央行第七波選擇性信用管制對營建類股股價之事件研究分析

An Event Study on the Impact of the Central Bank’s Seventh Selective Credit Control on Construction Stock Prices

本研究旨在探討2024年9月19日台灣中央銀行實施第七波選擇性信用管制政策後，營建類股是否產生顯著異常報酬，並進一步分析市場投資人對該政策訊息之反應行為。研究採用事件研究法，選取55家台灣上市營建類股作為樣本，建構事件視窗與估計視窗，透過市場模型計算異常報酬（AR）與累積異常報酬（CAR）進行實證檢定。結果顯示，在政策發布日（事件日）當天，營建類股出現極為顯著的負異常報酬，並於事件日前後持續呈現負向累積異常報酬，顯示市場對政策訊息反應迅速且強烈。此外，研究亦發現政策發布前即出現顯著負報酬，顯示可能存在資訊提前反映的情況。整體而言，第七波信用管制政策對營建類股造成中短期顯著衝擊，具高度政策敏感性。本研究結果除有助於主管機關了解政策市場影響，亦提供投資人及業者作為風險控管與資產配置之參考依據。

This study investigates the impact of Taiwan’s seventh wave of selective credit control measures—announced by the Central Bank on September 19, 2024—on the stock prices of construction-related companies. Utilizing the event study methodology, the research analyzes a sample of 55 publicly listed construction firms in Taiwan. An event window and an estimation window were constructed, and the Market Model was applied to compute Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR). Empirical results reveal that construction stocks experienced a significantly negative abnormal return on the event day, as well as a persistent decline in cumulative abnormal returns before and after the announcement. The findings suggest that the market responded rapidly and negatively to the policy signal. Moreover, significant negative returns were observed even prior to the official policy announcement, implying a potential information leakage. Overall, the seventh round of credit tightening exerted a pronounced short- to medium-term impact on construction-related stocks, highlighting their high sensitivity to housing policy. These insights offer valuable implications for policymakers, investors, and industry stakeholders in assessing policy risk and market reactions.