南亚海啸对旅游业股价报酬之冲击

I南亞海嘯對旅遊業股價報酬之衝擊中文摘要於2004年12月26日的早晨，印度洋歷經有始以來最具有毀滅性海嘯侵襲。本研究使用事件研究法，並以市場調整模型去分析股票市場是否有產生異常報酬之情形。異於先前相關文獻，此研究樣本跨至產業別與國家別。首先針對泰國旅遊觀光業對於未能預料事件南亞海嘯發生後市場反應。並分析南亞海嘯災難發生對台灣、香港、紐西蘭、澳洲之旅遊觀光業影響，其分析期間為2004年6月到2005年3月。關於泰國其它產業對於南亞海嘯災難發生後股價異常報酬現象，本研究樣本選取，運輸後勤業，保險業，建材和建設發展產業，探討股票交易市場之回應對於南亞海嘯發生前四天至前一百三十五天，此期間設定為本研究之估計期，海嘯發生之前四天與發生後之十五天設定為研究事件期。事件日則為海嘯發生後股票交易市場第一天交易日。研究樣本類型是擷取個別國家證券交易所提供之各股股價日資料數據。研究結果顯示泰國旅遊觀光產業呈現部份顯著之負向異常報酬。另外，泰國建材和建設發展產業同樣呈現部份顯著的負向異常報酬。並發現南亞海嘯並未能對與台灣、香港、紐西蘭和澳洲有顯著正向的異常報酬。關鍵字：南亞海嘯；效率的市場；異常報酬；市場調整模型；事件研究法IITheImpactofAsianTsunamiAttacksonTourismStockReturnsABSTRACTTheIndianOceanexperiencedadevastatingAsiantsunamidamagedinthemorningof26thDecember2004.Thisstudyusesamarket-adjustedreturnsmodelofeventstudytoanalyzeabnormalreturnsinThailand’stourismindustry.Thestudydiffersfromotherperviousstudiesofmarketreactionstounanticipatedincross-country.WealsoinvestigatereactionontourismstockmarketafterAsiantsunamiattack.Taiwan,HongKong,NewZealandandAustraliafromJune2004toMarch2005.Inaddition,thisresearchcomparesdifferenceontheabnormalreturnsintourismandleisure,transportationandlogistics,insurance,constructionmaterialsandconstructiondevelopmentindustriesinThailandfromJune2004toMarch2005.Weexaminethestockmarketreactionfor135daysagoanddrawoutfourdayagoand15dayslaterontheAsiantsunamihappened.TheresultshowspartialsignificantnegativestockabnormalfortourismandleisureindustryinThailand.Ontheotherhand,therearepartialsignificantpositivestockreturnsintheconstructiondevelopmentandconstructionmaterialsindustriesaftertsunamiattacked.ThereisnosignificantleveltostandforthecriticalinfluencetoTaiwan,HongKong,NewZealandandAustralia.Keywords:AsianTsunami;EfficientMarkets;AbnormalReturn;Market-AdjustedModelIIITableofContentCHINESEABSTRACT.................................................................................................IENGLISHABSTRACT...............................................................................................IILISTOFTABLE.........................................................................................................IVLISTOFFIGURE........................................................................................................VCHAPTER1INTRODUCTION.................................................................................61.1BACKGROUND.......................................................................................................61.2RESEARCHMOTIVATIONANDPURPOSE..............................................................71.3RESEARCHOBJECTIVES.....................................................................................101.4THESISSTRUCTURE............................................................................................11CHAPTER2LITERATUREREVIEW...................................................................132.1THEEFFICIENTMARKETSHYPOTHESISANDLITERATURE............................132.2LITERATUREREVIEWOFGREATDISASTERINCIDENT....................................17CHAPTER3RESEARCHMETHODOLOGY......................................................293.1EVENTSTUDY.....................................................................................................303.2RESEARCHFRAMEWORK...................................................................................383.3DESCRIPTIONOFTHESAMPLE..........................................................................393.4RESEARCHDESIGN.............................................................................................43CHAP4DATAANALYSISANDDISCUSSION......................................................464.1DESCRIPTIVESTATISTICSANALYSIS.................................................................474.2TESTSTATISTICSWITHABNORMALRETURNS(AR)........................................504.3TESTSTATISTICSWITHCUMULATIVEABNORMALRETURN............................62CHAP5CONCLUSION............................................................................................735.1SUMMARYANDCONCLUSION.............................................................................735.2MANAGERIALIMPLICATIONS............................................................................755.3RESEARCHLIMITATIONANDSUGGESTION........................................................77CHINESEREFERENCE:.........................................................................................79ENGLISHREFERENCE:.........................................................................................80APPENDIX1:COMPANYNAMEANDCODE.....................................................88IVLISTOFTABLETABLE2-1DEFINITIONSOFEFFICIENTMARKET............................................................13TABLE2-2TABLEOFLITERATUREONCOMPANYANDGOVERNMENT'SPOLICY...........20TABLE2-3TABLEOFLITERATUREONCOMPANYANDGOVERNMENT'SPOLICY...........26TABLE3.1RESEARCHSAMPLE......................................................................................40TABLE4.1THEAVERAGEDAILYRETURNSINCROSS-INDUSTRY..................................49TABLE4.2THESTOCKDAILYRETURNSINCROSS-COU