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研究生:陳勻蓁
研究生(外文):Yun-Chen Chen
論文名稱:歐債主權危機對兩岸三地股市之影響
論文名稱(外文):An Impact of the European Debt Crisis in the Taiwan, China and Hong Kong Stock Markets
指導教授:楊雪蘭楊雪蘭引用關係
指導教授(外文):Hsueh-Lan Yang
學位類別:碩士
校院名稱:南台科技大學
系所名稱:企業管理系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:102
畢業學年度:101
語文別:中文
論文頁數:99
中文關鍵詞:歐債主權危機事件研究法金融風暴兩岸三地
外文關鍵詞:European debt crisisEvent StudyFinancial crisisTaiwan, China and Hong Kong
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2008年金融海嘯導致全球經濟衰退,波及全球股價出現暴跌,這波金融風暴災情迅速蔓延,加速歐洲各國財政赤字與政府債務大幅飆升,2009年底希臘遭到三大信評機構調降評等,揭開歐債主權危機序幕。
本研究探討歐債主權危機對兩岸三地股票市場所造成的影響,研究方法為事件研究法,並運用相依樣本t檢定,進行歐債危機對兩岸三地股票市場實證分析。探討三個方向:(1)發生歐債主權危機對大陸上證指數的影響及影響時間之長短;(2)發生歐債主權危機對台灣加權指數的影響及影響時間之長短(3)發生歐債主權危機對香港恆生指數的影響及影響時間之長短。以事件研究法研究探討發生歐債主權危機對兩岸三地股市指數是否產生異常報酬。
實證結果顯示:歐債主權危機事件對兩岸三地股市皆產生影響,且發現台股投資人對事件的敏感度與波動度高於上證與香港恆生之投資人,台灣股市的成交量較易受到其它外界因素而產生波動,兩岸三地股價本益比與股價淨值比於2010年事件二中達到高峰,但到2012年事件四時已產生下滑現象,顯示兩岸三地股市經過兩年的發酵期,已產生鈍化之情形。
事件研究法結果顯示,歐債主權危機事件對兩岸三地股市產生異常報酬, 2010年之事件產生16個異常報酬,內含9個負異常報酬7個正異常報酬,經過2年之洗禮與衝擊,2012年只剩11個異常報酬,內含4個負異常報酬7個正異常報酬,顯示歐債主權危機對兩岸三地有顯著影響。累積異常報酬率發現,上證對歐債主權危機事件較台股與港股有落後反應發生且較具獨立性。台股與港股發生累積異常報酬率之時間日期多數同時發生,且港股於事件一領先產生劇烈反應,但至事件二、事件三與事件四時,港股已不具領先指標,台股與港股對歐債主權危機事件較具同步之反應,2010年事件對兩岸三地累積異常報酬率產生59個累積異常報酬率,到了2012年僅剩24個累積異常報酬率,隨著歐債主權危機經過兩年歹戲拖棚未結束,讓兩岸三地投資人對事件再次發布與衝擊出現麻木的投資反應且漸趨樂觀。
The financial tsunami happened in 2008 has caused a global economic recession, which consequently made a global stock plunge seriously. This financial tsunami spread rapidly through over the world and sped up the financial deficit and governmental debt in European countries. In 2009, Greece was downgraded by three major credit rating agencies, as a result, the disaster – the European sovereign debt crisis commenced.
This research aims to explore the impact of European sovereign debt crisis on Greater China. Event Study Method was employed in this research and the empirical analysis of paired-sample t test was used to analyze this impact on the stock market in Greater China. The research investigated three aspects: (1) how the impact of European sovereign debt crisis on SSE Composite Index and its impact duration; (2) how the impact of European sovereign debt crisis on Taiwan Stock Exchange and its impact duration; (3) how the impact of European sovereign debt crisis on Hang Sheng Index and its impact duration. Event Study Method was introduced in order to discover whether the stock indexes in mainland China, Hong Kong and Taiwan had abnormal returns by the crisis.
The empirical results indicated that European sovereign debt crisis truly caused an impact on Greater China; in addition, the investors of TWSE were more fluctuated and sensitive to the sovereign crisis than the investors of SSE Composite Index and Hang Sheng Index. The volume of TWSE was fluctuated easily by external events. The PE Ratio and PB Ration of share price in Greater China hit a highest peak during the second event in 2010, but, when the fourth event came in 2012, the ratios turned to shrink, which showed the stock markets in Greater China had became inactivation after two years’ fermentation.
Event Study Method also showed that European sovereign debt crisis contributed abnormal returns on the stock market of mainland China, Hong Kong and Taiwan; there were 16 abnormal returns in the event of 2010, comprised of 9 negative abnormal returns and 7 positive abnormal returns; with the shock and assault within two years, there were only 11 abnormal returns left, in which there were 4 negative abnormal returns and 7 positive abnormal returns; this results evidenced that European debt crisis did produce significant impact on Greater China. And when looking at the cumulative abnormal return found that SSE Composite Index reacted slowly and independently to the sovereign debt crisis than other two stock markets; and the cumulative abnormal return in TAIEX and Hong Kong Stock occurred almost at the same time and same date, and Hong Kong Stock had a first violent reaction to the first event, however, when it came to the subsequent events, Hong Kong Stock had already lost its leading index; actually, TAIEX and Hong Kong Stock had a similar correspondent reaction to European sovereign debt crisis. The event happened in 2010 added 59 cumulative abnormal returns to Greater China but in 2012, there were only 24 cumulative abnormal returns left. European sovereign debt crisis has swept around the world for two years and its remaining troubles seem to have no end, and the endless debt crisis seems not to paralyze investors’ reaction of Greater China anymore, on the contrary, the investors in this area are growing optimism for the future.
摘要 iv
ABSTRACT v
致謝 vii
目錄 viii
第一章 緒論 1
1.1研究背景與動機 1
1.2研究目的 2
1.3研究期間及對象 3
1.4論文寫作流程 3
第二章 文獻探討 6
2.1歐債主權危機 6
2.2金融危機事件對股市的影響 15
2.3重大事件發生前後對股市的影響 18
2.4兩岸三地股市概述 22
第三章 研究方法 26
3.1研究架構 26
3.2研究期間與資料來源 27
3.3研究變數定義與衡量 28
3.4研究假說 30
3.5實證模型 31
第四章 實證結果與分析 38
4.1敘述性統計分析 38
4.2相依樣本t檢定 39
4.3事件研究法 45
第五章 結論與建議 64
5.1研究結論 64
5.2研究建議 67
5.3研究限制 68
參考文獻 70
附錄 74
一、中文文獻
1.何家麟,2005,亞洲金融風暴對東南亞各國股、匯市傳導效應之影響,靜宜大學會計系碩士班,碩士論文。
2.李秋錦,2009,「歐元十年的成果與挑戰」,經濟研究期刊,第10 期,頁375-398。
3.李綱信,2010,「歐洲主權債信危機之分析」,經濟研究期刊,第11 期,頁231-258。
4.李浩旭,2011,iPad對台灣電子產業供應鏈之衝擊─以事件研究法分析,交通大學財務金融研究所,碩士論文。
5.沈中華、李建然,2000,事件研究法-財務與會計實證研究必備,華泰文化事業股份有限公司出版。
6.吳佩蓉,2010,兩岸金融MOU政策之事件研究,國立中山大學財務管理學系研究所,碩士論文。
7.周自強,2012,奢侈稅對於台灣營建股股價之影響─以事件研究法論之,南華大學財務管理研究所,碩士論文。
8.徐瑞陽,2010,金融風暴下總體經濟的變化對金磚五國股市的影響,世新大學管理學院財務金融學系,碩士論文。
9.陳美菊,2008,「次級房貸風暴對全球經濟之影響」,經濟研究期刊,第8期,頁249-271。
10.陳水生,2007,台灣股市本益比投資策略深入探討,東華大學企業管理學系,碩士論文。
11.莊文智,2011,歐元區PIIGS五國主權債務危機與金融市場發展之探討,實踐大學財務金融學系,碩士論文。
12.萬文隆,2001,重大事件對兩岸三地股市連動之研究─狀態空間模型及介入模式之應用,台北大學企業管理系,碩士論文。
13.黃昭祥,2005,法人投資行為、成交量、與報酬可預測性─台灣股市動能效應或反轉現象之再探,雲林科技大學管理研究所,博士論文。
14.彭德明、方耀,2010,「歐洲主權債務危機與歐元區未來」,中央銀行發行國際金融參考資料,第60輯,頁1-26。
15.楊仁彰,2001,事件研究法異常報酬率檢定之研究,銘傳大學金融研究所,碩士論文。
16.楊素柳、蘇秋鳳,2012,「由歐盟之組成看歐盟債信問題及解決方案之研究」,財經學院會議論文,頁A2-1-A2-34。
17.劉馨薇,2002,總體經濟變數及重大事件對中國大陸股市之影響,成功大學企業管理研究所,碩士論文。
18.蔡佳燕,2003,重大災難事件對股票市場之影響─以台灣九二一集集大地震對電子業、銀行業、營建業為例,高雄第一科技大學金融營運系,碩士論文。
19.盧慧蘭,2009,美國次貸風暴相關重大事件對台灣股市之影響:事件研究法之應用,台南科技大學商學與管理研究所,碩士論文。
20.顏振益,2010,兩岸三地和美國股市關聯性之研究─以全球金融風暴為例,高雄第一科技大學金融系,碩士論文。
二、國外文獻
1.Ball, R., and P.P. Brown, 1968, “An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research, Vol.6, No.2, pp.159-178
2.Basu, S., 1977, “Investment Performance of Common Stocks in Relation to Their Price Earnings Ratio:A Test of the Efficient Market Hypothesis,” Journal of Finance, Vol.32, pp.663-687
3.Beaver, W., P. Kettler, and M. Scholes, 1968, “The Association Between Market Determined and Accounting Determined Risk Measures,” The Accounting Review, Vol.35, pp.654-682
4.Brown, S.J. and J.B. Warner, 1980, “Measuring Security Price Performance,” Journal of Financial Economics, Vol.8, pp.205-258
5.Brown, S.J. and J.B. Warner, 1985, “Using Daily Stock Return:The Case of Event Studies,” Journal of Financial Economics, Vol.14, pp.3-31
6.Campbell J. Y., S. J. Grossman, and J. Wang, 1993, “Trading Volume and Serial Correlation in Stock Returns, ” The Quarterly Journal of Economics, Vol.108, pp.905-939
7.Cheng, Hwahsin and Glascock, John L, 2006, “Stock Market Linkages Before and After the Asian Financial Crisis:Evidence form Three Greater China Economic Area Stock Markets and the US,” Review of Pacific Basin Financial Markets and Policies, Vol.9, No.2, pp.297-315
8.Dolley, J. C., 1933, “Characteristics and Procedure of Common Stock Split-ups,” Harvard Business Review, Vol.11, pp.316-326
9.Dwyer, Gerald P. and Tkac, Paula, 2009, “The Financial Crisis of 2008 in Fixed-income Markets,” Journal of International Money and Finance, Vol.28, No.8, pp.1293-1316.
10.Eun, Cheol S. and Shim, Sangdal, 1989, “International Transmission of Stock Market Movements,” Journal of Financail and Quantitative Analysis, Vol.24, No.2, pp.241-256
11.Fama, E. F., L. Fisher, M. C. Jensen, and R. Roll, 1969, “The Adjustment of Stock Prices to New Information,” International Economic Review, Vol.10, pp.1-21
12.Fame, E. F., 1970, “Efficient Capital Martkets:A Review of Theory and Empirical Work,” Journal of Finance, Vol.25, pp.383-420
13.Fama, E. F. and K. R. French, 1992, “The Cross-Section of Expected Stock Retutns,” Journal of Financial Economics, Vol.47, No.47, pp.427-465
14.Howe, J. S. and P. M.Wei, 1993, “The Valuation Effects of Warrant Extensions,” Journal of Finance, Vol.48, No.1, pp. 305-314.
15.Huang, B.N., C.W. Yang and W.H. John, 2000, “Causality and Cointegration of Stock Market Among the United States, Japan, and The South China Growth Triangle,” International Review of Financial Analysis, Vol.9, No.3, pp.281-297
16.Reinhart, Carmen M. and Rogoff, Kenneth S., 2010, “Growth in a Time of Debt,” American Economic Review, American Economic Association, Vol.100, No.2, pp. 573-578.
三、參考網站
1.MoneyDJ理財網:http://www.moneydj.com/
2.StockQ國際股市指數http://www.stockq.org/
3.公開資訊觀測站http://mops.twse.com.tw/mops/web/index
4.香港交易所http://www.hkex.com.hk/chi/index_c.htm
5.鉅亨網:http://www.cnyes.com/
6.維基百科http://zh.wikipedia.org/wiki/Wikipedia
7.歐盟統計局http://epp.eurostat.ec.europa.eu/portal/page/portal/eurostat/home/
8.歐盟執行委員會http://ec.europa.eu/index_en.htm
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