文化大學機構典藏 CCUR:Item 987654321/28467
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    Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/28467


    Title: 貪污行為對購併事件之股東財富效果影響-中國金融業之實證分析
    Impact of Corruption on Shareholder Wealth Effects of Merger & Acquisition:The Case of Financial Industry in China
    Authors: 李依庭
    Lee, I-Ting
    Contributors: 財務金融學系
    Keywords: 貪污
    購併
    GARCH風險調整模式
    mergers and acquisitions
    GARCH risk-adjusted model
    Date: 2014-06
    Issue Date: 2014-10-07 17:14:51 (UTC+8)
    Abstract: 近年來,中國金融業的購併事件日益頻繁,而在形成規模效應與提升競爭力的過程中,貪污常造成購併成本提高,亦會衝擊市場相關投資行為,使得股票報酬相關變數產生顯著的影響。然而,隨著購併之盛行,中國貪污對金融業購併會受到貪污程度的影響?因此,本研究目的係透過市場對金融業購併事件之反應,是否會受到主併公司的先前貪污行為所影響。本研究首先嘗試利用市場模式與GARCH風險調整模式,估計2000年至2012年間的中國金融業購併事件之市場反應,並檢驗其反應是否會受貪污事件之影響而有所差異。實證結果顯示,在購併前有貪污行為在事件日前後呈現負向的異常報酬,事件當日呈現正向的異常報酬。累積異常報酬之實證結果發現,在購併前有貪污在事件日前提早反應,則有負向的異常報酬;購併前沒有貪污則均沒有顯著的異常報酬。再者,藉由橫斷面分析了解影響資訊內涵之重要變數。透過橫斷面複迴歸分析,並發現在全體樣本部分,Tobin's Q值為顯著負向影響,產業別中的證券業為顯著正向影響。冀希透過此資訊價值差異的比較,能提供市場參與者相關參考依據。
    Recently, the increasing M&A activities promote the formation of scale economy and enhance the competitiveness in China's financial industry. However, corruption will increase the cost of M&A in the process, and affect the market investment behavior that to cause the significant relationship between stock returns. Hence, the purpose of this study plan to employ event study using the market model with conditional heterosce-dasticity to estimate market reactions of the M&A activities during 2000-2012, and to investigate whether the difference of these market reactions will be affected by the corruption. Moreover, this study examines whether these explanatory variables are associated with observed cumulative abnormal returns using a regression analysis. The findings can provide a reference for market participants in making related decisions.
    Appears in Collections:[Department of Banking & Finance ] Thesis

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