| Summary: | 碩士 === 樹德科技大學 === 金融與風險管理系碩士班 === 101 === This research adopts the Event Study method, and takes the stock trading day next to the day that CEPD (“Council for Economic Planning and Development”) announces Monitoring Indicator every month as the Event Days. This research collects the sample, which covers 60 months (between January 2008 and December 2012), from the Taiwan Economic Journal System (TEJ) and CEPD for stock return ratio and Monitoring Indicator data respectively, and analyzes the sample by using the “GARCH” method. This research also tests the significance of the association between the announcement of Monitoring Indicator and abnormal stock returns of Taiwan registered companies by the method of Standardized Cross-Sectional Test to further verify how the announcement of Monitoring Indicator to influence the performance of stock price.
The research result suggests: If Monitoring Indicator data increased or decreased, there is a significant negative association for financial and insurance sector, shipping and transportation sector, electron industry sector, and electric machinery sector. No matter how Monitoring Indicator data changed, there is a significant negative Cumulated Abnormal Returns for building material and construction sector and trading and consumers’ goods sector. In addition, Monitoring Indicator data has no effect on automobile industry sector and gasoline, electricity and gas sector. However, comparing to the prior researches, this research has different result for trading and consumers’ goods sector. To support the result, this research had been retested by adopting Sign Test, and got the same conclusion: There is a significantly negative Cumulated Abnormal Returns for trading and consumers’ goods sector; hence Monitoring Indicator data has significant effect on abnormal returns for it.
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