Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/97263
標題: 美國重大金融事件對股票市場之影響:德國與臺灣之比較
The Impact of Major Financial Events in the USA to the Stock Market in Germany and Taiwan
作者: 吳怡瑩
Yi-Ying Wu
關鍵字: 事件研究法
效率市場假說
美國重大金融事件
Event Study Method
Efficient-Market Hypothesis
Major Financial Events in the USA
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摘要: 本研究主要探討美國重大金融事件的發生是否會影響德國股市與臺灣股市,研究方法採用事件研究法,研究期間為2012年3月20日至2015年2月25日,研究樣本包含美國、德國與臺灣股市。探討的方向有下列兩個部份:(1)美國量化寬鬆退場、美國宣布升息及歐洲量化寬鬆政策對德國股市是否產生異常報酬;(2)美國量化寬鬆退場、美國宣布升息及臺灣放寬股價漲跌幅至10%對臺灣股市是否產生異常報酬。   研究結果顯示,「美國量化寬鬆政策退場」、「美國宣布升息」及「歐洲央行實施量化寬鬆政策」三個重大金融事件的發生對於德國股市沒有顯著的影響,並可以推斷德國股市符合弱勢的效率市場。「美國量化寬鬆政策退場」及「美國升息」對於臺灣股市有顯著的影響,前述兩個事件引發資金從新興市場回流至美國,所以對臺灣股票市場的影響確實是存在的,而「臺灣放寬股價漲跌幅至10%」對臺灣大型股票沒有顯著的影響,本研究則認為臺灣並不屬於有效率的市場。
The main purpose of this study is to explore the impact of major financial events in the USA on the stock market in Germany and Taiwan. Event Study Method was employed in this project. The study period was from March 20, 2012 to February 25, 2015, and the study sample included USA, German and Taiwan stock markets. The research has two aspects: (1) Did abnormal returns occur in the Germany stock market when the USA quantitative easing policy exited, USA announced the raising of interest rates and Europe implemented quantitative easing policy. (2) Did abnormal returns occur in the Taiwan stock market when the USA quantitative easing exited, USA announced the raising of interest rates and Taiwan relaxed the price fluctuation limits to 10%.      The results of the study showed that the exit of USA quantitative easing policy, the raise of USA interest rates and European quantitative easing policy did not contribute abnormal returns in the stock market of Germany. The results also inferred that the stock market of Germany was a weak form efficiency market. On the contrary, the exit of USA quantitative easing policy and the raise of USA interest rates significantly contributed abnormal returns in the stock market of Taiwan. Since these two events triggered the return of funds from emerging markets to the USA, the impact on the Taiwan stock market does exist. The relaxing of the price fluctuation limits of Taiwan stock market to 10%, however, did not contribute abnormal returns in the stock market of Taiwan. As a result, this study suggested that Taiwan is not an efficient market.
URI: http://hdl.handle.net/11455/97263
文章公開時間: 10000-01-01
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