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Author: 王心彤
WANG-XIN TONG
Thesis Title: 新冠肺炎疫情於台灣股票市場各產業比價效應分析
The Impact of COVID-19 on Intra-Industry Comparable Price Effect in Taiwan Stock Market
Advisor: 陳俊男
Chun-Nan Chen
Committee: 林軒竹
Hsuan-Chu Lin
鄭仁偉
Jen-Wei Cheng
謝劍平
Joseph C.P. Shieh
陳俊男
Chun-Nan Chen
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2023
Graduation Academic Year: 111
Language: 中文
Pages: 52
Keywords (in Chinese): 比價效應羊群效應股票市場CSAD模型
Keywords (in other languages): Intra-Industry Comparable Price Effect, Herd Behavior, Stock Market, CSAD Model
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  • 本研究目的為檢定台灣股票市場上市各產業類股的比價效應與新冠肺炎疫情影響下的比價效應,本研究採用Chang, Cheng和Khorana (2000)提出的CSAD (橫斷面離差絕對值cross-sectional absolute variance)來檢驗台灣股票市場各產業類股的比價效應。
    本研究對象挑選為2021年1月至2022年1月共一年的平均各產業別股票當月成交金額占全體股票之比重前九大之類股作為研究對象。樣本期間為2017年1月21日至2023年1月20日共約六年的日資料取資料期間內所包含的研究對象經除權息調整的調整後收盤價。此區間為台灣確診首例日期2020年1月21日前後取三年來檢驗新冠疫情前後的比價效應。
    研究實證結果顯示,在全資料期間中,整體市場產業除了金融保險類股外皆存在比價效應;在疫情前,整體市場全產業類股皆存在比價效應;在疫情後,整體市場之產業除金融保險類股、塑膠工業類股和電子業類股外皆存在比價效應。


    The purpose of this study is to examine the intra-industry comparable price effect in the Taiwan stock market and the impact of COVID-19 on the intra-industry comparable price effect in the Taiwan stock market. The CSAD (cross-sectional absolute variance) is used to examine the intra-industry comparable price effect of each industry class in the Taiwan stock market.
    The top nine industries were selected as the subjects of this study. The sample period is from January 21, 2017, to January 20, 2023. This period is three years before and after January 21, 2020, the date of the first confirmed case in Taiwan.
    The empirical results of the study show that during the whole data period, intra-industry comparable price effect existed in all sectors of the market except for financial and insurance stocks.Before the epidemic, there was a price difference effect for all industry groups in the overall market.After the epidemic, there is a price difference effect in the overall market except for the financial and insurance sector, the plastics sector, and the electronics sector.

    摘要 I Abstract II 誌謝 III 目錄 IV 圖目錄 VI 表目錄 VII 第壹章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 2 1.3 研究流程與架構 2 第貳章 文獻探討 4 2.1 羊群效應的定義 4 2.2 羊群效應之成因 5 2.3 羊群效應之衡量工具 6 2.4 CASD 模型之實證研究 10 2.5 文獻小結 11 第參章 研究方法 12 3.1 資料來源 12 3.2 研究設計 13 第肆章 實證分析 15 4.1 敘述統計 15 4.2 實證分析 18 4.2.1 全資料期間之比價效應實證結果分析 18 4.2.2 疫情前之比價效應實證結果分析 21 4.2.3 疫情後之比價效應實證結果分析 23 4.2.4 疫情前後比價效應實證結果分析 25 4.3 敏感性分析 27 第伍章 研究結論與建議 35 5.1 研究結論 35 5.2 研究限制 39 5.3 研究建議 39 參考文獻 40

    中文文獻
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    Full text public date 2025/07/23 (Internet public)
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