| Abstract: | 本研究係藉由事件研究法，採用自2006年1月1日至2015年12月31日期間，中國上證指數漲跌幅超過3％(含)的107個事件日及中國上證指數漲跌幅超過2％(含)的184個事件日為觀察樣本，分析該事件發生後3個營業日內，對台灣上市、上櫃二大現貨市場及電子、金融、非金電三大產業類股之影響。研究結論如下：
一、中國上證指數較大幅度上漲時，其對台灣股市之影響比上證指數下跌時顯著。在上證指數漲幅超過3％或2%時，台灣上市股票對其產生顯著正向反應，以及上櫃股票對其產生顯著之負向反應。
二、台灣上市、上櫃二大現貨市場與電子、金融、非金電三大產業類股對於上證指數變動反應不一，台灣上市、上櫃股票對上證指數變動的反應較台灣電子、金融、非金電類股顯著。只有當上證指數跌幅超過2%時，三大產業類股才出現較顯著之反應，而三大產業類股針對上證指數變動時，電子類股反應較其他二類股明顯。
This study used Event Study Method and took 107 event dates at which SSE Composite Index had a rise or fall of 3% (or above) and 184 event dates at which SSE Composite Index had a rise or fall of 2% (or above) from 1st January 2006 to 31st December 2015 as observation samples, to analyze the impact on stocks of two major spot markets, listed and OTC stock market, as well as stocks of three major industries, electronics, financial, and non-financial and non-electronics industry of Taiwan. Results are described below: First, the impact on Taiwan''s stock market appears to be more significant when SSE Composite Index rises sharply other than when its falls. And when SSE Composite Index has a rise of over 3% or 2%, the listed stocks of Taiwan show significant positive response, while OTC stocks show significant negative response.
Second, for stocks of the two major spot market, listed and OTC stocks market, as well as the three major industries, electronics, financial, and non-financial and non-electronics industry of Taiwan, their response to changes in SSE Composite Index varies. Listed and OTC stocks have a more significant response to changes in SSE Composite Index than electronics, financial, and non-financial and non-electronics stocks do. Only when SSE Composite Index has a fall of over 2%, the three major industrial stocks will show more significant response, and among the three major industrial stocks, electronics stocks have more significant reaction to changes in SSE Composite Index than the other two |
