| Summary: | 碩士 === 南華大學 === 企業管理系管理科學碩博士班 === 97 === The study compares the event impacts of difference types of events on Taiwan market. Previous studies use either of the abnormal return or volatility to extract the impact of a specific event on an individual company or markets. However, this study suggests the pattern of the risk-return relationship should be affected by the release of event, furthermore, the event impacts will be different with the types of event or the event windows.
We apply the regression model to examine the event impacts on the risk-return relationship. There are three main studies of this research: Firstly, it compares the information contents of different types of events. Secondly, it examines the impact of an event on the pattern of the risk-return relationship. Finally, it finds the difference pattern of the risk-return relationship associated with the release of different types of event and the different event windows.
According to the empirical results, there are three main findings: Firstly the market returns and market volatility have distinct statistical characteristics for different types of event. In general, the impact of an event on a market associated with unpredictable, bad and political types of event is more significant than with other types of event. Secondly the risk-return relationship is inconsistent over the event period resulting from the market activities during the pre-, post-event and event day windows. Furthermore, the inconsistency conditions what the type of the event window is. Finally the efficient markets hypothesis appears to be rejected by the Taiwan stock market because of prior-event information leakage and the delayed-response effect during the post-event window.
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