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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/145919


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145919


    Title: 產業領導企業非系統性漲跌是否影響同業
    If a leader sneezes, does everyone catch a cold? What if a leader wins a lottery?
    Authors: 商復一
    Shang, Fuh-Yi
    Contributors: 周冠男
    Chou, Robin K.
    商復一
    Shang, Fuh-Yi
    Keywords: 有限注意力
    非系統性事件
    異常報酬
    搜尋量指數
    產業聯動
    Limited attention
    Non-systematic event
    Abnormal return
    Search volume index
    Industry co-movement
    Date: 2023
    Issue Date: 2023-07-06 16:59:55 (UTC+8)
    Abstract: 本文探討同產業內領導公司的非系統事件對於同業的影響。以美國的電腦程式設計、資料處理、其他電腦相關服務產業以及藥物產業為例，運用Google的搜尋量指數以及單日漲跌幅作為篩選過濾出可能的領導公司非系統性事件日期，並藉此建立虛擬變數、對產業內公司做日頻率縱橫資料分析。本文發現領導公司正面非系統性事件對於同業會造成顯著較高的異常報酬；反之，負面非系統性事件對於同業會造成顯著較低的異常報酬。上述單日報酬的影響幅度可達10基點。主要的異常報酬波動集中在非系統性事件當日至兩天後；其中市值將影響異常報酬波動發生以及回穩的時間點，大市值公司最快出現異常報酬波動，同時亦較快回穩。後續透過產業指數進一步篩選非系統性事件，並發現投資人較容易辨識正面事件的非系統性；對於負面事件較容易解讀為系統性事件，且反應甚至較系統性事件持久。
    This paper aims to explore the effects of the non-systematic events from industry-leading companies have on the companies in the same industry. By utilizing Google Search Volume Index (SVI) and single-day return, I created a filter that can list out the possible days on which non-systematic events of industry-leading company might happen. Based on the filter, I built dummy variables for all the possible events in order to conduct a daily panel data analysis. The Computer Programming, Data Processing, and other Computer Related Services industry and the Drug industry are included in this paper as examples. This paper found that positive non-systematic events of industry-leading company induce higher abnormal returns in companies from the same industry. On the contrary, negative ones induce lower abnormal returns. The fluctuation of abnormal return can be up to 10 bps, and appears on the event days or around two days of it. It is worth noting that capitalization is related to the time point of the occurrence of abnormal return fluctuations and the subsequent stabilization. Companies with larger capitalization face the fluctuation first and stabilize faster. I also conduct a stricter screening on systematic events and found that investors tend to correctly identify positive non-systematic events, but for negative ones, investors act as if they are systematic.
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    Description: 碩士
    國立政治大學
    財務管理學系
    110357009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357009
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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