政治因素對東北亞各股票市場保險公司股價的影響

Abstract

本研究利用事件研究法（Event Study），分析於台灣、香港、中國、日本、韓國股票市場上市的保險公司，於2008年1月1日至2017年5月30日間發生境內、境外政治事件時，是否產生異常報酬及累積異常報酬並做比較。使用市場模式估計可以得知保險產業相較於大盤，受政治事件的影響有無較高的異常報酬率。實證結果顯示僅有中國相較於大盤並有較高的異常報酬率。使用固定平均數模型可以看出政治事件本身給予保險產業有多大的影響。境內政治事件影響的實證結果顯示，台灣、香港、中國、日本、韓國股票市場上市的保險公司皆會受境內政治事件影響，而以中國為保險公司異常報酬率發生率最高；而韓國上市保險公司最不受境內的政治事件影響。境外部分，東北亞上市保險公司皆會因為國際重大政治事件而影響股價。 利用累積平均異常報酬率分析正、負事件，可發現台灣、中國、日本的上市保險公司在面對政治事件時，並非是給保險公司股價帶來不好的影響。而香港境內的政治事件對於保險公司股價以降低股價之影響機率較高，韓國的境內政治事件多給韓國的上市保險公司股價帶來正報酬。境外政治事件帶來的影響，台灣與中國在面對美國總統大選時，對保險公司來說均是正事件，而英國脫歐公投則皆為負事件。香港、日本、韓國則面對2008美國總統選舉及2016美國總統選舉皆為正事件，而2012美國總統選舉及英國脫歐公投皆為負事件。

This paper adopts event study to analyze abnormal returns of stock price of insurance companies listed in Taiwan, Hong Kong, China, Japan and Korea, when national or international political factors happened from 2008 to 31 May 2017. By using market model, we could examine whether insurance industry has higher abnormal returns than whole stock market when political factors took place. It turns out that only the insurance companies listed in China have higher abnormal return than whole stock market. Besides, by using fixed average model, we could know how the political events affect insurance industry. The result shows that the insurance companies listed in Taiwan, Hong Kong, China, Japan and Korea are all affected by national political events. Especially the insurance companies listed in China have the highest abnormal returns while Korean insurance companies have the least abnormal returns affected by national political events. On the other hand, international political factors affected all insurance companies list in north-east Asia. By observing the cumulative abnormal returns to analyze positive events and negative events, national political factors did not always bring negative effects to stock prices of insurance companies listed in Taiwan, China and Japan. However the stock prices of insurance companies listed in Hong Kong usually decreased during national political event. The stock prices of insurance companies listed in Korea usually had positive cumulative abnormal returns during national political event. Moreover, the empirical result about international political event is that to the insurance companies listed in Taiwan and China, all United States presidential elections are positive events but Brexit vote is negative event. To the insurance companies listed in Hong Kong, Japan and Korea, United States presidential election in 2008 and 2016 are positive events but United States presidential election in 2012 and Brexit vote are negative events.