Assessing the Impact of Food Safety Events on the Food Company Stock Prices

[[abstract]]台灣近年來的食品安全事件鬧的人心惶惶，也令台股蒙上一層陰影。本研究採用事件研究法加入VAR模型，針對台灣近年來發生的食品安全問題中，採用最具代表性的三件食品安全事件，分別是塑化劑事件、毒澱粉事件及餿水油事件，探討其事件對台灣食品相關個股異常報酬率的影響。本研究目標在檢定上述食品安全事件對台灣食品上市公司是否產生顯著的累積異常報酬，以檢視食品安全事件對食品公司股價的衝擊。 研究樣本為塑化劑事件4家公司，毒澱粉事件4家公司，餿水油事件6家公司，其中統一企業因為食品業龍頭且產品涉及上述三個事件，因此特針對統一進行探討。三起事件共14個樣本數，以事件期前500個交易日為觀察期間。 實證結果顯示，受事件影響之食品上市公司確實因食品安全事件產生負的異常報酬率，塑化劑事件及餿水油事件尤為明顯。事件日後20個交易日平均累積異常報酬率均為負數，顯然投資人對這兩起事件有較為強烈的負面反應。而毒澱粉事件僅有在事件日後第3日有顯著的負報酬率，其餘交易日平均累積異常報酬率正數多為負數，顯示毒澱粉事件對食品公司股價較無衝擊，投資人較無負面反應。[[abstract]]In recent years people are becoming even more worried about food safety incidents in Taiwan which also are haunting the Taiwan stock market This research applies the vector auto regression model (VAR) to perform the event study For the food safety problem three representative food safety events such as the plasticizer and emulsifier poisonous starch and recycled waste oil incident are identified to study the hypothesis of market efficiency and the influence of abnormal returns The aim of study is to exam in whether the food safety events significantly affect the cumulative abnormal returns (CAR) of food companies and to verify the impact of incidents The research sample consists of 14 food safety related companies having four for the plasticizer and emulsifier incident four for the poisonous starch incident and six for recycled waste oil incident The numbers of observations for daily traded stock price used for estimation are 500 for each company The empirical results show that the food safety events especially the poisonous starch and the recycled waste oil have strongly negative impact on the stock prices Continuing twenty days after event the cumulative abnormal returns (CAR) are always negative This situation indicates that the investors have strong negative reaction on food companies But the incident of plasticizer and emulsifier only results in the negative CAR only on the third day after the event while having more positive than negative CARs for the other days after the even