兩岸協議對台灣指數股票型基金的影響

ASIA unversity > 管理學院 > 財務金融學系 > 博碩士論文 > Item 310904400/113582

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题名:	兩岸協議對台灣指數股票型基金的影響 The Impact of Official Agreements between Taiwan and China on Exchange Traded Fund of Taiwan
作者:	趙英帥 CHAO, YING-SHUAI
贡献者:	財務金融學系
关键词:	異常報酬;台灣指數股票型基金;事件研究;兩岸協議 equity funds referencing Taiwan indices;event study;cross-strait agreements;abnormal returns
日期:	2022-06-28
上传时间:	2022-10-28 08:43:59 (UTC+0)
出版者:	亞洲大學
摘要:	本研究以事件研究法探討兩岸協議對台灣指數股票型基金的影響，主要以宣告日前後10天為事件期，分析並解釋其平均異常報酬率和平均累積異常報酬率。資料來源為台灣經濟新報資料庫(TEJ)，配合兩岸協議的簽訂時程，研究期間為2008年1月1日至2016年12月31日共計8年期間，擷取台灣證交所上市之成分皆為台灣國內證券之ETF。研究結果發現，除了第一次兩岸會談宣告期間之異常報酬不顯著外，其他五次的兩岸會談事件期間皆有顯著的異常報酬發生，綜合結果分析顯示對於大部分的投資人來說，事件的宣告是有正面影響的，整體上對台灣指數的股票型基金而言，有正向結果存在且有持續發展的可能性。 This study examines the impact of cross-strait agreements on equity funds that reference Taiwan indices using an event-study approach. The average abnormal return and average cumulative abnormal return were analyzed and explained using an event period of 10 days before and after the date of the announcement of the respective cross-strait talks. Data were taken from the Taiwan Economic Journal database. To coincide with the signing of the cross-strait agreement, the study period is from January 1, 2008, to December 31, 2016, a total of 8 years. The data retrieved relate to constituents listed on the Taiwan Stock Exchange and are all ETFs (Exchange Traded Funds) of Taiwan domestic securities.The results show that all five cross-strait talks generated significant abnormal returns, with the exception of the first cross-strait talk, which did not generate significant abnormal returns during the announcement period. An analysis of the aggregate results shows that for the majority of investors, the announcement of the cross-strait talks had a positive impact and, in general, produced positive results and the potential for sustainability for equity funds referencing Taiwan indices.
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