以事件研究法分析新冠疫情對台灣航運類股和農糧類股影響

Abstract

本研究主要目的是採用事件研究法探討新冠肺炎(COVID-19)對國內股票價格的影響。實證過程以世界衛生組織發佈新冠肺炎全球大流行之2020年3月11日為事件日，並選擇航運類股和農糧類股各14家公司作為研究樣本。就事件日前後30個交易日設定為事件期間（2020年1月17日至2020年4月24日），觀察各家公司股票價格是否有顯著異常報酬率。 實證結果顯示航運類股在平均異常報酬率分析可以發現事件日後有劇烈下降的現象，顯示確定新冠疫情全球流行對航運類股的報酬率造成負面影響。在農糧類股方面，在事件日後股價變化方向不一致，但均顯著。最後比較航運類股和農糧類股的平均異常報酬率和累積平均異常報酬率，農糧類股在事件期間平均異常報酬率的波動較航運類股大，航運類股平均異常報酬率在固定的區間變動。累積平均異常報酬率方面，事件期間航運類股自事件前第28個交易日開始至事件日後第30個交易日的累積平均異常報酬率皆為負值，農糧類股的累積平均異常報酬率在此段期間具有正值和負值，且累積平均異常報酬率大多都小於航運類股。根據實證發現，可以得知新冠疫情對於航運類股和農糧類股都有一定程度的影響。因此，建議投資人在全球性疾病爆發期間，必須特別關注航運與糧食相關產業。

The main purpose of this study is to investigate the impact of Coronavirus disease 2019 (COVID-19) on domestic stock prices using an event study approach. The empirical process takes March 11, 2020, when the World Health Organization announced the global pandemic of COVID-19 as the event day, and selects 14 companies in shipping stocks and agricultural food stocks as research samples. Set the 30 trading days before and after the event date as the event period (January 17, 2020 to April 24, 2020), and observe whether the stock prices of each company have significant abnormal returns. The empirical results show that the average abnormal return analysis of shipping stocks can find a sharp decline after the event date, indicating that the global epidemic of the new crown epidemic has a negative impact on the return of shipping stocks. In terms of agri-food stocks, the direction of share price changes after the event was inconsistent, but all were significant. Finally, compare the average abnormal return and cumulative average abnormal return of shipping stocks and agri-food stocks. The fluctuation of the average abnormal return of agri-food stocks during the event is larger than that of shipping stocks, and the average abnormal return of shipping stocks is constant. In terms of cumulative average abnormal return, during the event period, the cumulative average abnormal return of shipping stocks from the 28th trading day before the event to the 30th trading day after the event was negative, and the cumulative average abnormal return of agri-food stocks. There are positive and negative values during this period, and the cumulative average abnormal return is mostly smaller than shipping stocks. According to empirical findings, it can be seen that the new crown epidemic has a certain degree of impact on shipping stocks and agri-food stocks. Therefore, investors are advised to pay special attention to shipping and food-related industries during a global disease outbreak.