| Summary: | 碩士 === 國立高雄應用科技大學 === 國際企業研究所 === 102 === The main purpose of this paper is to examine the effect of official agreements announcement between Taiwan and China on Taiwan stock market from 2005 to 2010, and to analyze the daily response in stock price and trading volume, the factors of cumulative abnormal return, and cumulative abnormal trading volume. This study uses the methods of event study, cross-sectional regression, and Granger causality test on 6 events in Taiwan stock market. The findings of average cumulative abnormal return and trading volume of official agreements announcement are significantly positive, and the stock price and trading volume are rising after 20 days and 27 days of the announcement respectively. However, it is shown that earnings per share and return on equity are not a significant factor affecting the cumulative abnormal return and cumulative abnormal trading volume. Finally, the trading volumes of tourism and airlines stocks can affect the returns.
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