經濟預測對台灣產業加權指數報酬率影響之事件研究

The Effects of Economic Forecasting on Industrial Index Returns in Taiwan: An Event Study Approach

本研究以GARCH為基礎之事件研究法探討台灣四家預測單位發佈經濟預測後對各產業指數報酬率的影響，分別探討因事件所產生的異常報酬與其引發的異常波動。研究結果發現：第一、異常報酬率中，中華經濟研究院相較於其他三家機構的影響是比較明顯，但是差距並不大；事件引發的波動上，四家預測單位差異不大。但是整體而言，由事件引發的波動比異常報酬更容易被發現。第二、區分上修與下調經濟預測後，產業指數的異常報酬率與預測修正方向並無明顯關聯；然而不論修正方向為何，有高達82%比例出現波動降低的現象。第三，區分產業別後，電子產業更容易受到經濟預測發佈產生異常報酬，但波動率差異不顯著。第四、金融海嘯後，投資者對於經濟預測訊息的宣告更為敏感。

This study uses the event study approach to analyze the effect of economic forecasting on industrial index returns in Taiwan. Based on the GARCH model, we include two dummy variables. One is in the mean equation to capture the abnormal return and the other is in the variance equation to capture the event-induced volatility. The empirical results show: First, the effect of economic forecasting announcements from different research institutions is indifference from research institutions. Only the Chung Hua Institution for Economic Research induces more abnormal returns. Second, optimistic economic forecasting induces 45% positive abnormal return and pessimistic economic forecasting induces 52% negative abnormal return. However, 82% event-induced volatility decline whether optimistic or pessimistic economic forecasting announced. Third, the return of electronic industrial index is more likely influenced by economic forecasting events than other industrial indices. Fourth, after 2008 financial crisis, the effect of economic forecasting on industrial index returns has a structural change in which investors become more sensitive to economic forecasting.