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標題: | 兩岸簽訂金融合作MOU對上市上櫃銀行業股價之影響 The Impact of the Financial MOU on the Stock Return of the Banking Industry |
作者: | Tung-Yu Wu 吳東祐 |
指導教授: | 林世銘 |
關鍵字: | 事件研究法,金融合作備忘錄,MOU,累積異常報酬率, MOU,Event Study,Cumulative Abnormal Returns,Representative Offices, |
出版年 : | 2011 |
學位: | 碩士 |
摘要: | 本研究採取事件研究法(Event Study),以市場模式(Market model)配合GARCH(1,1)模型,選定我國上市櫃銀行業以及擁有銀行子公司之金融控股公司為研究對象,探討2009年9月10日兩岸即將簽訂金融合作備忘錄(MOU)之消息公布時,對樣本公司股價之影響。本研究亦建立多元迴歸模型,探討事件期間樣本公司產生之累積異常報酬(CAR)與公司財務特性、布局大陸程度之關聯性。
研究結果發現:(1)當兩岸即將簽訂MOU之消息公布時,樣本公司於事件期間如預期產生顯著為正的累積異常報酬率。(2)該累積異常報酬率與公司獲利能力成正相關,亦與公司於中國設立可立即升格為分行之辦事處數量成正相關。顯示獲利能力愈佳、進入中國市場之時機愈早的公司,愈受投資人青睞,累積異常報酬率愈高。(3)公司規模與樣本公司之累積異常報酬率未有顯著之關聯性。 The economic cooperation across the Taiwan Strait affects the prospect of Taiwan economy greatly. The financial memorandum of understanding (MOU) signed by Taiwan and the Mainland China on November 2009 is an important agreement because it’s the first time for the government of China to allow Taiwan’s banking industry to operate in China. This paper uses event study to examine whether MOU would affect the cumulative abnormal returns (CAR) of banking securities listed on Taiwan Stock Exchange (TSE) and Over-the-Counter (OTC) market. The results are as follows: (1) During the window dates, sample companies had a significant positive CAR. (2) The relationship between CAR and sample companies’ ROA is positive. (3) The relationship between CAR and the number of representative offices established by the sample companies is positive. (4) Bank’s size has no significant relationship with CAR. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66674 |
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顯示於系所單位: | 會計學系 |
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