南亚海啸对旅游业股价报酬之冲击.docx

南亞海嘯對旅遊業股價報酬之衝擊

中 文 摘 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

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 & Logistics Industry in Thailand 43
Figure 4.3 AR in Insurance Industry in Thailand 43
Figure 4.4 AR in Construction Development Industry in Thailand 43
Figure 4.5 AR in Construction Materials Industry in Thailand 44
Figure 4.6 AR in Hotel Industry in Taiwan 47
Figure 4.7 AR in Tourism Industry in Hong Kong 47
Figure 4.8 AR in Leisure and Tourism Industry in New Zealand 48
Figure 4. 9 AR in Tourism and Hotel Industry in Australia 48
Figure 4.10 CAR in Tourism and Leisure Industry in Thailand 52
Figure 4.11 CAR in Transportation and Logistics Industry in Thailand 52
Figure 4.12 CAR in Insurance Industry in Thailand 53
Figure 4.13 CAR in Construction Development Industry in Thailand 53
Figure 4.14 CAR in Construction Materials Industry in Thailand 54
Figure 4.15 CAR in Hotel Industry in Taiwan 57
Figure 4.16 CAR in Tourism Industry in Hong Kong 57
Figure 4.14 CAR in Leisure and Tourism Industry in New Zealand 58
Figure 4.3.5 CAR in Tourism and Hotel Industry in Australia 58

Chapter 1 Introduction
In the beginning chapter of the thesis, the study introduces the impact of the Asian tsunami at South Asia’s tourism industry. The second section illustrates research motivation and purpose. The third section forms main framework of the thesis.
1.1 Background
The Indian Ocean experienced a devastating Asian tsunami damaged in the morning of 26th December 2004. It was the fourth largest of the super strong shock of scale since the 20th century. The massive earthquake that had 9.0 on the Richter scale caused seriously destruction to fourteen countries, Bangladesh, India, Indonesia, Kenya, Malaysia, Maldives, Mauritius, Myanmar, Reunion, Seychelles, Somalia, Sri Lanka, Tanzania, and Thailand. The majority countries were wounded in the coastal area. There were 300,000 deaths and a million displaced because of the Asian tsunami. Houses, schools, clinics and roads around the coast of the affected countries have been destroyed. The Asian tsunami caused one of the worst natural disasters in recorded history. Thailand, Indonesia, Sri Lanka, Maldives were taken the hardest hit in this ruin. The coastal zones of these countries have been devastated.
The situation in Indonesia illustrates this most clearly. Indonesia has experienced the highest number of deaths that over 166,000 as of January 19th, according to the health ministry. It estimates the impact on Indonesian GDP growth with a possible reduction of between 0.1%-0.4% in 2005. The total estimation of damages and losses is US$4.45 billion. Some 78% of total damages and losses in Aceh and North Sumatra accrued to the private sector, including households, with the remainder borne by the public sector. This shrinks live expense in many families.
After Indonesia, Sri Lanka has suffered the most from the Asian tsunami. Because of this disaster there are around 40,000 dead, 443,000 displaced and between 1 and 2 million affected (about 10% of total population). In macroeconomic terms, the disaster may be expected to reduce GDP growth forecast in 2005 by just 1% to around 5.25%. In addition, Asian tsunami-related expenditure may raise the fiscal deficit in 2005 by a further 2%, to an estimated 9.6%. Before the Asian tsunami, the country was on track to achieve record tourist arrivals of 575,000 visitors this year.
The impact on Thailand’s economic growth will be larger, even though Thailand had suffered fewer casualties. In tourism, generates 6.0-7.0% of GDP, and shed 3.0%. The terrible human cost an estimated 6,000 people are thought to have lost their lives in Thailand alone. Thai economy and main stock index declining slightly.

1.2 Research Motivation and Purpose
We notice the growing importance of crisis and disaster management for the tourism industry before exploring the definitions and nature of crises and disasters. Crisis and disaster studies have become increasingly popular with the nature events. Crises and disasters can also serve as powerful forces of organizational change, learning, normative readjustment and renewal. Crisis may points out fallacious assumptions, unforeseen interactions and vulnerabilities. Crisis may also precipitate consensus, cooperation and support (Seeger, Ulmer & Sellnow 2005). The ways in which participants, stakeholders and leaders frame and make sense of these events, as reflected in post-crisis discourse, shape both the nature and degree of change.
When the disaster happened, influence not only people’s livelihood and economic but also the trade relationship cross-country indirectly. A lot of disasters took place in recent years. South Asia depends upon tourism for their economy growth and livelihood. Recently, it is popular during a period that has been an exponential growth in the number of tourism journals. In recent years, major disruptions that have affected international tourism flows include the Gulf War, the Asian financial crisis, September 11, 2001 terrorist attack in the US, 2003 outbreak of Severe Acute Respiratory Syndrome and repeated incidents last year of avian “flu”.
Faulkner (2001) Faulkner (2001, p. 136) argues that despite the tourism industry being prone to suffering as a result of disasters '…relatively little systematic research has been carried out on disaster phenomena in tourism, the impacts of such events on the tourism industry and the responses of industry and relevant government agencies to cope with these impacts’.
Pervious studies almost discussed artificially crisis. The unusual is that respect for exploring natural crisis. The research is to confer the psychology impact of the Asian tsunami damaged.
It is first time in cross-country such as Taiwan, Hong Kong, New Zealand, Australia and Thailand, further we attempt to investigate position on both beneficiaries and sufferers. The study chooses Thailand object from those suffered countries according to the World Travel and Tourism Council, tourism in Thailand accounts for 12% of GDP, compared with just 12% of GDP, compared with just 2.1% in Indonesia and 0.7% in India. We select Thailand due to Thailand’s economy will be the worst affected. Further, the study investigates above mention countries’ tourism industries and further analyze cross-industry in Thailand that are tourism and leisure, transportation and logistics, insurance, construction materials and construction development. Specifically, the purpose wants to know if Thailand’s construction industries benefit from a catastrophic event. Whether market demand of construction materials and construction development increase after a natural disaster or not. Pervious studies investigating how stock markets assessed the impact of big earthquakes in the United States (e.g., the 1989 Loma Prieta earthquake) found that insurance firm values did indeed increase following such catastrophes. It is reasonable to assume that potentially influence of other industries in this research. For example, Shelor (1992) found the 1989 San Francisco earthquake was followed by an increase in insurers’ stock prices. While several previous studies showed that insurers’ stock prices react positively to a big earthquake, these research covered only U.S. earthquake and insurers. Different from previous studies, we investigated cross industries and countries.
The stock market is an important role that reflecting company's financial situation and expecting company’ future-profit. If we want to understand how great influence by a certain accident, we could analyze many-sided respects. That is to say the variations of stock price should be most direct way.
The purpose of context discusses that Asian tsunami whether influence enterprise stock price. The purpose emphasizes the influences to different industries in Thailand and countries when a disaster occurs. According to the report of Fidelity investment institution, the disasters in South Asia caused many industries wounded, which were tourism and leisure, transportation and logistics, insurance. The construction materials and construction development industries maybe benefited from this disaster. Therefore we suppose those industries’ stock market maybe affected by the disaster. Further, the analysis of the Asian tsunami incident how affect companies or industries at a common date.
In this investigation, we currently put a research study paper together on the effect that the Asian tsunami of December 26, 2004 had on its stock price. We use the econometrics method of event study analysis, but it is not deep enough in the final stages.
Regardless of whether this is triggered by some extreme natural event (flood, cyclone, earthquake) or malevolent human action (war, pathological behavior), it is also certain that the destination will cope with the challenges the situation presents more effectively if it has a tourism disaster management plan in place (Faulkner & Svetlana 2001).
Finally, upstream from these objectives, we organize the following three research purposes in this thesis:
I. The Asia tsunami causes the negative abnormal returns to Thailand's tourism industry.
II. The Asian tsunami causes the positive abnormal returns to Thailand’s construction industry.
III. The Asian tsunami causes positive abnormal returns to other countries.
1.3 Research Objectives
The news assesses the degree of wounding of various countries with the death toll. The most serious is in Indonesia, Sri Lanka, India, and Thailand. We focus on the injured country, Thailand, to analyze further whether it is benefited in other countries or not. It reports a lot of tourists take a trip to other countries such as Taiwan, Hong Kong, New Zealand, and Australia after Asian tsunami happened. The study mainly explores the stock price on above countries. It is really difficult to collect the stock prices from South Asia’s countries and Tourism received the most seriously hit to the Thai economy. Therefore, we choose Thailand to investigate because of the massive market reaction, also the benefit to other countries, Taiwan, Hong Kong, New Zealand, and Australia.
1.4 Thesis Structure
The purport of this text is mainly to find out the impact on stock market returns when the great disaster incident happened and to analyze the reasons of different returns. The full text is divided into five chapter altogether, the structure of the research contents is stated simply as follows in figure 1.1:
The first chapter is introduction and to explain about the motivation and background of the research and confirm the purpose of studying mainly; 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 St