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1、I 南亞海嘯對旅遊業股價報酬之衝擊南亞海嘯對旅遊業股價報酬之衝擊 中中 文文 摘摘 要要 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
2、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 II The I
3、mpact of Asian Tsunami Attacks on Tourism Stock Returns ABSTRACT The Indian Ocean experienced a devastating Asian tsunami damaged in the morning of 26th December 2004 This study uses a market adjusted returns model of event study to analyze abnormal returns in Thailand s tourism industry The study d
4、iffers from other pervious studies of market reactions to unanticipated in cross country We also investigate reaction on tourism stock market after Asian tsunami attack Taiwan Hong Kong New Zealand and Australia from June 2004 to March 2005 In addition this research compares difference on the abnorm
5、al returns in tourism and leisure transportation and logistics insurance construction materials and construction development industries in Thailand from June 2004 to March 2005 We examine the stock market reaction for 135 days ago and draw out four day ago and 15 days later on the Asian tsunami happ
6、ened The result shows partial significant negative stock abnormal for tourism and leisure industry in Thailand On the other hand there are partial significant positive stock returns in the construction development and construction materials industries after tsunami attacked There is no significant l
7、evel to stand for the critical influence to Taiwan Hong Kong New Zealand and Australia Keywords Asian Tsunami Efficient Markets Abnormal Return Market Adjusted Model III Table of Content CHINESE ABSTRACT I ENGLISH ABSTRACT II LIST OF TABLE IV LIST OF FIGURE V CHAPTER 1 INTRODUCTION 1 1 1 BACKGROUND
8、1 1 2 RESEARCH MOTIVATION AND PURPOSE 2 1 3 RESEARCH OBJECTIVES 5 1 4 THESIS STRUCTURE 5 CHAPTER 2 LITERATURE REVIEW 7 2 1 THE EFFICIENT MARKETS HYPOTHESIS AND LITERATURE 7 2 2 LITERATURE REVIEW OF GREAT DISASTER INCIDENT 10 CHAPTER 3 RESEARCH METHODOLOGY 20 3 1 EVENT STUDY 21 3 2 RESEARCH FRAMEWORK
9、 28 3 3 DESCRIPTION OF THE SAMPLE 29 3 4 RESEARCH DESIGN 33 CHAP4 DATA ANALYSIS AND DISCUSSION 36 4 1 DESCRIPTIVE STATISTICS ANALYSIS 36 4 2 TEST STATISTICS WITH ABNORMAL RETURNS AR 39 4 3 TEST STATISTICS WITH CUMULATIVE ABNORMAL RETURN 49 CHAP 5 CONCLUSION 59 5 1 SUMMARY AND CONCLUSION 59 5 2 MANAG
10、ERIAL IMPLICATIONS 61 5 3 RESEARCH LIMITATION AND SUGGESTION 63 CHINESE REFERENCE 65 ENGLISH REFERENCE 66 APPENDIX 1 COMPANY NAME AND CODE 73 IV LIST OF TABLE TABLE 2 1 DEFINITIONS OF EFFICIENT MARKET 7 TABLE 2 2 TABLE OF LITERATURE ON COMPANY AND GOVERNMENT S POLICY 13 TABLE 2 3 TABLE OF LITERATURE
11、 ON COMPANY AND GOVERNMENT S POLICY 18 TABLE 3 1 RESEARCH SAMPLE 30 TABLE 4 1 THE AVERAGE DAILY RETURNS IN CROSS INDUSTRY 38 TABLE 4 2 THE STOCK DAILY RETURNS IN CROSS COUNTRY 38 TABLE 4 3 TEST STATISTICS WITH THE AR IN CROSS INDUSTRY 40 TABLE 4 4 TEST STATISTICS WITH THE AR IN CROSS COUNTRY 45 TABL
12、E 4 5 TEST STATISTICS WITH THE CAR IN CROSS INDUSTRY 50 TABLE 4 6 TEST STATISTICS WITH THE CAR IN CROSS COUNTRY 55 V LIST OF FIGURE FIGURE 1 1 AN OVERVIEW OF THE RESEARCH 6 FIGURE3 1 RESEARCH PERIOD 22 FIGURE 3 2 RESEARCH FRAMEWORK 28 FIGURE3 3 RESEARCH PERIOD 32 FIGURE 4 1 AR IN TOURISM AND LEISURE
13、 INDUSTRY IN THAILAND 42 FIGURE 4 2 AR IN TRANSPORTATION the second chapter is literature review includes concepts of efficiency market the literature review of event study and relevant literature review collation In the third chapter we state the study method and design during the thesis and the sa
14、mple chosen and statistics assay Following chapter concludes the result of our findings and discussion The final chapter concludes with the suggestions and we propose the direction of possible development of future for follow up researcher s reference Cross Industry Cross Country Research Motivation
15、 and Background Research Purpose Test Statistics with Abnormal Return Research Design Literature Review Abnormal Returns Analysis Empirical Analysis Conclusion and Suggestion AR CAR Hypothesis of Efficiency Market Literature Review of Event Study Relevant Literature Review Figure 1 1 An Overview of
16、the Research Chapter 2 Literature Review The ambition of this chapter are reviewing and discussing the relating incident in our studies Especially on foreign scholar studies and discusses are wider and deeper in the calamity incident Our domestic researches about how disaster incident influences specific industry are actually few This literature review is divided into three parts The first part is the overview of efficient markets hypothesis and literature And the next part is reviewing and expl
