戰爭對參戰國股市之衝擊 -宣戰、終戰之全面性分析;Impact of war on the stock markets An analysis of declarations of war and war endings

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Title:	戰爭對參戰國股市之衝擊 -宣戰、終戰之全面性分析;Impact of war on the stock markets An analysis of declarations of war and war endings
Authors:	陳彣毓;Chen, Wen-Yu
Contributors:	財務金融學系
Keywords:	事件研究法;效率市場假說;地緣政治風險;event study methodology;efficient market hypothesis;geopolitical risk
Date:	2024-07-24
Issue Date:	2024-10-09 16:24:41 (UTC+8)
Publisher:	國立中央大學
Abstract:	戰爭比我們預期的離我們更近。至二戰後戰爭的總體數量有所減少，但近十年來戰爭的頻率和規模卻逐漸上升，例如烏克蘭與俄羅斯的衝突、以色列與巴勒斯坦的戰爭以及蘇丹的衝突。這些事件提醒我們，戰爭的威脅並沒有退去。而戰爭對全球投資環境有著深遠的影響。每當戰爭爆發，市場通常會經歷劇烈的波動，投資者會對不確定性和風險做出反應。例如，烏克蘭與俄羅斯的衝突導致能源價格大幅波動，而以色列與巴勒斯坦的戰爭則提高了中東地區的投資風險。戰爭不僅影響特定行業，例如軍工和能源，還會改變整個地區的投資風險。因此，投資者需要關注戰爭的宣告，快速了解戰爭的動態，以便做出相應的投資決策。這不僅有助於短期的風險管理，還能提供關鍵的資訊來預測長期的市場趨勢，從而制定更為全面的投資策略。在過去的學術研究中，已經發現戰爭宣告與股市報酬之間存在負向連結如 Kamal et al. (2023) 。然而這些研究大多集中在短期內投資者對宣告的反應。筆者對於這種衝擊是否會延續至長期感到好奇。除了戰爭開始前投資者需要提前佈局進行風險控管外，當戰爭即將結束時，投資者更應該做好準備，迎接終戰的宣告。終戰宣告是否會引發不同的投資者反應值得深入探討，特別是戰勝或戰敗對於投資者，甚至關注不同產業的投資者，其影響如何，更是研究的有趣點。這樣的研究除了能彌補現有文獻的不足，更能為投資者及政策制定者提供更完善的指導方針。本研究探討戰爭宣告與終戰宣告對全球及不同區域股市的影響，並分析不同類型的戰爭事件及地區反應。使用事件研究法，本文檢驗了 1970 年至 2023 年間多場戰爭事件，並計算平均異常報酬率和平均累積異常報酬率。研究結果顯示，宣戰效果對投資者造成短期負向影響，衝擊延續至事件後 30 天，而終戰則造成長期正向衝擊，延續至事件後 150 天。此外，在戰爭結果的分析上，勝利宣告相對於戰敗宣告的衝擊更大且方向不同，勝利宣告下衝擊顯著為正，反之則不顯著為負，不同區域結果也是相同。對於不同產業的投資者，發現戰爭結束後越久，終戰宣告的衝擊由正向逐漸轉為負向。也發現戰爭持續時間越長，對產業造成的負面衝擊越大。關鍵字:事件研究法、效率市場假說、地緣政治風險 ;War is closer to us than we might expect. Although the total number of wars has decreased since World War II, the frequency and scale of wars have gradually increased over the past decade, as seen in conflicts such as the Ukraine-Russia conflict, the Israel-Palestine war, and the Sudan conflict. These events remind us that the threat of war remains. War has a profound impact on the global investment environment. Whenever a war breaks out, markets typically experience severe fluctuations as investors react to uncertainty and risk. For example, the Ukraine-Russia conflict led to significant volatility in energy prices, while the Israel-Palestine war increased investment risk in the Middle East. War affects not only specific industries, such as the defense and energy sectors but also the overall investment risk of entire regions. Therefore, investors need to pay attention to war announcements, quickly understand the dynamics of the war, and make corresponding investment decisions. This not only helps in short-term risk management but also provides crucial information to predict long-term market trends, enabling the formulation of more comprehensive investment strategies. In previous academic studies, it has been found that war announcements are negatively correlated with stock market returns, as shown by Kamal et al. (2023) . However, these studies have mostly focused on short-term investor reactions to the announcements. I am curious whether this impact extends into the long term. Besides the need for investors to strategically plan for risk management before a war begins, they should also be well-prepared for the end of-war declarations. It is worth investigating whether end-of-war announcements elicit different reactions from investors. Particularly interesting is how the outcomes of wars, whether victory or defeat, affect investors, including those focusing on different industries. Such research not only fills gaps in the existing literature but also provides more comprehensive guidelines for investors and policymakers. This study explores the impact of war announcements and end-of-war declarations on global and regional stock markets, analyzing different types of war events and regional reactions. Using the event study methodology, this paper examines multiple war events from 1970 to 2023, calculating the average abnormal returns (AAR) and cumulative average abnormal returns (CAAR). The results show that war announcements cause a short-term negative impact on investors, with effects lasting up to 30 days after the event, while end-of-war announcements lead to a long-term positive impact, extending up to 150 days post-event. Furthermore, the analysis of war outcomes reveals that victory announcements have a significantly positive impact compared to defeat announcements, which tend to have a negative but not significant iii impact. This pattern holds across different regions. For investors focusing on various industries, it is found that the longer the time since the war ended, the positive impact of the end-of-war announcement gradually turns negative. Additionally, it is observed that the longer the war duration, the more negative the impact on industries. Keywords: event study methodology, efficient market hypothesis, geopolitical risk
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