The Effect of Signing ECFA on Taiwan Stock Market-Event Study

• Main Authors: YI-CHIN LIN, 林怡謹
• Other Authors: Wo-Chiang Lee
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/28077644421451811945

碩士 === 銘傳大學 === 經濟學系碩士在職專班 === 100 === This article aims at the effect of signing ECFA on Taiwan stock market. We apply event study to discuss whether the related stocks have excess return before and during signing the ECFA. The model will provide investors as research reference. In addition, the results can help investors to understand the dynamic of stock markets between cross-strait. It also can achieve the goal of risk management. The empirical results show that : 1. The mean returns are not all the same, most of the returns exhibit high kurtosis and left skewness through the descriptive statistics in estimated period. 2. It is more significant before the announcement of ECFA via the change of Abnormal Return(AR) and Cumulative Abnormal Return(CAR). 3. The Standard Abnormal Return(SAR) and Standard Cumulated Abnormal Return(SCAR) are also different during the announcement of ECFA. Part of the SCAR are negative. This results implie that the ECFA is effective on short-term, yet the effect is not obvious in the long-run.