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Author: 何珮瑜
Pei-Yu Ho
Thesis Title: 運用文字探勘技術探討臺灣三次油品事件新聞 對股價報酬之影響
An In-depth exploration about influence of Taiwan’s three food safety events’news on stock return through text mining technique.
Advisor: 徐中琦
Jon-Chi Shyu
Committee: 陳俊男
Chun-Nan Chen
劉邦典
Pang-Tien Lieu
謝亦泰
Yi-Tai Seih
Degree: 碩士
Master
Department: 管理學院 - 企業管理系
Department of Business Administration
Thesis Publication Year: 2015
Graduation Academic Year: 103
Language: 中文
Pages: 67
Keywords (in Chinese): 文字探勘Panel Data食安事件事件研究法公開資訊股價
Keywords (in other languages): Text Mining, Panel Data, food safety, Event Study, public information, stock price
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  • 本研究主要探討新聞內容與股價間之關係,以臺灣三次油品事件爆發後一個月、共三個月之研究期間,探討21間食品類股,共1386筆樣本,在食品安全風波中所遭受的影響。與過往研究不同之處在於,本研究以文字探勘軟體分析後,將新聞內容依發言角色之不同分為五種類型:公司、政府、記者、民意、競爭對手。而後分別以Panel Data及事件分析法分析油品事件中,股價報酬率所受到的影響。
    研究結果發現,競爭對手類之新聞對股價報酬最具有影響力,然而受到整體環境的改變而有不同影響,而新聞內容若為正面情緒,對股價報酬率有正面影響;若新聞內容為負面情緒,對股價報酬率則有負面影響。且若食品類股面臨多次負面事件,對股價報酬率的影響將比初次面臨負面事件強烈。


    This study focuses on the relationship between news and the stock return of certain firms. The news content was classified by text mining program into five categories: firm, government, journalist, public opinion and trade rival. I used panel data and the event study method to analyze the effect of Taiwan’s three oil events on stock return.
    The result shows that, it's the trade rival news that has the most influence on stock return; however, it's determined by the overall environment and context. If the news is positive, it has positive effect on the stock return, while if the news is negative, it's more likely for the stock return to go downward.

    摘要 I Abstract II 目錄 III 表目錄 IV 第壹章 緒論 1 第一節 研究背景與動機 1 第二節研究目的 3 第二章 文獻探討 4 第一節 效率市場假說 4 第二節 股價報酬影響因素 7 第三節 文字探勘 12 第三章 研究方法 15 第一節 變數說明與研究模型 15 第二節 文字探勘 (Text Mining) 18 第三節 縱橫資料 (Panel Data) 23 第四節 事件研究法 (Panel Data) 28 第四章 實證結果分析 31 第一節 三次油品事件綜合分析 31 第二節 個別油品事件分析 37 第三節 異常報酬率分析 46 第五章 結論與建議 50 參考文獻 53 附錄 食品安全事件列表 59

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