金融海嘯對美國金融業之影響：以貝爾斯登與雷曼兄弟為例

Abstract

本研究以貝爾斯登與雷曼兄弟為例，採用事件研究法分析金融海嘯對美國金融產業股票市場之影響，以美國上市521家金融機構公司，依產業類別不同分為七類研究樣本，以及依事件類別不同分為兩大事件類別，危機事件與救援事件，並選取關鍵事件9天，對異常報酬進行檢定。

實證結果發現貝爾斯登與雷曼兄弟關鍵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的存款機構（Depository Institutions）、Major Group61的信貸房貸機構（Non-depository Credit Institutions）、Major Group62的證券商品經紀人，外匯業務服務交易商(Security and Commodity Brokers, Dealers, Exchanges ,And Services)所受到的影響最為強烈，事件類別中危機事件對於美國金融產業產生顯著之負向異常報酬率；至於政府救援事件對於美國金融產業則產生顯著之正向異常報酬率，並且不同產業類別對於不同事件類別所受到的影響結果亦有所不同，此外特定產業類別對不同事件類別累積異常報酬具有顯著的影響。

Based on the examples of Bear Stearns and Lehman Brothers, this research adopted the events study analysis to study the impact of Financial Tsunami in the U.S. stock market financial industry. The Bear Stearns and Lehman Brothers’ critical events 9 days were chosen to test its abnormal return to the United States financial institutions and industries in accordance with different sub-categories for the study 521 listed companies were categorized into seven major types of samples by industries. The companies were also classified into two event groups, crisis group and rescue group.

The empirical results show that the U.S. financial stocks have significant abnormal returns on the critical events of Bear Stearns and Lehman Brothers, and three industry categories, Major Group 60（Depository Institutions）, Major Group 61（Non-depository Credit Institutions）, and Major Group 62(Security and Commodity Brokers, Dealers, Exchanges, And Services), are strongly affected. In event category, there are negative abnormal return in crisis events and positive abnormal return in rescuing events. The impact is distinct in different industries and different types of categories of events declared. In addition, the effect of different sub-categories in financial industry is significant on cumulative abnormal returns of different event groups.