標題: 台灣與日本重大自然災害對台灣半導體類股及航空類股之異常報酬率的影響
The Impact of Taiwan and Japan's Major Natural Disasters on Abnormal Return on Taiwan’s Semiconductor and Airline Stocks
作者: 楊宇庭
蔡璧徽
Yang, Yu-Ting
Tsai, Bi-Huei
管理科學系所
關鍵字: 事件日研究法;異常報酬;自然災害;Event Study;Abnormal Return;Natural Disaster
公開日期: 2017
摘要: 台灣及日本最近以來發生的重大自然災難事件,其中以日本311大地震、熊本大地震以及台灣的七一八水災、八八水災與台南地震最為嚴重,對於航空業來說,航班班次將會減少,機票需求量的下滑,導致機票的價格下降,其關鍵在於國人對於因為災害的旅遊安全疑慮。而地震衝擊的關係,有些半導體產業仰賴日本的原料進口,短期內會因台灣廠尚有庫存而不受影響,但若發生長期停工現象,對整體產業來說是弊多於利的。因此如果發生如上述之自然災害事件,除了當地與欲前往該地旅遊的民眾以外,航空業類股以及半導體類股的報酬率勢必也受到影響。 而本論文研究針對上述台灣及日本的五起重大自然災難事件的發生,分析台灣之半導體類股以及航空類股的影響,以及股價的反應波動情況。本論文研究將資料進行分析後有下列結果: 1. 股票市場確實會因為自然災害事件而產生異常報酬 2. 股票市場會因為產業別的不同而產生不同的異常報酬 3. 股票市場會因個別公司之財務比率因子不同而產生不同的異常報酬
Taiwan suffered from the serious natural disasters, the 718 floods in 2008, the 88 floods in 2009, and the Tainan earthquake in 2016, respectively. And Japan suffered from the 311 earthquake in 2011 and Kumamoto earthquake in 2016, respectively. For the airline industry, the reduction in flights and ticket demand resulted in price of tickets to drop. If the natural disasters led to a long-term shutdown to the semiconductor industry, the whole industry will be affected. This paper examined the impact of five major natural disaster events, as mentioned above, against Taiwan and Japan on Taiwan’s Semiconductor and Airline Stocks and obtained the following results: 1. There are abnormal returns on stock market because of natural disaster event. 2. There are different abnormal returns between the airline and the semiconductor stocks. 3. There are different abnormal returns due to different financial factors of companies.
URI: http://etd.lib.nctu.edu.tw/cdrfb3/record/nctu/#GT070453117
http://hdl.handle.net/11536/140830
Appears in Collections:Thesis