本研究旨在探討台灣上市（櫃）公司在發生財務危機事件後，股票報酬與波動率的變化情形，並進一步比較家族企業與非家族企業在面對財務危機時之表現差異。研究樣本取自台灣經濟新報（TEJ）資料庫，涵蓋2016年至2023年間發生財務危機事件的台灣上市（櫃）公司。研究方法上，首先運用事件研究法（Event Study），以財務危機公告日前後的異常報酬（AR）與累積異常報酬（CAR）作為衡量指標，檢視財務危機事件對股票報酬與波動率的影響。為了控制公司特性對研究結果的干擾，本研究採用集群分析（Cluster Analysis），依據公司年齡、公司規模及財務槓桿進行樣本分群；最後，透過迴歸分析（Regression Analysis）進行穩健性檢驗，驗證家族與非家族企業在財務危機事件後股價表現的差異。
實證結果顯示，財務危機事件公布後，樣本公司整體產生顯著負的異常報酬，且股票報酬波動率顯著上升，反映市場對財務危機事件的高度敏感與負面反應。分群分析結果顯示，在大多數群體中，家族企業的累積異常報酬顯著高於非家族企業，且其異常報酬波動率顯著較低，顯示家族企業在財務危機期間展現出較強的抗跌性與市場穩定性。進一步的迴歸分析結果再次驗證，家族企業在危機期間展現出相對優異的市場表現。

This study aims to investigate the changes in stock returns and volatility of listed companies in Taiwan following the occurrence of financial distress events, with a particular focus on comparing the performance differences between family and non-family firms during such crises. The research sample is derived from the Taiwan Economic Journal (TEJ) database and includes listed companies in Taiwan that experienced financial distress events between 2016 and 2023. Methodologically, the study employs the event study approach, utilizing abnormal returns (AR) and cumulative abnormal returns (CAR) to assess the impact on stock returns and volatility following the announcement of financial distress. To control firm-specific characteristics, cluster analysis is applied to group the sample based on firm age, size, and financial leverage. Finally, regression analysis is conducted to test the robustness of the results and to examine the differences in stock performance between family and non-family firms following financial distress.
Empirical results indicate that, following the announcement of financial distress, sample firms exhibit significantly negative abnormal returns and a marked increase in stock return volatility, reflecting strong market sensitivity and negative reactions. The cluster analysis reveals that, in most groups, family firms experience significantly higher cumulative abnormal returns and lower abnormal return volatility compared to non-family firms, suggesting that family firms demonstrate stronger resilience and market stability during periods of financial distress. Further regression analysis confirms that family firms tend to outperform non-family firms in terms of stock market performance during financial crises.

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