分析食品安全事件對食品公司股價的衝擊

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

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。本文採用事件研究法，針對台灣近年來發生的食品安全問題中，設定最具代表性的三件食品安全事件，即塑化劑事件、毒澱粉事件及餿水油事件，以適用的動態多變項聯立方程式VAR模型探討此三事件對台灣食品相關個股異常報酬率的影響程度，即檢視股價的衝擊。實證結果顯示，受事件影響之食品公司確實因食品安全事件產生負的累加異常報酬率(cumulative abnormal returns, CARs)。塑化劑事件及餿水油事件對食品公司有長期的負面衝擊，事件日後20 個交易日平均CARs均為負數，隱含投資人因這兩起事件有較為持續的負面反應。相對的，毒澱粉事件僅有在事件日後第3日有顯著的平均CARs，其餘交易日平均CARs正數多為負數，顯示毒澱粉事件對食品公司股價是短期衝擊，投資人較無持續負面的反應。

In recent years, people are becoming even more worried about food safety incidents in Taiwan which also are haunting the Taiwan stock market. 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. The vector auto regression model (VAR) that is a dynamic multivariate simultaneous equation model is applicable to study to what extent the three events affect the cumulative abnormal return (CAR) of food companies (i.e. the impact of stock prices). The empirical results show that the food safety events indeed have led to the negative for the food companies. The poisonous starch and the recycled waste oil have long term negative impact on the food companies whose average CARs are always negative continuing twenty days after event. This situation implies that the investors have negative and persistent reaction because of the two incidents. In contrast, the plasticizer and emulsifier incident causes the significant negative average CARs only on the third day after the event while having more positive than negative average CARs for the other days after the event. Apparently, the plasticizer and emulsifier incident is a short term impact on food companies and the reaction of investors are not persistently negative.