企業危機事件與股價變化關係之研究

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Title:	企業危機事件與股價變化關係之研究
Other Titles:	Relationship between the enterprise crisis incidents and changes of stock price
Authors:	朱德仁;Chu, Te-jen
Contributors:	淡江大學企業管理學系碩士在職專班王居卿;Wang, Chu-ching
Keywords:	危機;危機事件;危機類別;超額報酬;Crisis;Crisis Event;the Catergories of Crisis;abnormal return
Date:	2010
Issue Date:	2010-09-23 16:26:41 (UTC+8)
Abstract:	自股票市場投資在台灣逐漸風行以來，越來越多人已經將股票投資視為微利時代替自己加薪的好選擇，股票市場平均每日交易金額由1981年的$7.16億元至2009年的$1,182億元，在三十年間已成長了16.5倍。有鑑於此，不論產、官、學界對於股票市場的研究需求皆日益關切。其中，在學術研究上，對於股價的研究與預測一直是個既困難又有趣的主題，每年都會吸引許多菁英投入研究行列。自從以現金流量為基礎的股利折現模式 (dividend discount Model) 被提出後，市場上充斥著各種以該模式為基礎的擴充模型試圖更精準地去計算合理股價，也有許多學者提出股價深受景氣循環、產業因素等所影響。直到近二十年來，才漸漸有學者注意到「訊息」對股價亦有一定程度之影響力。本研究以台灣上市公司股票為樣本，研究與個別公司有關之危機事件發佈時，對於該公司股價的影響力以及持續性之顯著程度。透過五年期的股價樣本資料，得知危機事件對股價確實有顯著的影響力且視不同種類危機事件持續性亦有明顯的不同。有些危機事件發生後甚至會持續影響個股股價長達一個月之久，不容投資者忽視。 Since the stock market in Taiwan gradually became popular, more and more people raise their income by investing their money in the stock market. The average daily trading amount increased from $716 millions in 1981 to $118 billions in 2009, almost grew up 16.5 times during the period. Therefore, academic, practical and governmental institutions are eagering to evaluate the prices of the stock markets. This is really a difficult but interesting subject, many elites join this market every year. After the dividend discount model was brought up, there were many extended models followed and tried to improve the preciseness of the theoretical stock price. Some scholars mentioned the stock price is also affected by business cycle and industry situations but seemed still can not explain all of the movements. Gradually, some scholars noticed that “news” is also an important role to explain the stock price movements. This research used the listed companies in Taiwan stock market as the samples to inspect the relationships between stock price and released crisis. By using the 5-year data, we found that the crisis events affect stock price significantly and the persistencies are different due to different categories. Furthermore some of the events hurt the stock prices for one month! This phenomenon is too crucial to be ignored.
Appears in Collections:	[Graduate Institute & Department of Business Administration] Thesis

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