本文是應用極值理論探討台灣二十六個產業股價之極端風險值是否因921地震而有所改變，我們分別觀察尾端風險（tail risk）及尾端指數（tail index）是否會因921地震而有顯著性的改變，換言之，我們關心921地震前、後各產業指數上漲及下跌風險是否一致，此為「結構性改變」檢定。另一方面，分別探討台灣產業之左尾端指數(下降風險值)在921地震前、後是否和右尾端指數(潛在上升風險值)有所不同，此即「非對稱性改變」檢定。此外，本文並進一步探討產業與市場投資組合或兩兩產業間的共變關係，是否會因921地震而存在非對稱性及結構性改變。
研究結果發現921地震後，大多產業股價之下降風險大於潛在上升風險值，且產業股價之下降風險及潛在上升風險均有顯著增加，此結果顯示台灣大多產業股價存在結構性改變，且921地震過後，產業股價之非對稱性更為顯著。另外，我們發現兩兩產業間之共同上漲及共同下跌之機率，921前、後均無顯著改變；然而，921地震過後，兩兩產業間共同下跌的機率多顯著高於共同上漲的機率。

This paper applies “extreme value theory” to investigate if risk indices of 26 industries in Taiwan’s stock market change due to 921 Earthquake. We respectively test if tail risk and tail quantile index significantly change due to 921 Earthquake. That is, we concern if downside risk and upward potential risk for each sectoral index are consistent prior to and posterior 921 Earthquake. This is called “Structural Change test”. On the other side, we analyze if left risk index (downside risk) is the same with the right risk index respectively before and after 921 Earthquake. This is called “Asymmetric test”. Besides, this paper future more tests asymmetric and structural change in the co-movements for pairs of sectoral indices.
The empirical results find downside risk is significantly larger than upward risk for most industries posterior to 921 Earthquake. Both downside risk and upward potential risk significantly increase after the 921 Earthquake. Our results indicate 921 Earthquake cause the structural and asymmetric change on indices for most industries. After 921, the asymmetry of risk indices is more significant. Besides, we find the probabilities of simultaneous booms or simultaneous crashes for pairs of sectors do not significantly change after 921 Earthquake. However, the probability of simultaneous crashes is significantly larger than that of simultaneous booms after 921 Earthquake.

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