以縱橫平滑移轉迴歸模型(PSTR模型)分析新冠肺炎疫情及政府因應疫情管制作為對臺灣觀光產業股市表現之影響

Abstract

本研究分別以臺灣上市上櫃24家全體觀光產業及7家具代表性的上市觀光產業為研究對象，探討觀光產業類股股價在政府防疫管制政策強度高低下的非線性關係。本研究採用Gonza′lez, Teräsvirta and van Dijk (2004, 2005) 所提出的縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR)，以政府防疫管制強度作為門檻變數，探討觀光產業類股股價是否呈現平滑移轉現象，並分析政府防疫管制強度、資產總額、現金流量比率、負債比率、每季營收、每股盈餘、每股淨值對類股股價的影響。 本研究實證結果顯示，政府防疫管制強度對觀光類股股價呈現正面影響，推測原因為政府管控疫情對投資人情緒的穩定作用及紓困振興方案的激勵效應；當以政府防疫管制強度做為門檻變數時，國內具代表性的觀光產業所受影響較顯著；而當介於防疫管制強度區間內，並以全體觀光產業為分析對象時，較多公司財務績效變數對股價有顯著影響，包含資產總額(負面影響)、負債比率(負面影響)、每季營收(正面影響)，門檻區間外則幾乎沒有變數對股價造成顯著影響。本研究結論說明，當疫情管制趨於過嚴或近乎沒有管制時，公司財務績效變數對股價影響幅度將趨於有限。

This study applies the non-linear methodology of smooth transition autoregressive model (STAR) elaborated by Granger and Teräsvirta (1993) and Teräsvirta (1994) and takes COVID-19 government’s stringency as the threshold variable to investigate the non-linear effect on Taiwan tourism firms’ stock price index. Seven factors including government’s stringency, firms’ asset, cash flow ratio, debt ratio, revenue, EPS, bank value, are chosen as independent variables to find out whether those factors have significant effect on tourism firms’ stock price. The sample comprises 24 listed tourism related companies and 7 leading listed tourism related companies in Taiwan Stock Exchange and Over-The-Counter Security Exchange from 2020 to 2022. The result shows that when the targeted firms include 7 leading listed tourism related companies, COVID-19 government’s stringency has positive effects on those companies’ stock price. This study infers that the reasons may be government’s stringency can reduce investors’ panic feelings. Moreover, the government’s stimulus packages can enhance the investors’ confidence. When the targeted firms include all 24 listed tourism related companies, more companies’ indicators significantly affect their stock while government’s stringency is between the threshold value. Firms’ asset shows negative effect, debt ratio shows negative effect, while firms’ revenue shows positive effect on firms’ stock price. Furthermore, the empirical result shows no significant impact of firms’ financial performance indicators on Taiwan’s tourism firms’ stock price when government stringency is depart from the threshold value. The conclusion is that when the government’s stringency is over-strict or when there is nearly no stringency, the effect of firms’ financial performance on stock price index is not significant.