南亚海啸对旅游业股价报酬之冲击.doc

南亞海嘯對旅遊業股價報酬之衝擊南亞海嘯對旅遊業股價報酬之衝擊 中中 文文 摘摘 要要 於 2004 年 12 月 26 日的早晨 印度洋歷經有始以來最具有毀滅性海嘯侵 襲 本研究使用事件研究法 並以市場調整模型去分析股票市場是否有產生異 常報酬之情形 異於先前相關文獻 此研究樣本跨至產業別與國家別 首先針 對泰國旅遊觀光業對於未能預料事件南亞海嘯發生後市場反應 並分析南亞海 嘯災難發生對台灣 香港 紐西蘭 澳洲之旅遊觀光業影響 其分析期間為 2004 年 6 月到 2005 年 3 月 關於泰國其它產業對於南亞海嘯災難發生後股價異 常報酬現象 本研究樣本選取 運輸後勤業 保險業 建材和建設發展產業 探討股票交易市場之回應對於南亞海嘯發生前四天至前一百三十五天 此期間 設定為本研究之估計期 海嘯發生之前四天與發生後之十五天設定為研究事件 期 事件日則為海嘯發生後股票交易市場第一天交易日 研究樣本類型是擷取 個別國家證券交易所提供之各股股價日資料數據 研究結果顯示泰國旅遊觀光產業呈現部份顯著之負向異常報酬 另外 泰國 建材和建設發展產業同樣呈現部份顯著的負向異常報酬 並發現南亞海嘯並未 能對與台灣 香港 紐西蘭和澳洲有顯著正向的異常報酬 關鍵字 南亞海嘯 效率的市場 異常報酬 市場調整模型 事件研究法關鍵字 南亞海嘯 效率的市場 異常報酬 市場調整模型 事件研究法 The Impact of Asian Tsunami Attacks on Tourism Stock Returns ABSTRACT The Indian Ocean experienced a devastating Asian tsunami damaged in the morning of 26th December 2004 This study uses a market adjusted returns model of event study to analyze abnormal returns in Thailand s tourism industry The study differs from other pervious studies of market reactions to unanticipated in cross country We also investigate reaction on tourism stock market after Asian tsunami attack Taiwan Hong Kong New Zealand and Australia from June 2004 to March 2005 In addition this research compares difference on the abnormal returns in tourism and leisure transportation and logistics insurance construction materials and construction development industries in Thailand from June 2004 to March 2005 We examine the stock market reaction for 135 days ago and draw out four day ago and 15 days later on the Asian tsunami happened The result shows partial significant negative stock abnormal for tourism and leisure industry in Thailand On the other hand there are partial significant positive stock returns in the construction development and construction materials industries after tsunami attacked There is no significant level to stand for the critical influence to Taiwan Hong Kong New Zealand and Australia Keywords Asian Tsunami Efficient Markets Abnormal Return Market Adjusted Model Table of Content CHINESE ABSTRACT I ENGLISH ABSTRACT II LIST OF TABLE IV LIST OF FIGURE V CHAPTER 1 INTRODUCTION 1 1 1 BACKGROUND 1 1 2 RESEARCH MOTIVATION AND PURPOSE 2 1 3 RESEARCH OBJECTIVES 5 1 4 THESIS STRUCTURE 5 CHAPTER 2 LITERATURE REVIEW 7 2 1 THE EFFICIENT MARKETS HYPOTHESIS AND LITERATURE 7 2 2 LITERATURE REVIEW OF GREAT DISASTER INCIDENT 10 CHAPTER 3 RESEARCH METHODOLOGY 20 3 1 EVENT STUDY 21 3 2 RESEARCH FRAMEWORK 28 3 3 DESCRIPTION OF THE SAMPLE 29 3 4 RESEARCH DESIGN 33 CHAP4 DATA ANALYSIS AND DISCUSSION 36 4 1 DESCRIPTIVE STATISTICS ANALYSIS 36 4 2 TEST STATISTICS WITH ABNORMAL RETURNS AR 39 4 3 TEST STATISTICS WITH CUMULATIVE ABNORMAL RETURN 49 CHAP 5 CONCLUSION 59 5 1 SUMMARY AND CONCLUSION 59 5 2 MANAGERIAL IMPLICATIONS 61 5 3 RESEARCH LIMITATION AND SUGGESTION 63 CHINESE REFERENCE 65 ENGLISH REFERENCE 66 APPENDIX 1 COMPANY NAME AND CODE 73 LIST OF TABLE TABLE 2 1 DEFINITIONS OF EFFICIENT MARKET 7 TABLE 2 2 TABLE OF LITERATURE ON COMPANY AND GOVERNMENT S POLICY 13 TABLE 2 3 TABLE OF LITERATURE ON COMPANY AND GOVERNMENT S POLICY 18 TABLE 3 1 RESEARCH SAMPLE 30 TABLE 4 1 THE AVERAGE DAILY RETURNS IN CROSS INDUSTRY 38 TABLE 4 2 THE STOCK DAILY RETURNS IN CROSS COUNTRY 38 TABLE 4 3 TEST STATISTICS WITH THE AR IN CROSS INDUSTRY 40 TABLE 4 4 TEST STATISTICS WITH THE AR IN CROSS COUNTRY 45 TABLE 4 5 TEST STATISTICS WITH THE CAR IN CROSS INDUSTRY 50 TABLE 4 6 TEST STATISTICS WITH THE CAR IN CROSS COUNTRY 55 LIST OF FIGURE FIGURE 1 1 AN OVERVIEW OF THE RESEARCH 6 FIGURE3 1 RESEARCH PERIOD 22 FIGURE 3 2 RESEARCH FRAMEWORK 28 FIGURE3 3 RESEARCH PERIOD 32 FIGURE 4 1 AR IN TOURISM AND LEISURE INDUSTRY IN THAILAND 42 FIGURE 4 2 AR IN TRANSPORTATION the second chapter is literature review includes concepts of efficiency market the literature review of event study and relevant literature review collation In the third chapter we state the study method and design during the thesis and the sample chosen and statistics assay Following chapter concludes the result of our findings and discussion The final chapter concludes with the suggestions and we propose the direction of possible development of future for follow up researcher s reference Cross Industry Cross Country Research Motivation and Background Research Purpose Test Statistics with Abnormal Return Research Design Literature Review Abnormal Returns Analysis Empirical Analysis Conclusion and Suggestion AR CAR Hypothesis of Efficiency Market Literature Review of Event Study Relevant Literature Review Figure 1 1 An Overview of the Research Chapter 2 Literature Review The ambition of this chapter are reviewing and discussing the relating incident in our studies Especially on foreign scholar studies and discusses are wider and deeper in the calamity incident Our domestic researches about how disaster incident influences specific industry are actually few This literature review is divided into three parts The first part is the overview of efficient markets hypothesis and literature And the next part is reviewing and explaining on non disaster incident The finally part presents the reviews on disaster incident 2 1 The Efficient Markets Hypothesis and Literature 2 1 1 The Efficient Markets Hypothesis Table 2 1 Definitions of efficient market Authors Definitions of Efficient Market Fama 1969 An efficient market i e a market that adjusts rapidly to new information Jensen 1978 A market is efficient with respect to information set theta t if it is impossible to make economic profits by trading on the basis of information set theta t Fama 1991 Efficiency hypothesis to be the simple statement that security prices fully reflect all available information Authors Definitions of Efficient Market Malkiel 1992 A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices Formally the market is said to be efficient with respect to some information set if security prices would be unaffected by revealing that information to all participants Moreover efficiency with respect to an information set implies that is impossible to make economic profits by trading on the basis of that information set Fama 1998 Market efficiency the hypothesis that prices fully reflect available information The simple market efficiency story that is the expected value of abnormal returns is zero but chance generates deviations from zero anomalies in both directions Base on above mentioned respectively scholars we integrate definitions and draw a conclusion of the efficiency market as below In an efficient market the participants almost can freely use important current information and can try to predict future market values of individual securities Actual prices of individual securities already reflect the effects of information when events happened In other words the actual price of a security is a good estimate of its intrinsic value in an efficient market Fama 1970 ideal conditions are those where i there are no transactions costs in trading securities ii all available information is costless available to all market participants and iii all agree on the implications of current information for the current price and distributions of future prices of each security According to Fama and Hayek 1945 this third element is not possible These efficient market hypothesis EMH assumptions have formed the basis of numerous studies of financial markets economics textbook The EMH is suggested to be subdivided into three categories Fama 1970 classified three forms such as weak form tests are testing whether all information contained in historical prices is fully reflected in current prices Then semi strong form tests in which the concern is whether prices efficiently adjust to other information that is obviously public available e g announcements of annual earnings stock splits etc are considered Finally strong form tests concerned with whether given investors or groups have monopolistic access to any information relevant for price formations are reviewed I WEAK FORM EFFICIENCY The weak form of the EMH states that all information contained in past price movements is fully reflected in current market prices If this were true information about recent trends in stock prices would be of no use in selecting stocks the fact that a stock has risen for the past three days For example it would give us no useful clues as to what it will do today or tomorrow II SEMISTRONG FORM EFFICIENCY The semistrong form of the EMH states that current market price reflect all publicly available information Therefore if semistrong form efficiency exists it would do no good to pore over annual reports or other published data because market prices would have adjusted to any good or bad news contained in such reports back when the news came out With semistrong form efficiency investors should expect to earn the returns predicted by the SML but they should not expect to do any better unless they have either good luck or access to information that is not publicly available However insiders the presidents of companies who have information that is not publicly available can earn consistently abnormal returns returns higher than those predicated by the SML even under semistrong form efficiency III STRONG FORM EFFICIENCY The strong form of the EMH states that current market prices reflect all pertinent information whether publicly available or privately held If this form holds even insiders would find it impossible to earn consistently abnormal returns in the stock market 2 2 Literature Review of Great Disaster Incident In order to understand the research direction and field of relevant event study method We sort the event study into two major parts The first part is relevant review of company and government s policy incident The relevant review of disaster incident is divided into the second part 2 2 1 Relevant Review of Company and Government s Policy Incident Yang 2001 investigated the effect of stock repurchase announcements on the stock prices of companies in Taiwan The research term is during 2000 8 2001 4 There were higher abnormal returns days 3 to 12 in small sizes The first time repurchase abnormal returns were higher than the second time It was not significant positive correlation that prior accounting profitability measured by accounting earnings or cash flows with the market response to the announcement The result that market had positive responses for the stock repurchase in short terms Lee 2001 studied Stock Market Reactions to the Reduction of Sales Tax of Financial Institutions The research term was during 2000 6 5 2000 10 18 The event day was 2000 10 16 The samples were thirty six companies that listed on stock exchange and traded on the OTC market on bank sector The study found there was significant positive abnormal stock returns of the relating banks and both the relationship between abnormal returns and non performing loan rates the expectation of the growth rate of the banks were positive In addition it was significant positive abnormal trading volume of the relating banks They both were increasing functions of incremental earnings per share EPS Wang 2002 studied An Empirical Study on the Effect of the Reduction Policy of Land Value Increment Tax To Half For Two Years on the Stock Price of Real Estate Industry The research term was during 2001 1 31 2002 2 1 The research object was the construction industry that listed on stock exchange The stock price daily was the research basis The study explored the manageability attitude the total value of the assets fixed assets per share and stock characteristic etc It discussed the difference on its characteristic and different existed to assay among its sub colony sub group She studied the stock price reaction of real estate industry to this expansion fiscal policy announcement The conclusion was that the stock price of real estate industry was influenced by the policy related decrease land value increment tax actually The firms of real restate industry that had different character experienced different level of influence to this announcement Woolridge and Charles 1990 studies Stock market s reaction to strategic investment decisions The formation of the strategic decisions was joint ventures research and development projects major capital expenditures and into new products and or markets The samples of corporate investment decisions were collected during 1972 6 1987 12 They analyzed the samples which were 767 strategic investment decisions announced by 248 companies in 102 industries The result has showed the stock market s reaction to strategic investments conforms most closely to the predictions of the Shareholder Value Maximization hypothesis Kathryn Narayanan and Pinches 1995 studied Shareholder value creation during R t 0 is the event day t 1 is the day before t 1 is the day after The cumulative abnormal returns CAR is the sum of all of the ARs between t1 and t2 Statistically test the aggregated returns to examine whether the abnormal returns are significant and if so for how long We are to test aggregated returns statistically in the event study The research shows that the CAR plots and understands how the stock market reacted to an event 3 2 Research Framework Ha AR 0 Hb AR 0 Ha CAR 0 Hb CAR 0 Cross Industry Diversification Tourism and Leisure Insurance Transportation and Logistics Construction Materials Construction Development Cross Country Diversification Thailand Hong Kong Taiwan New Zealand Australia Figure 3 2 Research framework 3 3 Description of the Sample 3 3 1 Research Source The study defines the ration of returns of personal share and market remuneration as follows Most event studies barely mention how they calculate returns Beaver 1982 discusses the problem Fama 1976 suggests that continuously compounded returns conform better to the normality assumptions underlying regression Although they do not elaborate BW 1985 indicated they got similar results with simple and continuously compounded returns Thompson 1988 explicitly reports that returns form also does not seem to be an important consideration in event studies Although it does not seem to make much difference a large proportion of the event studies use continuously compounded returns All that means is that returns are used in log form as follows Rjt ln 1 Return Where Rjt ln Pricet 1 Dividend Pricet There are several reasons for using log transformed returns Besides improving the normality of the returns distribution the transformation eliminates negative values and makes it easier to convert daily returns to weekly or monthly returns by taking a compound product e g the returns for a trading week is the product IIt 15 1 Rjt t i e the product of five days 1 Rjt assuming no holidays We obtain the data for this study from several sources the majority from website and stock exchange of individual countries We use relevant stock price daily and index price data from respective stock exchange and financial database Thailand makes available daily stock price returns on firms trading on Thailand exchanges and adjusts the returns for dividends 3 3 2 Research Sample I Index names of stock price of various countries as follows Table 3 1 Research Sample countryIndex names of stock pricePrice by sectorTotal amount TaiwanTSE Weigh Stk Indx end Hotel6 Hong KongHang Seng Indexcompany name involved tourism 9 AustraliaAll Ordinaries AORD Tourism and Hotel2 New ZealandNZX 50 Leisure and Tourism3 ThailandSET IndexTourism and Leisure Transportation and Logistics Insurance Construction Materials Construction Development 5 6 6 12 33 Total 82 Our main challenge is to select public companies which company s name involved tourism because there is no global SIC code for Hang Kong The sample is retrieved from historical stock price database for 2004 2005 periods with the criterion that the firm should have enough data for each variable in program model The final sample consists of five total samples size during 2004 2005 We obtain the samples that are adjustments There are 150 deal day observations and total amount to 6 000 data The samples are selected from hotel travel leisure and tourism industries We obtain forty companies stock price trading on the stock exchange of individual countries 3 3 3 Identification of Time Parameters The identification of time parameters are divided into two parts that defining event day estimating period and event period The detailed content as follows I Define Event day After deciding the event and must to confirm when it took place Asian tsunami in South Asia happened on December 26th 2004 and next day was Sunday that stock market closed The event day was definite that the effect of an event was presumed to happen or the date around which a diffused effect was presumed to be distributed The event day was December 28 2004 t 0 in our research II Estimate period and event period Once the event day is assigned two distinct time periods relative to the event day day 0 are defined as follow The security is adopted 130 days ago and draws out 15 days later on the incident happened The estimation period is defined as day 130 through day 4 and the event period is defined as day 4 through 15 and the amounts to 20 days To be included in the sample the security must have available data on stock exchange of individual countries during these periods We allow up to 30 days of missing returns during the estimation period We describe the period prior to the event for parameter estimation and their relationships to each other as follows t1 t2t3t4 Estimate Period TEvent Period W 2004 6 12004 12 202004 12 212004 3 1 TbTe Figure3 1 Research Period Where Tb The first period used in the estimation of a normal security return Tpre The first period used in the calculation of abnormal returns Te The event period Tpost The last period used in the calculation of abnormal returns 3 4 Research Design 3 4 1The expectancy model of stock returns Karafiath 1998 indicated abnormal returns are