股災傳染途徑：以台股為例

Abstract

本文旨在分析起源於美國次級房貸的金融風暴，其引發的股災透過何種途徑蔓延至台灣股市。本篇研究採用事件研究法，並以貿易關聯性(trade linkage)和金融關聯性(financial linkage)代表股災的傳遞管道，藉此探討股災的蔓延是因基本面惡化或是投資人行為所致。實證結果發現，外銷比例較高的公司、或是短期負債比率較高的公司，在次貸危機期間有顯著的負異常報酬。此顯示台灣主要出口市場的需求減緩，以及金融機構間的流動性衝擊(liquidity shock)，對台灣上市公司的股價表現有顯著的負向影響。本研究也發現，將事件視窗(event window)縮短後，流動性較高的股票有顯著的負異常報酬，表示短期間內台股有因投資人的流動性限制(liquidity constraints)而遭拋售之情形發生。由上述可知，在金融風暴期間，貿易關聯性和金融關聯性為股災的主要傳染途徑，而投資人行為也是股災蔓延的因素之一。

This paper investigates how Taiwanese firms were affected by international transmission of the 2007-2008 subprime crisis. To build a firm-level data set, I am able to disentangle the effects of trade linkages, financial linkages and investor behaviors in transmitting crisis from the U.S. to Taiwan. Results show that during the U.S. subprime crisis, firms with greater foreign sales exposure, and firms more dependent on short-term borrowing had significantly lower abnormal stock returns. This suggests that market participants recognized the economic downturns in major end-markets may curtail demand for Taiwanese products, as well as the losses of financial institutions may incur credit crunch. Stocks with higher turnover rate receive lower abnormal returns in shorter event window. This implies that Taiwanese stock market was affected by the forced-selling effects in short-term period. These results indicate that both trade and financial linkages are important factors in the transmission of the U.S subprime crises to Taiwan, and investor behaviors also play a role in committing propagation.