《南亚海啸对旅游业股价报酬之冲击》由会员分享，可在线阅读，更多相关《南亚海啸对旅游业股价报酬之冲击（98页珍藏版）》请在金锄头文库上搜索。
1、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
2、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The Impact of Asian Tsunami Attacks on Tourism Stock ReturnsABSTRACT The Indian Ocean e
3、xperienced 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 Thailands tourism industry. The study differs from other pervious studies of market reactions to unanticipated in cross-c
4、ountry. 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 abnormal returns in tourism and leisure, transportation and logistics, insurance,
5、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 happened. The result shows partial significant negative stock abnormal for t
6、ourism 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 level to stand for the critical influence to Taiwan, Hong Kong, New Z
7、ealand and Australia. Keywords: Asian Tsunami; Efficient Markets; Abnormal Return; Market-Adjusted Model Table of ContentCHINESE ABSTRACTIENGLISH ABSTRACTIILIST OF TABLEIVLIST OF FIGUREVCHAPTER 1 INTRODUCTION11.1 Background11.2 Research Motivation and Purpose21.3 Research Objectives51.4 Thesis Struc
8、ture5CHAPTER 2 LITERATURE REVIEW72.1 The Efficient Markets Hypothesis and Literature72.2 Literature Review of Great Disaster Incident10CHAPTER 3 RESEARCH METHODOLOGY203.1 Event Study213.2 Research Framework283.3 Description of the Sample293.4 Research Design33CHAP4 DATA ANALYSIS AND DISCUSSION364.1
9、Descriptive Statistics Analysis364.2 Test Statistics with Abnormal Returns (AR)394.3 Test Statistics with Cumulative Abnormal Return49CHAP 5 CONCLUSION595.1 Summary and conclusion595.2 Managerial Implications615.3 Research limitation and suggestion63CHINESE REFERENCE:65ENGLISH REFERENCE:66APPENDIX 1
10、: COMPANY NAME AND CODE73LIST OF TABLETable 2-1 Definitions of efficient market7Table 2-2 Table of Literature on Company and Governments Policy13Table 2-3 Table of Literature on Company and Governments Policy18Table 3.1 Research Sample30Table 4.1 The Average Daily Returns in Cross-Industry38Table 4.
11、2 The Stock Daily Returns in Cross-Country38Table 4.3 Test Statistics with the AR in Cross-Industry40Table 4.4 Test Statistics with the AR in Cross-Country45Table 4.5 Test Statistics with the CAR in Cross-Industry50Table 4.6 Test Statistics with the CAR IN Cross-Country55LIST OF FIGUREFigure 1.1 An
12、Overview of the Research6Figure3.1 Research Period22Figure 3.2 Research framework28Figure3.3 Research Period32Figure 4.1 AR in Tourism and Leisure Industry in Thailand42Figure 4.2 AR in Transportation & Logistics Industry in Thailand43Figure 4.3 AR in Insurance Industry in Thailand43Figure 4.4 AR in
13、 Construction Development Industry in Thailand43Figure 4.5 AR in Construction Materials Industry in Thailand44Figure 4.6 AR in Hotel Industry in Taiwan47Figure 4.7 AR in Tourism Industry in Hong Kong47Figure 4.8 AR in Leisure and Tourism Industry in New Zealand48Figure 4. 9 AR in Tourism and Hotel I
14、ndustry in Australia48Figure 4.10 CAR in Tourism and Leisure Industry in Thailand52Figure 4.11 CAR in Transportation and Logistics Industry in Thailand52Figure 4.12 CAR in Insurance Industry in Thailand53Figure 4.13 CAR in Construction Development Industry in Thailand53Figure 4.14 CAR in Constructio
15、n Materials Industry in Thailand54Figure 4.15 CAR in Hotel Industry in Taiwan57Figure 4.16 CAR in Tourism Industry in Hong Kong57Figure 4.14 CAR in Leisure and Tourism Industry in New Zealand58Figure 4.3.5 CAR in Tourism and Hotel Industry in Australia58编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第1页 共1页Chapter 1 IntroductionIn the beginning chapter of the thesis, the study introduces the impact of the Asian tsunami at South Asias tourism industry. The second section illustrates research motivatio
