| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 99 === The purpose of this study is to investigate the impact of the ECFA debate on the stock returns of the ECFA beneficial industries.
The ECFA debate, held on April 25, 2010, was the first policy debate ever between the incumbent President and the opposition party in Taiwan.
An event study is employed to examine the reaction of the stock market in response to the debate. Market-adjusted returns model and market models with OLS and GARCH techniques are utilized to test if there exists abnormal returns on ECFA beneficial industries stocks after the debate.
In addition, data of the first quarter of 2011 is collected and analyzed to see if there exists any preliminary policy effectiveness after ECFA was in effect on January 1, 2011.
The results of this study are summarized as follows.
First, after Wen Jia-bao, the Premier of mainland China ,declared that ‘mainland could sacrifice some of its own interests in negotiating ECFA,’ there did exist significantly positive abnormal returns on stocks of ECFA beneficial industries.
Result indicates that ECFA related information did impact Taiwan’s stock market.
Second, there exist significantly positive abnormal returns on stocks of ECFA beneficial industries after ECFA debate. Result indicates that ECFA debate not only helps the ruling party to clarify some anxieties but also promote awareness of policy effectiveness to people in Taiwan.
Third, data from lists of early harvest of first quarter, 2011show that the growth of stock returns, values of export, total employed workers, and average wages were all higher, compared to those of first quarter, 2010. However, the FDI and domestic investment growth are not such obvious.
Results indicate that there appears preliminary policy effectiveness after ECFA in effect on January 1, 2011.
|
|---|
