…………………………………………………………………………………………………39
3.4.3 相關性與迴歸分析……………………………………………………………………………………45
第四章 實證結果……………………………………………………………………………………………………………49
4.1 敘述性統計分析…………………………………………………………………………………………49
4.2 實證分析…………………………………………………………………………………………………………50
4.2.1 台灣環保法令事件對台灣鋼鐵、塑膠與水泥產業股價影響分析……………………………………………………………………………………………………………………………………………50
4.2.2 中國環保法令事件對台灣鋼鐵、塑膠與水泥產業股價影響分析……………………………………………………………………………………………………………………………………………56
4.2.3 台灣與中國環保法令事件對台灣鋼鐵、塑膠與水泥產業股價影響比較…………………………………………………………………………………………………………………………………62
4.2.4 台灣鋼鐵、塑膠、水泥三產業平均異常報酬比較分析……………64
4.2.5 異常報酬波動幅度與系統風險之迴歸分析……………………………………69
4.3 實證結果彙總………………………………………………………………………………………………72
第五章 結論與建議…………………………………………………………………………………………………76
5.1 結論…………………………………………………………………………………………………………………76
5.2 管理意涵與建議…………………………………………………………………………………………78
5.3 對後續研究建議…………………………………………………………………………………………78
參考文獻………………………………………………………………………………………………………………………………79
附錄………………………………………………………………………………………………………………………………………86

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