地緣政治風險如何影響台灣投資中國的上市公司股價

Abstract

本研究探討地緣政治風險（GPR）如何影響有投資中國的台灣上市公司股價。我們使用台灣主流新聞媒體構建了一個台灣的每日GPR指數。運用事件研究法，我們發現有投資中國的公司股價受到俄羅斯入侵烏克蘭事件的顯著負影響，而裴洛西訪台則無顯著影響。我們進一步使用台灣、中國及兩者綜合GPR指數的分析顯示，GPR指數的上升對在中國有投資的公司股價造成顯著的負面影響。這些結果表明，投資者和市場會根據公司的投資情況對地緣政治風險作出反應。此外，我們的研究也強調在金融市場分析中考慮本國和外國地緣政治風險的必要性。

The research investigates how geopolitical risk (GPR) affect the equity prices of Taiwanese listed companies with investments in China. A daily GPR index for Taiwan was constructed using data from mainstream Taiwanese newspapers. Event studies on the Russian invasion of Ukraine and Nancy Pelosi's visit to Taiwan showed that firms with investments in China were negatively affected by the Russian invasion, whereas the Pelosi visit had no significant effect. Further analysis using Taiwan, China, and combined GPR indices revealed that increases in GPR negatively impact the stock return of firms investing in China compared to those without. These findings demonstrate that investors and markets react to geopolitical risks based on firms' investment, and emphasize the need to consider both local and foreign geopolitical risks in financial market analysis.