A Study on the Relation between the ECFA Announcement and the Stock Price- An Example of the Listed Food Companies in Taiwan

[[abstract]]自從2008年新政府上台之後，兩岸展開積極且善意的互動，簽署ECFA(兩岸經濟合作架構協議 Economic Cooperation Framework Agreement)為政府極力推動的兩岸經貿政策，對於ECFA簽署後對各產業的影響與發展，各產業優劣不一，反應在股價上的表現也各異。 本研究以2009年1至11月ECFA尚未簽署期間選取7個重要訊息發布日，以台灣食品股票上市公司為研究樣本，採用事件研究法對ECFA宣告與台灣食品上市公司之股價關聯性作一實證研究，並進一步探討ECFA宣告分別對於大、小食品上市公司之股價是否有所影響。其實證結果發現： ECFA之7個事件日宣告對全體食品股票上市公司的影響具有資訊內涵，但由年初呈現負向異常報酬轉變為年中之正向異常報酬，全體食品類股對ECFA訊息由不信賴或不確定轉為信賴，至下半年因延簽與政治事件之負面訊息發佈，呈現負向異常報酬，年底MOU簽署訊息發布，全體食品類股態度趨於保守，於事件日後呈現顯著負向異常報酬。另外，ECFA之7個事件日對大、小食品類股公司之股價關聯與全體食品類公司類似，唯小公司的股價波動程度較大公司高。[[abstract]]The ECFA (Economic Cooperation Framework Agreement) is now becoming one of the top priorities of Taiwan government’s must-do economic and trade policies due to the better relationship and political climate between two parties of Taiwan Straits With reasonable expectation the further impact on each industry in Taiwan as well as the stock price will be divided after signature and implementation of this agreement The study uses the methodology of Event Study to analyze the relation between the stock price of the listed food companies in Taiwan and seven big announcements of the ECFA which were released during the period covers from January to November 2009 The main findings of the study are summarized as following：Seven big announcements of the ECFA indeed had informational content on the stock price of the listed food companies in Taiwan as a whole The Abnormal Return was transformed into positive in the middle of 2009 from negative at the beginning of 2009 because of the increasing trust Then the Abnormal Return was turned drastically to negative at the end of 2009 due to the conservative attitude of the listed food companies which was influenced by the postponement of MOU signature and political feud Besides the impact of seven big announcements on stock price of the listed food companies was similar for both big and small listed food companies whereas the range of fluctuation of small listed food companies is bigge