COVID-19疫情對公司股價波動度之影響──投資人情緒與公司治理的角色

THE IMPACT OF COVID-19 ON STOCK PRICE VOLATILITY: THE ROLE OF INVESTOR SENTIMENT AND CORPORATE GOVERNANCE

COVID-19疫情爆發為金融市場與實體經濟帶來前所未有的衝擊和不確定性。本研究運用Component GARCH模型，將台灣上市櫃公司股價波動度分解為長期和短期成分，探討疫情對波動度的影響，並同時考慮公司治理和市場情緒的角色。實證結果顯示，疫情發生期間及其嚴重程度惡化主要會加劇股價的長期波動度，意謂著投資人預期疫情將影響公司的長期前景。特定層面的公司治理因素有助緩解疫情衝擊，但影響方向與傳統預期不同：高員工流動率與低家族董事比率的公司在疫情時傾向有較低的股價長期波動度。此外，負面市場情緒無論來自散戶或外資法人，均會放大疫情對股市的影響並加劇長期波動度，且散戶情緒還影響短期波動度。整體研究顯示，在此次危機中，市場情緒對股市穩定的重要性更甚於公司治理。本研究結果有助我們深入理解疫情風險內涵，並為相關風險管理提供參考。

The COVID-19 pandemic has brought unprecedented shocks and uncertainties to financial markets. This study applies the Component GARCH model to decompose the stock price volatility of listed companies in Taiwan into long-term and short-term components, investigating the pandemic’s impact in terms of market sentiment and corporate governance. Empirical results indicate that the occurrence and severity of the pandemic mainly exacerbated the long-term volatility of stock prices, suggesting that investors anticipated that the pandemic will affect the long-term prospects of companies. Specific corporate governance factors mitigated the pandemic’s impact, but the effects differ from traditional expectations: companies with higher employee turnover and a lower proportion of family directors tended to have long-term volatility during the pandemic. Moreover, negative market sentiment, whether from retail or foreign institutional investors, amplified the pandemic’s impact on the stock market and increased long-term volatility, with retail sentiment also affecting short-term volatility. Overall, the study shows that market sentiment played a more significant role than corporate governance in maintaining stock market stability during the crisis.