The Impact of ECFA on Taiwan’s Financial Stock’s Price

• Main Authors: Shiow-Li Chen, 陳秀麗
• Other Authors: Dr. Te-Chung Hu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/89278835627988206376

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 99 === The thesis use event study and GARCH model to observe the Impact of ECFA on Taiwan’s financial stock’s price by market model. The results are as follows: 1. For abnormal returns study: The stocks of branch’s concept are especially remarkable. For event date, abnormal returns had positive evaluation since the ECFA early harvest list had been decided on 2nd day before ECFA signed. 2. By the entire event period, all standardized cumulative average abnormal returns (SCAR)are positive since the ECFA early harvest list had been sure. The market is also optimistic and responds in the stock price. 3. The stock price return volatilities are remarkably increased in the bank stock, the insurance stock and the securities stock, but FHC isn’t generally affected. 4. From the view point of the ECFA be signed, the volatilities of the bank stock price returns are obvious rise owing to M&A subjects. The volatilities of FHC stock, the insurance stock and the securities stock are smaller, because the element of uncertainty is reduced after the ECFA signed.