俄烏戰爭之股價異常報酬分析──重建概念股之實證

An Emprical Analysis of Abnormal Returns on Reconstruction Concept Stocks of the Russo-Ukrainian War

This study employs event study method to investigate whether international conflicts, such as the Russo-Ukrainian War, lead to abnormal returns in Taiwan's reconstruction concept stocks and whether there is evidence of information leakage. Additionally, it analyzes the sustained attention of investors. The average abnormal return test results indicate that, apart from showing statistical significance in trading day 3 to day 5 consecutively prior to the event day, there are also extreme significance of p-value 1% for the first four consecutive trading days after the event day. This suggests that the Russo- Ukrainian full-scale war event indeed prompted investors to exhibit a positive price response in Taiwan's reconstruction concept stocks, making big profits from war spoils. Furthermore, the cumulative average abnormal return test results indicate that although both Russia and Ukraine, along with European countries, claimed that there was no imminent outbreak of war, investors in Taiwan's reconstruction concept stocks had already aligned their investment behavior with the war confirmation from the governments of the United Kingdom and the United States three trading days before the event day.