本研究針對台灣股票市場，上市櫃公司受到會計師出具繼續經營有疑慮之查核意見對股價效應進行探討，以事件研究法來探討股價變動的情況，並以一般化自我迴歸條件異質變異模式(generalized autoregressive conditional heteroscedasticity, GARCH)進行市場模式迴歸係數的估計。實證結果顯示，對整體產業皆會產生負向的累積異常報酬，且會使股價進行大幅度的向下修正。而針對電子業與非電子業進行比較，結果顯示此一事件對電子業與非電子業皆會產生顯著的負向異常報酬，其中對電子業的影響程度較大，異常報酬會出現劇烈的變動，這也顯示台灣電子業類股對繼續經營疑慮查核意見公布的反應是較為敏感且劇烈的，而市場也相對的能及時反應出此一事件所帶來的影響，而此一事件影響只持續一小段期間，這也顯示證券市場對於此一事件的反應是具有時效性的。
This paper investigates the impact of auditors’ going concern opinions on Taiwanese firms’ stock prices. Event study and market model with adjustments of generalized autoregressive conditional heteroscedasticity (GARCH) are used in this study. The empirical results indicate that the going concern opinions cause negative cumulative abnormal returns in all industries and lead to the market making downward adjustments to the stock prices. When further comparing electronic industry to non-electronic industry,we find that going concern opinions result in negative cumulative abnormal returns within both categories. In addition, the impact of the event on electronic industry is greater than that on non-electronic industry, and causes higher volatility of abnormal returns. This evidence suggests that electronic industry is more sensitive to the issuance of going concern opinion, and the market responses in a timely but transient manner.
