| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 103 === In recent years, people are becoming even more worried about food safety incidents in Taiwan which also are haunting the Taiwan stock market. This research applies the vector auto regression model (VAR) to perform the event study. For the food safety problem, three representative food safety events such as the plasticizer and emulsifier, poisonous starch, and recycled waste oil incident are identified to study the hypothesis of market efficiency and the influence of abnormal returns. The aim of study is to exam in whether the food safety events significantly affect the cumulative abnormal returns (CAR) of food companies and to verify the impact of incidents.
The research sample consists of 14 food safety related companies having four for the plasticizer and emulsifier incident, four for the poisonous starch incident, and six for recycled waste oil incident. The numbers of observations for daily traded stock price used for estimation are 500 for each company. .
The empirical results show that the food safety events especially the poisonous starch and the recycled waste oil have strongly negative impact on the stock prices. Continuing twenty days after event, the cumulative abnormal returns (CAR) are always negative. This situation indicates that the investors have strong negative reaction on food companies. But the incident of plasticizer and emulsifier only results in the negative CAR only on the third day after the event while having more positive than negative CARs for the other days after the event.
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