在油價、原物料高漲的時代，全球金融風暴使航空產業面臨前所未有衝擊，過去風險估計方法於這次景氣衰退中受到嚴重挑戰，本文有別以往探討航空業波動關連性研究，利用條件異質變異模型探討國際航空公司在股票市場中日報酬波動的相互關係，並納入1997年亞洲金融風暴、2001年美國911恐怖攻擊、2003年亞洲SARS風暴和2007年全球金融風暴等國際重大事件，同時在報酬變異數方程式下架構總資產、流動比率、負債權益比和市價對帳面價值比變數，依序從事件及財務面出發，觀察不同層面對航空公司股價報酬波動的影響。實證結果發現航空報酬序列有顯著ARMA（1,1）－GARCH（1,1）效果，不同事件對各航空所處國家有顯著地域性波動衝擊，例如亞洲各國航空在亞洲金融風暴中具增加股價報酬波動效果，全球金融風暴範圍則顯著干擾世界各航空公司報酬波動；而流動比率與負債權益比對航空報酬分別有正向和反向影響波動的結果，可能因素在於樣本公司流動負債長期大於流動資產，且具負股東權益總額所致。另外市價帳面價值比對航空公司的報酬波動為反向，表當公司存在高市價帳面價值比時，報酬波動相對是較於穩定的狀態。由此可得知國際重大事件與航空公司營運上的財務比率對於航空公司股價報酬波動上，皆可能產生風險性影響。

The World financial crisis has made a significant impact in the recent years, challenging past risk model in the current business recession. This research uses the Generalized Autoregressive Conditional Heterskedasticity (GARCH) to investigate the relationship between the various global crisis (World Financial Crisis 2007, SARS 2003, Terrorist Attacks 2001 and Asian financial crisis 1997) and the airlines stock returns volatility, adding total assets, current ratio, debt/equity ratio and price/book ratio to the variance equations in the GARCH models. The result shows an outstanding ARMA(1,1)-GARCH(1,1) performance in the current returns, indicating that different crisis events produce different impact on the aviation industries depending on their regions. For example, the Asian Financial Crisis had caused an increase in returns volatility in Asian airlines. However, the World financial crisis produces a positive impact in the global aviation industries. The current ratio and debt/equity ratio have positive and negative effects respectively. The difference in the impact might be due to sample size airlines’ current liabilities being greater than current assets in the long run, and a negative common equity. In addition, price/book ratio have reverse effects on airlines returns volatility, indicating that returns volatility stabilizes when airlines price/book ratio are high. In conclusion, global crisis and financial ratios will have an impact on risk volatility on airlines returns.

目錄
中文提要...............................................i
英文提要..............................................ii
誌謝.................................................iii
目錄..................................................iv
表目錄.................................................v
圖目錄................................................vi
壹、緒論...............................................1
一、研究背景..........................................1
二、研究動機與目的....................................5
三、本文架構..........................................7
貳、文獻回顧...........................................8
一、航空公司營運績效分析回顧..........................8
二、財務報表變數對於公司企業股價上的影響..............9
三、航空公司間的相對報酬率測度........................9
四、波動性相關研究...................................10
五、波動性模型對於國際航空股票績效上的結合應用.......13
六、重大事件對於國際航空股票表現的衝擊...............14
參、研究方法..........................................19
一、變數處理.........................................19
二、單根檢定.........................................22
三、ARCH效果檢定.....................................23
四、GARCH條件異質變異模型............................24
肆、實證結果..........................................29
一、資料來源.........................................29
二、各航空股價報酬資料穩定性檢定.....................35
三、各航空股價報酬序列ARCH/GARCH效果檢定.............36
四、重大事件對於國際航空日股價報酬波動性分析.........38
五、財務報表因素對國際航空季股價報酬波動性分析.......43
伍、結論與建議........................................47
一、結論.............................................47
二、建議.............................................49
參考文獻..............................................50

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