SARS及COVID-19為近年影響全體人類生活，乃至於各國經濟發展的兩重大公衛事件，範圍擴及全球，並對各國之社會發展、金融貿易、政局體制、醫療照護乃至經濟活動產生全面性衝擊。由於此類傳染病傳染性強且對應當時皆為新型病症，因此各國政府多需採行限制人民移動範圍方式來防止疫情迅速傳播，對經濟活動便會造成極大衝擊。鑒於股價波動綜合反應政治、經濟、財政金融及市場性等各面向，本研究以國內八類產業上市公司之股價變動進行分析，來探討SARS及COVID-19事件對台灣股市影響。相較現有文獻研究對象多設定單一產業，本研究擴大研究範圍至國內八類產業綜合探討，採行事件研究法分析兩重大公衛事件對於股價報酬之影響，使用股票報酬率之日資料及週資料進行比較，並以三種估計模式檢測市場波動及其差異性。
實證結果顯示，兩次疫情事件期間八類產業均產生顯著異常報酬，其中觀光及汽車產業受到之衝擊最劇烈，不論長、短期皆持續性顯著負向影響；而對生技醫療產業來說，短期呈現明顯正報酬，但長期報酬則會漸趨近尚未發生疫情事件前之行情。值得注意的是，半導體業在短期內雖因兩次疫情事件影響遭受負向衝擊，但在長期觀察之下，股價多可快速回復甚至轉為正向報酬，在COVID-19事件期間相較於SARS事件更可看出此趨勢，顯示科技產業經多年深化發展，遠距、雲端、AI、5G等產業應用更為成熟，台灣半導體業也更為世界所重度倚賴，產業前景較不容易受疫情長期干擾。而經三種模式之比較，GARCH model在部分產業中表現對於事件影響具有高度敏銳性；market adjusted return model則在部分產業中對於事件影響較無明顯反應，推測其原因在於此模式假設預期報酬等同同期之台灣加權指數，而台灣加權指數綜合反映所有上市櫃企業之整體表現，更廣於本研究列出之八類產業，故產生反應更不顯著。而經事後比較檢定之LSD法找出產業間之差異，所有產業均呈現不同強弱程度之差異性，其中汽車、觀光、生技醫療、半導體產業分別與其他產業有較大強度之差異性，顯示此四類產業不論正、負面皆受到兩事件影響甚鉅。

SARS and COVID-19 are infectious diseases that severely influenced the live of all human beings. Both deceases spread worldwide, so they have made a comprehensive impact on the social development, financial trade, political system, medical care and economic activities. As the stock price fluctuations comprehensively reflect the political, economic, financial, and market sentiment, in current research, the stock price of eight major industries in Taiwan are analyzed for evaluating the impact of SARS and COVID-19 on the society. As compared to literatures, previous studies only focused on single industry, so the research scope of current study further expands to eight major industries in Taiwan, and the impact on stock price due to SARS and COVID-19 will be analyzed. The event study method is applied, and the daily and monthly return factors are calculated and compared. Furthermore, three types of estimation models are used to evaluate the abnormal return rate.
The results demonstrate that both deceases showed great impact on all industries, especially on the tourism and automobile industries with obvious negative impacts in short and long terms. As for the biotech and medical industry, highly positive returns appear in short term, but that would be back to average level in long term. However, due to the much longer continuity of COVID-19 than SARS, the positive returns of biotech and medical industry remained much longer. As for other industries, the stock price fluctuations under SARS and COVID-19 were similar. For example, since daily life demands exist, the stock prices of plastic and food industries both decline initially, and then gradually converge to normal return level in long term. It was also noted that the semiconductor industry is negatively affected in short term, nevertheless, the stock price quickly recovers and even turns to positive returns. This trend can be more obvious during the COVID-19 period than SARS. That is to say, owing to the growing applications like remote controlling, cloud, AI, 5G have vitality developed, Taiwan’s semiconductor industry has played a more decisive role in the world, so the long-term stock price is less susceptible to the diseases. Furthermore, the CAR seems to respond more information than AR.
In comparison of the three models, the GARCH model is highly sensitive to the impact of events in some industries; while the market adjusted return model responds slower to events in some industries. The reason is that market adjusted return model assumes that the expected return is equivalent to Taiwan weighted index in the same period. Since the index has comprehensively reflected the overall performance of all companies, the response to eight industries listed in current research would be less significant. As for the posteriori comparisons test among industries, different level of impact is existed in each industry. Among them, the automobile, tourism, biomedical, and semiconductor industries show more significant difference to other industries, indicating that as compared with the daily necessary industries, these four industries are greatly affected by the two events, whether towards positive or negative.

論文審定書 i
中文摘要 ii
英文摘要 iii
目次 v
圖次 vi
表次 vii
第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的 3
第二章 文獻回顧 4
第一節 SARS與COVID-19事件背景介紹 4
第二節 以事件研究法探討重大事件對股價影響之文獻 7
第三節 以事件研究法探討傳染病對股價影響之文獻 9
第三章 研究方法 12
第一節 事件研究法介紹 12
第二節 事件研究法之預期模式 14
第三節 異常報酬估計模型 15
第四節 異常報酬之T檢定 15
第五節 事後比較檢定 16
第四章 COVID-19與SARS 事件對股市之影響 17
第一節 異常報酬檢定及分析 17
第二節 事後比較檢定分析 44
第五章 結論 50
參考文獻 51

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