陸客赴台自由行禁令對台灣觀光航空產業股價之影響

The Impact of Chinese Independent Travel Ban to Taiwan on Stock Performance - Evidences on Taiwan's Tourism and Airline Industries

本研究利用事件研究法探討中國大陸頒布陸客來台自由行禁令對旅遊及觀光航空業是否造成股價的異常報酬。由實證檢定結果得知，在事件日當天，立即對台灣航空觀光產業類股造成跌幅達單日1.81％，且P值亦達0.006之極為顯著性的影響；且事件日後的第一天，平均跌幅亦達1.01％，P值為0.002，而事件日後第二天仍舊造成單日0.84％跌幅，P值為0.002之極為顯著現象。此結果顯示，兩岸重大政經事件的結果呈現了立即下跌的反應，但此下跌並沒有一次完全反應完畢，而持續到事件日後第一天及第二天，此說明了台灣的股票市場在此重大事件中呈現了典型的弱勢效率市場反應。此現象透露，在這樣的重大兩岸政治經濟事件中，積極的投資者可以利用事件當天的賣空機會獲得231％的超額年化報酬的可觀利潤。由累積平均異常報酬率之結果顯示，事件日前各種不同累積期間之平均異常報酬率檢定，其顯著性皆非常不足，此現象說明台灣股市投資人的反應並無呈現消息提前走漏之情事。

This study intends to examine whether the Chinese independent travel ban to Taiwan will result in significant abnormal rates of return of Taiwan's tourism and airline listed firms by event study methods. In addition, we try to further explore whether there exists information leakage phenomena in this event. Our empirical results show that negative abnormal returns were found significantly on the continuous three days beginning from the event day. The findings reveal that the stock performances of Taiwan's tourism and airline listed firms tend to be very sensitive but react incompletely under the event impact, showing a typical weak form of securities markets. In addition, information leakage cannot be significantly justified in our research findings. The phenomenon highlights that active investors could take advantage of going for short selling on the event day and reap an annualized 231% handsome profit in such a major cross-strait political economic event.