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研究生:阮氏紅桃
研究生(外文):Nguyen Thi Hong Dao
論文名稱:貿易爭端與市場反應: 中美貿易談判對臺灣股市影響之研究
論文名稱(外文):Trade Dispute and Market Reaction: A Study of US-China Trade Negotiation on Taiwan Stock Market
指導教授:林英星林英星引用關係
指導教授(外文):Lin Ying-Shing
口試委員:黃照貴陳賢名
口試委員(外文):Echo HuangAlvin Chen
口試日期:2019-04-29
學位類別:碩士
校院名稱:國立高雄科技大學
系所名稱:國際管理碩士學位學程
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:英文
論文頁數:53
中文關鍵詞:美中貿易戰爭糾紛
外文關鍵詞:The US-China trade war disputes
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本研究利用台灣經濟新報(TEJ)2018年881家台灣上市公司之資本市場加權股票指數( TAIEX),研究短期內台灣股市受美中貿易戰爭的影響。本研究選擇了美中貿易談判中最重要的三項事件期間進行研究,其中包括美國對中國產品徵收的三輪關稅談判。研究發現,在美中貿易談判之後,市場反應顯著為負,這一發現與此前研究結果一致,即美國失業率公告對標準普爾500指數的影響,即影響平均股票收益率為負的反應,當好消息傳出, 股市的反應是正向的,反之,在收縮期間的壞消息當天的股價是負面的。本研究選擇每個事件研究的事件日期周圍15天的異常報酬為事件窗口,本研究並計算異常報酬殘差回歸結果,發現股價敏感度 (beta) 大,公司規模小 (size) ,舉債槓桿程度大 (leverage) ,及受貿易影響虛擬變量 (DTRADE) 大之台灣公司易受中美貿易影響,本研究有助於分析美中貿易長短期經濟變化,並對未來美國與亞洲貿易情勢轉變具有參考價值。
關鍵字: 美中貿易戰爭糾紛,事件研究,異常回歸,台灣

This study investigated the effect of the US-China trade war disputes on Taiwan stock market in short-run for 881 Taiwan Listed companies, using data from the Taiwan Economic Journal (TEJ) of 2018, in which the Taiwan Capitalization Weighted Stock Index (TAIEX) is used in this research. We choose three of the most important event studies among the US-China trade negotiations of the most important three rounds of tariffs negotiations in which the US has imposed the punitive tariff on Chinese products. The research finds that market reaction is significantly negative following the Us-China trade war disputes, which is consistent to previous studies that the effect of the US unemployment rate announcements on the S&P500 stock index to have negative average stock return, whereas the reaction of the stock market is positive when good news is announced and negative on a day of bad news during contractions. The abnormal return of an event window of 15 days around the event date is chosen for each of event study. The residuals of abnormal returns are regressed against company beta, size, leverage, and dummy variable representing trade effect. This research finds that company with a relative large beta, smaller in size and high in degrees of debt leverage are easily affected by US-China trade negotiations. This research findings are useful for analyzing the US-China changing trade balance and Asia trade balance realignment.
Keywords: The US-China trade war disputes, event study, abnormal return, Taiwan stock market

TABLE OF CONTENTS

摘要 i
ABSTRACT i
ACKNOWLEDGMENTS ii
TABLE OF CONTENTS iii
LIST OF TABLES v
LIST OF FIGURES vi
CHAPTER1: INTRODUCTION 1
1.1 Introduction 1
1.2 Research Motivation 3
1.3 Research Questions 5
1.4 Research Process 5
CHAPTER 2: LITERATURE REVIEW 7
2.1 Overview of Efficient Market Hypothesis 7
2.2 Stock Market Return 8
2.3 Spill-over Effects of Stock Market Return 9
2.4 Overview of Trade Between the US and China 10
CHAPTER 3: METHODOLOGY 12
3.1 Data 12
3.2 US-China Trade War Dispute Events 13
3.3 Indices 14
3.4 Event Study 15
3.4.1 Event Date 15
3.4.2 Event Window 16
3.4.3 Estimation Period 17
3.5 Calculating Actual Returns and Normal Returns 17
3.6 Calculating Abnormal Returns 18
3.7 T-statistic 19
3.7.1 TAAR 19
3.7.2 TCAAR 20

3.8 Variables 20
3.8.1 Dependent Variable 20
3.8.2 Independent Variables 20
3.9 Regression Analysis 22
CHAPTER 4: FINDINGS 24
4.1 The Empirical Result of Event Study 1 (September 17th) 24
4.2 The Empirical Result of Event Study 2 (August 23th) 27
4.3 The Empirical Result of Event Study 3 (July 06th) 30
4.4 Summary the Empirical Result 303
CHAPTER 5: CONCLUSION AND RECOMMENDATIONS 34
5.1 Conclusion 35
5.2 Contribution 35
5.2.1 Taiwan Companies 35
5.2.2 Investors 35
5.3. Research Limitations and Future Research Directions 36
REFERENCE 377
WEB SOURCES 432


LIST OF TABLES

Table 1. Sample. 15
Table 2. Three Most Important Event Studies. 15
Table 3. CAAR Over the Event Window of Event Study 1 24
Table 4. The Regression Result of the Event Study 1 24
Table 5. Linear Regression for the Event Study 1 25
Table 6. CAAR Over the Event Window of Event Study 2 27
Table 7. The Regression Result of the Event Study 2 28
Table 8. Linear Regression for the Event Study 2 29
Table 9. CAAR Over the Event Window of Event Study 3 31
Table 10. The Regression Result of the Event Study 3 32
Table 11. Linear Regression for the Event Study 3 32



LIST OF FIGURES

Figure 1. US Trade in Goods with China 2
Figure 2. Taiwan’s Top Import, Export Destinations 4
Figure 3. China Imports of Electronic Components 5
Figure 4. Research Process 6
Figure 5. US-China Balance of Trade, 2002-2017 11
Figure 6. Taiwan Stock Exchange Weighted Index in 2018 14
Figure 7. The Event Study and Estimation Period Are Set Up 16
Figure 8. Short – Run Stock Performance around Event Window at Event Study 1 24
Figure 9. Short – Run Stock Performance around Event Window at Event Study 2 27
Figure 10. Short – Run Stock Performance around Event Window at Event Study 3 30




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