美國次級房貸風暴對美國金融產業影響之實證研究

Abstract

摘 要

本研究以事件研究法（Event Study）分析2007年美國次級房貸風暴對於美國金融產業證券市場之影響，並檢定其異常報酬率，以美國上市474家金融機構公司，並依產業類別不同分七大類為研究樣本，選取美國次級房貸風暴18個事件日，依類別不同共分為4類，進行下列四項假設檢定。 1、探討美國金融業對次級房貸風暴事件宣告的股價反應。 2、探討美國金融業不同產業類別公司受次級房貸事件的宣告股價反 應。 3、探討美國次級房貸分類事件的宣告效果。 4、比較金融業不同產業類別公司股價對美國次級房貸事件不同宣告 類別宣告的反應是否存在差異。

實證結果發現美國次級房貸風暴事件的確對美國金融類股股價產生顯著異常報酬率，其中以產業類別Major Group 60 （Depository Institutions；存款機構）、Major Group 61（Non-depository Credit Institutions；信貸房貸機構）所受到的影響最為強烈，事件類別中以投資損失宣告、調降債信評等事件宣告影響最顯著，並且不同產業類別對於不同事件宣告類別所受到的衝擊影響不同。

關鍵字：金融海嘯、次級房貸、事件研究法、異常報酬率

Abstract

In this study, study events analysis of 2007 U.S. subprime mortgage crisis in the U.S. stock market impact of the financial industry, and test its abnormal return to the United States financial institutions in 474 listed companies and industries in accordance with different sub-categories seven major types of samples for the study, select the U.S. subprime mortgage crisis events 18 days, by category is divided into 4 different categories, the following four hypothetical test. 1, To explore the U.S. financial industry to the subprime mortgage turmoil was declared the stock price reaction. 2, To explore the U.S. financial industry affected by different types of company and industry events declared subprime mortgage stock reaction. 3, To explore the U.S. subprime mortgage classified declaration the effect of the incident. 4, Comparing the financial sector shares of different types of company and industry on the U.S. subprime mortgage incident different class declaration declaring the existence of differences in the response.

The empirical results show that the U.S. subprime mortgage turmoil was indeed on the U.S. financial stocks have a significant abnormal returns, with industry categories Major Group 60（Depository Institutions）, Major Group 61（Non-depository Credit Institutions） are the most strongly affected, event category in order to declare an investment loss, lowered credit ratings declared the most significant events, and different industries for different types of categories of events declared by the impact of different.

Key words: Financial Tsunami, Subprime Mortgage, Event Study, Abnormal Return