Air Accident and Stock Price Reaction: A Case of China Airline

• Main Authors: wu chen che, 吳政哲
• Other Authors: 詹錦宏
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/92308027307336911178

碩士 === 長庚大學 === 企業管理研究所 === 92 === In the efficient market, how an investor respond to the information of firm’s critical accident. This kind of information will affect firm’s securities in stock price and market value that also affect opposite firm and related industry. This paper focuses on the adjustments of stock returns to the 5 times announcements of China Airline accidents. An event study methodology is used in examining the observation and the continuation of abnormal return as well as market model and t test statistics to measure the impact on stock performance. Also this paper researched over reaction effect, transfer effect and spillover effect. The conclusion can support that Taiwan stock market is fitting to semi-strong form theory. The firm’s stock price will respond to the accident information quickly with a negative abnormal return, but the negative abnormal return reduced on the following days that observed no continuous effect. On the event window we cannot find any over-reaction effect on the market. There are transfer effect show on the opposite firm but only at the same market place, and no evidence can prove spillover effect existed due to the accident event