颱風對於臺灣股市報酬率影響

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题名:	颱風對於臺灣股市報酬率影響
作者:	喻甯;Yu, Ning
贡献者:	財務金融學系
关键词:	颱風;報酬率;股市
日期:	2023-07-06
上传时间:	2024-09-19 16:12:40 (UTC+8)
出版者:	國立中央大學
摘要:	本文主要研究颱風對於臺灣股市造成的影響，其中有幾個重要的發現：第一，在颱風期間公司在不同規模有明顯差異，平均報酬率而言，大公司普遍較高、小公司普遍較低。第二，從產業分析上，任何產業的累積報酬率，在颱風過境後仍有下降趨勢。金融業下降趨勢最為明顯、傳統產業最輕微恢復也最快、電子科技業在登陸30日後仍持續下跌。第三，不同颱風路徑分類下，相較於其他路徑而言，公司平均報酬率在特殊路徑颱風侵襲時普遍有較差的影響、東路徑颱風侵襲有次差的影響。最後使用多因子模型分析時間因子、市場因子、颱風因子對於單日各公司報酬率的影響，颱風強度而言，輕颱表現最佳、強颱表現最差。路徑而言，特殊路徑表現最佳。在颱風登陸前，無論在任何路徑皆呈現負報酬。在颱風登陸期間，常有較好的表現。;This paper primarily investigates the impact of typhoons on the Taiwanese stock market. Several important findings have been identified. Firstly, during typhoon periods, there are noticeable differences in performance among companies of different sizes. In terms of average returns, larger companies generally exhibit higher returns, while smaller companies tend to have lower returns. Secondly, from an industry analysis perspective, the cumulative returns of all industries show a declining trend after the typhoon passes. The financial industry experiences the most significant decline, while traditional industries show a relatively mild recovery and the electronics and technology industry continues to decline even 30 days after the typhoon′s landfall. Thirdly, under different typhoon path classifications, it is found that, compared to other paths, companies generally experience poorer average returns when special path typhoons strike, and eastern path typhoons have a relatively weaker impact. Finally, a multifactor model is employed to analyze the market′s response to typhoons. In terms of typhoon intensity, mild typhoons demonstrate the best performance, while strong typhoons perform the worst. In terms of paths, special paths exhibit the best performance. Before the typhoon′s landfall, negative returns are observed regardless of the path. However, during the typhoon′s landfall period, there is often a relatively better performance.
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