連動債危機事件對台灣金融產業的影響之實證研究

Abstract

本研究以事件研究法（Event Study）分析2008年美國雷曼兄弟倒閉以及2009年PEM group兩大事件之金融海嘯對於台灣金融產業證券市場之影響，並檢定其異常報酬率，利用TEJ資料庫蒐集台灣上市35家金融機構公司，並依產業類別不同分類為研究樣本，其中分為：銀行、保險、證券、金控四大類。利用PEM group和雷曼兄弟倒閉兩大金融風暴之13個相關事件點，針對其事件點獨立分析其中不同影響，另外再進一步分析哪些因素會影響累積異常報酬以及影響關係。 實證結果發現雷曼兄弟倒閉以及 PEM group的確對台灣金融類股股價產生顯著異常報酬率。以產業類別中為銀行業和金控業所受到的影響最為強烈。對累積異常報酬之影響因素最為顯著的是各公司的資產部位以及不同事件類別，也證實當資產部位越大其公司的累積異常報酬也越大；而金融危機的發生對金融產業而言有負向影響；而金融機構的宣告措施對於金融產業的累積異常報酬亦為負向影響，但卻在名譽上保持穩定甚至讓外界對於其觀感良好。

In this study, we use Event Study to analysis two events of 2008 Lehman Brothers bankruptcy in American and 2009 PEM group deception in Taiwan which these crisis impact Taiwan financial industry stock price market , and we will test its abnormal return to the Taiwan financial institutions in 35 listed companies by TEJ database. Furthermore, we will separate above companies in 4 classes ( bank、insurance、security & holding company) . Using the 13 event points about PEM group deception and Lehman Brothers bankruptcy of financial crisis, we analysis different effect independently for each event point. In addition, the research shows which factors affect the CAR and their relationship. The results show the PEM group deception and Lehman Brothers bankruptcy have a significant abnormal returns on the Taiwan financial stocks. Depending on different classes, bank and holding company are strongly affected. The company asset position and event categories are indeed impacted on CAR, and there is positive relationship between position and CAR. The outcome also found financial crisis and policies had negative relationships with CAR. But, the financial policies are good for reputation of companies.