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研究生:曾靜婕
研究生(外文):Tzeng,Jingjye
論文名稱:ECFA對台灣塑化股之宣告效果與異常報酬研究
論文名稱(外文):Stock Market Reaction to ECFA Announcement in Taiwan Chemicals Listed Stock
指導教授:秦銘璟秦銘璟引用關係余威廷余威廷引用關係
指導教授(外文):Chin,MingchinYu,Weiting
口試委員:胡光華林玉彬余威廷
口試委員(外文):Hu,GuanghuaLin, YubinYu,Weiting
口試日期:2011-05-19
學位類別:碩士
校院名稱:真理大學
系所名稱:財經研究所
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:英文
論文頁數:28
中文關鍵詞:ECFA事件研究法異常報酬
外文關鍵詞:ECFAevent studyabnormal return
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本研究係以5個有關兩岸經濟合作架構協議(ECFA)宣告事件日之股價的累積報酬為檢驗。本篇研究主要探討對象為台灣上市上櫃塑化股之異常報酬。本文採用Zibart (1985) 所提之事件研究法,研究期間自2010年1月至2011年2月。實證結果顯示,3個宣告日與簽訂日當天皆有顯著負的異常報酬,且在事件日當天以前皆已有對該事件的累積反應。
This paper examines the cumulative daily response of stock prices to 5 announcements about the Economic Cooperation Framework Agreement (ECFA).We focus to evaluate the abnormal return of the Taiwan chemical listed stock. We use daily data from January 2010 to February 2011 to employ an event study measure suggested by Zibart (1985). The empirical results suggest that the three ECFA announcement dates, as well as the signing date, show significantly negative abnormal return due to the prior positive cumulative response of Taiwan Chemicals listed stock prices.
Chapter 1 Introduction………………………………………………1
1.1 The definition of ECFA and its economic impacts…………………………......1
1.2 A general description of the early harvest list on the ECFA……………………5
1.3 The current situation of the petrochemical industry in Taiwan ………………...6
1.3.1 ECFA announcements of the petrochemical industry…………………………………….......6
1.3.2 Objectives…………………………………………………………………………………….11
Chapter 2Literature Review…………………………………………11
2.1 The method of event study and efficient market hypothesis……………………11
2.2 Previous studies…………………………………………………………………12
Chapter 3 Methodology……………………………………………….14
3.1 Measuring abnormal returns......................................................14
3.2 Market Model……………………………………………………………………15
3.3 Event window and estimation window………………………………………….15
3.4 Statistical test of abnormal returns……………………………………………....16
3.5 Modifying the three research questions and the hypothesis test………………...17
Chapter 4 Data and Empirical Results……………………………….17
4.1 Four specific announcements on an event date………………………………….18
4.2 The signing date on an event date……………………………………………….19
Chapter 5 Conclusions..................................................................... 22
Reference……………………………………………………………….24
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