The Event Study of the Stock Price Influence of Sub-Prime Crisis and the Fed Announcement on Taiwan Listed Electronic Companies

[[abstract]]自2007年7月美國次級房貸風暴（Sub-prime Crisis）引發，全球各國受次級房貸風暴影響，經濟面紛紛受到嚴重影響，此金融海嘯被比喻為「金融恐怖九一一」。美國聯邦準備理事會(Federal Reserve System，簡稱Fed) 為穩定經濟，至2008年12月16日，Fed連續10次調降聯邦基金利率（Fed Fund rate）。由於美國為全球經濟之龍頭，美國聯邦基金利率向來為全球各國利率參考之重要依據，亦為我國央行重要參考依據；而我國屬小型開放經濟體系，聯邦基金利率調降對於美股的衝擊，亦造成我國股市之連動。依我國統計資料顯示，電子類股（Electronic）占我國股市交易值達六成，且電子產業類股主要為歐美國家代工為主，由此觀之，我國電子類股與美國經濟政策實息息相關，因此，本文以探討聯邦基金利率之調降對台灣上市(櫃)電子類股股價是否造成立即性影響，作為股市投資人預期股價漲跌參考之領先指標。本研究以事件研究法之市場模式（Market Model Method），及複迴歸來探討聯邦基金利率調降，對於國內電子類股股價異常報酬之影響，及相關因子分析。研究期間自2007年1月1日至2008年12月16日，由台灣經濟新報資料庫(TEJ)選取台灣電子類股上市(櫃)公司，共450個觀察值。 實證結果顯示，台灣電子類股確因Fed降息10次降息產生正負相見的異常報酬，並存在顯著性；惟Fed降息造成電子類股所產生的異常報酬並無法在一、二天內就迅速反應完畢，反而有遲延現象，故而推論台灣電子產業不符合半強勢效率市場假說。在財務因子方面，本研究採用的三項財務因子為：「現金流量比率」、「應收帳款週轉率」及「每股盈餘」，對於電子類股的影響由大至小分別為現金流量比率，而應收帳款週轉率及每股盈餘次之。[[abstract]]Since July, 2007, the explosion of Sub-prime Crisis has impacted global nations drastically, and this financial crisis is called” financial 911”.To stabilize economy, Federal Reserve Board(Fed) has cut Fed Funds Rate 10 times since Dec. 16, 2009. As the US plays a leading role economically, Fed Fund Rate is an essential reference for worldwide interest rate. Likewise our central bank takes it into consideration. We are a small and open economic entity. Fed Fund Rate not only affects American stocks but also influences our stock market. According to our statistics, Electronic sectors account for 60% of stock volume while most of them are OEM. From such perspective, our electronic sectors are closely related to US economy policy. Consequently, the paper examines if Federal Funds Rate lowering has caused immediate impact on listed company and OTC stock price wit a view to establishing a leading indicator for investors to predict stock price.Based on event study, the study used Market Model Method and multiple regression to analyze the impact on abnormal returns from Electronic sectors in Taiwan and related factors. The study period is from Jan. 1, 2007 to Dec. 16, 2008 with 450 cases adopted from listed company and OTC database of TEJ. The result indicates that Electronic sectors in Taiwan had abnormal returns with significance due to 10 decrease of Fed Fund Rate. However, such abnormal returns didn’t react within 1 or 2 days but delay. We hence conclude that Electronic sectors in Taiwan do not comply with Semi-Strong Form Efficiency hypothesis. Regarding financial factors, the paper analyzed cash flow ratio, receivables turnover and earnings per share. For influence on electronic sectors, cash flow ratio is the most dominant followed by receivables turnover and earnings per share