財務感染理論於台灣金融產業股價的預測分析

Abstract

本研究以2008年至2014年間，所發生全球重大經濟事件，探討對台灣金融產業股票市場的報酬與波動是否造成影響，以金融產業的股價與各國經濟危機的關聯性進行研究，闡述財務感染理論對投資人投資行為之影響。本研究以台灣2008年至2014年所有上市的金控公司為樣本，採用事件日研究法來探討異常報酬，研究結果歸納發現儘管台灣與希臘、伊朗、賽浦路斯和俄國貿易規模小、交易稀少，或與雷曼兄弟宣告破產和佔領華爾街事件之關聯性低，但當全球發生重大經濟事件的時候都會對台灣金融產業的股價造成很大的影響，在台灣金融業的股票市場報酬有顯著的負相關，代表股市是呈現下跌的趨勢，對台灣金融業的股價影響很大，隱含投資人深怕受到風波影響，產生盲從拋售金融股的非理性投資行為，來台灣證實總體投資金融股的行為符合財務感染理論，效率市場假說無法順利套用在任何時點與市場中，即投資人在發生全球重大經濟事件時，容易受訊息影響，不會按照投資組合理論做投資決策。

In this study, we research global financial crisis during 2008 to 2014, by discussing the relationship between stock prices in banking industries and global economic crisis. We focus on Taiwan listing financial holding companies as our target samples, using Even Study Method to observe the abnormal returns. The result shows that Taiwan market does affected when crisis happened even there are no transactions between Taiwan and countries like Russia, Greece or Cyprus. The result especially shows negative influence in Taiwan financial stock prices. It is very effective to Taiwan economic, especially investors sold out their stocks irrationally whenever global crisis comes. The main purpose is to discuss the trading phenomenon of people who invest in banking industries. Our samples prove the behaviors are conformed to Financial Effective Theory. Efficiency Market Theory is not suitable in any markets or timings. Investors are affected by rumor messages instead of portfolio investment strategy.