美國聯邦理事會升息對台股之影響－以寬鬆量化後為例

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/26628

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Title:	美國聯邦理事會升息對台股之影響－以寬鬆量化後為例
Other Titles:	The Impact of the US Fed Interest Rste Increase on Taiwan Stock Market--A Case Study after Quantitative Easing
Authors:	李昭佳 LEE, CHAO-CHIA
Contributors:	財務金融學系財務管理碩士班廖永熙 LIAU, YUNG-SHI
Keywords:	量化寬鬆;升息;事件研究法;異常報酬 Quantitative Easing;Raise interest rate;event study method;abnormal returns
Date:	2018
Issue Date:	2018-12-20 16:51:15 (UTC+8)
Abstract:	本研究利用事件研究法探討2015年10月1日至2017年6月30日美國聯準會(Fed)升息宣告對台灣股市之影響，另外，本文進一步探討美國聯準會(Fed)升息宣告對台灣上市櫃產業─電機機械、電子、金融、塑膠及營建業等5個產業的股價影響，本研究選取美國聯準會(Fed)升息宣告4個事件日進行研究，分別探討這些事件日對各類股異常報酬是否有顯著不同。實證結果顯示，第一個事件日及第三個事件日對台灣股市均呈現顯著之負向影響，但在第二個事件日卻存在顯著之正向影響及第四個事件日存在正向影響；對台灣上市櫃產業的影響以電子類股、金融類股及塑膠類股的影響最大，其次為電機機械類股及營建類股。　　This research adopts the event study method to investigate the influence on by the rising of interest rate from the Fed Taiwan stock market. Secondly, this research also studies the effect of raising interest rate on of Taiwan listed cabinet industries such as electrical machinery, electronics, financial, plastic and construction industry, etc. This research chooses 4 event days to study the abnormal returns on Taiwan stock market. Empirical results show that the first event day and the third one both demonstrate a significant negative influence on Taiwan stock market, while the second event day and the fourth one demonstrate a significant positive influence. As for the influence on the Taiwan listed cabinet industries, the results in electronic, financial and plastic stocks are significant, while the results in electrical machinery and construction stocks come second.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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