Effects of the Catastrophe on Stock Market：The case of the SARS in Taiwan''s financial industry.

[[abstract]]2003年台灣受SARS疾病災難事件影響，事件發生初期股市值每日以逾三千億元急速縮水，影響台灣當年的整體經濟表現，其中第二季深受影響，當季民間消費出現前所未有的負成長，顯現長期不景氣下之「通貨緊縮」， 進而更形深化，此對屬於波動性高、淺碟型市場之台灣股市的金融股好不容易在經歷整併調養後，面臨令人憂心的可能衝擊，有鑒於30年代的美國、90年代的日本，當時的金融機構破產、倒閉、合併時有所聞，因此興起國人討論與關心事件對金融業的影響。本篇研究主要探討重大災難事件對股票市場報酬率的影響，並以SARS疾病災難事件對台灣金融業為例。採Grace﹐Rose and Karafiath(1995)所提之事件研究法，研究期間自2003/4/21至2003/11/25，153個交易日，47個觀察值。 實證發現，SARS事件的確造成金融業股票市場產生異常報酬，且符合效率市場假說，異常報酬程度因產業別及不同公司之財務比率而有所差異。就產業別之累積異常報酬而言，皆為負向走勢，事件對銀行股影響最大，其次是保險股，對上市證券股及金控股的影響相對較小；在財務比率因子方面，對所有樣本產業類股的異常報酬差異程度並非每個因子都適合解釋，「股東權益除總資產比」因子僅對證券業有顯著的解釋力，「總資產報酬率」則與保險業及證券業呈正向顯著關係，而「總資產」對銀行業及證券業有正向顯著影響，「負債資產比」則影響銀行業及證券業。[[abstract]]Taiwan was affected by SARS in the year 2003. The early impacts on stock market were a loss more than 300 billion per day. It deteriorated Taiwan’s economy as a whole in the year 2003. Especially the civilian consumption exhibits a downside trend that never happened before. It revealed a long-term deflation pheonomen under economic recession. This for the original high destabilized, saucer type Taiwanese finance stock, barrel, just after consolidation and aftercare, then facing the careworn possible impact. In the 30s’ U.S. and 90s’ Japan, the serious happenings and results of their financial organizations’ bankruptcy and collapse remind our attention to the SARS potential negative impacts on Taiwan’s economy. This paper examines the reaction to the catastrophe on the stock market and the case is the SARS in Taiwan. The methodology of this study is proposed by Grace, Rose and Karafiath in 1995 and the empirical period is from 2003/4/21 to 2003/11/25. There are 153 trading days and 46 observations. The results indicate that the abnormal return occurred in the finance stock market because of the SARS, and this result was consistent with the efficient markets hypothesis. The degree of the abnormal return was dependent on industry classification and the financial ratios of a company. On the different business abnormal return, it reveals negative trend. The banking industry had the highest negative return, followed by the insurance industry. The security and holding company sectors have relatively minor impacts. As to the financial ratios, not all factors were appropriate to explain the different of the abnormal return magnitude. The ratio of total equity to total assets was significant for security industry. The ratio of net income to total assets had positive relation to the abnormal return in insurance and security industries. The natural log of total assets had positive influence to abnormal return in banking and security industries. The ratio of total liabilities to total assets had influence over banking and security industries