經濟預測對台灣產業加權指數報酬率之事件研究

Abstract

本篇研究主要以事件研究法來探討台灣27個產業加權指數報酬率受到台灣研究機構單位發佈經濟預測後所受到的影響。我們以GARCH模型為基礎加入虛擬變數至平均數模型及變異數模型，分別捕捉了因為事件所產生的異常報酬與因為事件所引發的異常波動。研究結果發現：第一、異常報酬率中，中華經濟研究院相較於其他三家機構的影響是比較明顯地，但是差距並不大。在事件引發的波動上，四家經濟預測差異不大；但是經濟預測對產業指數報酬率的影響由事件事引發的波動比事件引發的異常報酬率來的容易被發現。第二、在24次經濟預測上修與24次經濟預測下調，在經濟預測上修時45%的產業指數的異常報酬率呈現正向與經濟預測同向；在經濟預測下調時52%的產業指數的異常報酬率呈現負向與經濟預測同向。第三、在金融大海嘯後，投資者對於經濟預測訊息的宣告更為敏感。

This study uses the event study approach to analyze the effect of economic forecasting on industrial index returns in Taiwan. Based on the GARCH model, we include two dummy variables. One is in the mean equation to capture the abnormal return, and another is in the variance equation to capture the event-induced variance. The results show that: First, the effect of economic forecasting announcements from different research institutions is indifference from research institutions. Only the Chung-Hua Institution for Economic Research induces more abnormal returns. Second, optimistic economic forecasting induces 45% positive abnormal return and pessimistic economic forecasting induces 52% negative abnormal return. Third, after 2008 financial crisis, the effect of economic forecasting on industrial index returns has a structural change, investors become more sensitive to economic forecasting.