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研究生:黃士謙
研究生(外文):Shih-Chien Huang
論文名稱:921大地震對我國營建業相關產業股價之影響
論文名稱(外文):The Impact of 921 Earthquake on the Stock Returns of the Construction-Related Industry
指導教授:洪振義洪振義引用關係林左裕林左裕引用關係
指導教授(外文):Cheng-Yih HongTsoyu Calyin Lin
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:90
中文關鍵詞:事件研究法橫斷面複迴歸效率市場異常報酬
外文關鍵詞:Abnormal ReturnEvent StudyCross-section Multi Regression
相關次數:
  • 被引用被引用:18
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  • 下載下載:16
  • 收藏至我的研究室書目清單書目收藏:3
1999年9月21日集集大地震對台灣的經濟與民生造成重大的傷害,國內製造業總損失金額為821億元,各產業受地震及停電效應衝擊,損失最高者為資訊電子業,達337億元,但並未所有的產業都遭受損失,營建業相關產業類股(營建業、鋼鐵業、水泥業、玻璃業)為地震災害後的受惠族群,因此本研究主要探討,營建業相關產業類股在事件發生後,是否有異常的報酬產生,研究期間為1998年12月22至1999年10月21,共221個交易日,68個觀測值。
實證發現,921集集大地震對於營建業、鋼鐵業、水泥業、有顯著的異常報酬,而玻璃業並未有異常報酬的現象。就累計異常報酬而言,對於鋼鐵與水泥類股的影響最大,而營建類股其次。台灣營建業相關產業類股因921集集大地震事件之發生,所產生的異常報酬現象,符合半強式效率市場假說。
而異常報酬受營建業相關產業財務比率因素影響,就營建業類股而言,公司規模與存貨週轉率對於異常報酬為顯著的正相關,速動比率與負債比率對於異常報酬為顯著的負相關。就鋼鐵類股而言,公司規模與負債比率對於異常報酬為顯著的負相關。就水泥類股而言,速動比率、負債比率與股東權益報酬率,對於異常報酬為顯著的正相關。
The enormous earthquake that hit the city of Ji-ji (Taiwan) on the date of September 21st, 1999 severely injured the country’s economy and people’s livelihood; the manufacturing industry gave up a total amount of NT$ 82.1 billion, each and every industry of the country was hit by the earthquake and its black out, the most important loss came from the information industry which reached a total of NT$ 33.7 billion, it is, however, not all the industries that suffered losses. For their part, the construction industry and similar related industries (the construction, the iron and steel industry, the cement industry, as well as the glass industry) were luckily favored by the earthquake. Consequently, this research is to discuss whether or not the Ji-ji Earthquake unusually influenced the construction industry and its related industries remuneration, this research will put its focus on the December 22nd, 1998 to October 21st, 1999 period, accounting for a total of 221 trade days with 68 observation values.
The truth is that the 921 Earthquake brought considerable abnormal return for the construction industry, the iron and steel industry, as well as the cement industry, the glass industry however was not part of the same profit phenomenon. By only taking into account the grand total of abnormal return, the iron and steel as well as the cement industries were the two most affected by the earthquake, the construction industry taking the second place. Due to the massive 921 Ji-ji Earthquake, the phenomenon of abnormal return for the construction and related industries unusually fits the Semi-strong Effect Market Hypothesis.
The abnormal return benefited by the construction and related industries produced a financial scale influence. Concerning the construction related industries, there is a significant positive correlation exited in between the company scale, turnover of inventory and the abnormal return, while quick rate and debt rate showed a significant negative correlation to the phenomenon of abnormal return. Concerning the iron and steel industry, there’s a significant positive correlation exited in between the company scale, debt rate and the abnormal return, while a significant correlation existed among the abnormal return and quick assets rate, debt rate, and return on equity for the cement industry.
中文摘要…………………………………………………………………I
英文摘要………………………………………………………………II
目錄……………………………………………………………………IV
表目錄…………………………………………………………………VI
圖目錄………………………………………………………………VIII
第一章 緒論…………………………………………………………1
第一節 研究背景與動機…………..………………………………1
第二節 研究目的……………………………………………………3
第三節 章節架構與研究流程………………………………………4
第二章 文獻回顧………………………………………………………6
第一節 效率市場假說………………………………………………6
第二節 國內外事件研究法文獻……………………………………15
第三節 國內外重大災害事件研究法相關文獻……………………25
第三章 研究方法……………………………………………………35
第一節 研究範圍……………………………………………………35
第二節 事件研究法…………………………………………………40
第三節 橫斷面複迴歸分析法………………………………………44
第四節 研究假說……………………………………………………51
第四章 實證分析……………………………………………………52
第一節 異常報酬檢定………………………………………………53
第二節 效率市場檢定………………………………………………71
第三節 異常報酬因素分析…………………………………………73
第五章 結論與建議…………………………………………………82
第一節 研究結論……………………………………………………82
第二節 研究貢獻……………………………………………………84
第二節 研究限制與建議……………………………………………84
參考文獻………………………………………………………………86
一、中文部分
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何如茵 (2002)。台灣金融控股公司申設宣告效果之研究。未出版碩士論文,銘傳大學金融研究所。
余慧玲 (1998)。經濟事件與非經濟事件對於股市的影響。未出版碩士論文,國立成功大學會計研究所。
周賓凰與蔡坤芳 (1997)。台灣股市日資料特性與事件研究法。證券市場發展季刊。13,1-27。
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林栗羽 (2001)。土地增值稅減半徵收之市場反應研究。未出版碩士論文,國立台灣大學會計學研究所。
林麗姬 (2000)。探討美、日、星、台的重大災難與股市關係之實證研究。未出版碩士論文,中原大學企業管理研究所。
吳奉遠 (2002)。巨災事件對產險業股價影響之研究。未出版碩士論文,中正大學財務金融研究所。
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陳柔汶 (2003)。第二次波斯灣戰爭事件對股票異常報酬影響之研究。未出版碩士論文,高雄第一科技大學金融營運研究所。
曾昱達 (2002)。大眾媒體推薦資訊對台灣股票市場之影響。未出版碩士論文,朝陽科技大學財務金融所。
葉淑玲 (2003)。台灣重大災難事件對產險業股價報酬之影響。未出版碩士論文,高雄第一科技大學金融營運研究所。
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劉思綺 (2001)。財務預測對股價影響之研究。未出版碩士論文,朝陽科技大學財務金融所。
蔡佳燕 (2003)。重大災難事件貴股票市場之影響-以台灣921集集大地震對電子業、銀行業、營建業為例。未出版碩士論文,高雄第一科技大學金融研究所。
鐘雨潼 (2003)。台灣2002年公開資訊觀測站重大訊息之資訊內涵分析。未出版碩士論文,淡江大學管理科學研究所。

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