A Study on the Characteristic of the Stock Price Return on Investment after Merger and Acquisition Activities in Financial Sectors – Taking the Merger of Taishin International Bank and Chang Hwa Bank as an Example

[[abstract]]中文摘要 金融業在全球化競爭下，體質優良的銀行逐步拓展其企業版圖與經營規模， 並紛紛成立金融控股公司，並藉由購併行為來合併經營績效較差的金融企業，以 提昇其市場占有規模。本研究主要目的在於探討國內銀行併購的動機以台新與彰 化銀行購併案之個案做為研究對象，分析併購訊息對標的銀行股價報酬率之影響。 本文中採用事件研究法來進行分析，利用市場模式法建立期望報酬率模型， 藉以估算標的銀行之異常報酬率。對於市場投資組合之選取，本文中採用多變量 分析中之主成份分析與群集分析來客觀地優選出與標的銀行位於相同群集之投資 組合，其包括集中市場加權指數、金融指數及金融產業股價報酬率等分析變量， 期能合理估算出標的銀行在事件期之異常報酬率。 本研究分析結果顯示以金融指數為迴歸變數建立之市場模型具較佳之精度。 經事件期異常報酬率分析結果顯示彰化銀行於事件期間具有正向的累積異常報酬 率，而台新銀行則具負報酬率，顯示市場對於此併購事件具顯著的反應，且符合 本文之假設條件。[[abstract]]ABSTRACT Finance industry under globalization competition the bank with fine essentiality expands its enterprise domain and business scale progressively and then develops the finance holding company It merges the bank with worse performance in order to promote its market share in the behavior of acquisition and merger The purpose of this study is to investigate the motive and benefit of bank merger the Taishin and Chang Hwa merged case is regarded as study objective to analyze that the information of acquisition and merger influence on the rate of normal returns in target banks The methodology of event study is utilized to carry on the analysis in this research and to develop the model for rate of expected returns The rate of abnormal returns will be estimated by linear market model Specifically the method of multiple-variable analysis will be utilized to carry on the analysis and choice of market portfolio and the analyzed variables include market weighting index financial index and the financial industry stock etc Methods of principle component analysis and clustering analysis can find optimal market portfolio objectively where the portfolio and object bank located in the same cluster It expects to reasonably estimate the abnormal returns of object banks during event period This research finds that the financial index regression models have better results and the results reveal that Chang Hwa bank has positive cumulative abnormal returns and Taishin bank has negative cumulative abnormal returns during event period It shows that the merged case of this study has a significant responding in Taiwan stock market and agrees with two hypotheses of this stud