本研究探討地緣政治風險（GPR）對能源產業股票市場的影響，以及GPR波動程度是否會影響目標公司的短期併購宣告溢酬。我們採用2013到2023年期間的能源股指數作為觀察樣本，每月報酬則用來衡量能源股指數的市場表現。另一方面，我們採用從2013到2023年能源產業目標公司作為觀察樣本，探討併購宣告溢酬和GPR之間的關係。研究方法包括迴歸分析、事件研究法和橫斷面分析。為了提高研究的準確性，我們納入油價波動、公司規模、槓桿比率、支付方式和行業相關性作為控制變量，並考慮了年度固定效果。研究結果顯示，GPR最初對能源股指數沒有顯著的影響，但在考慮GPR指數高波動性後轉變為正相關。在GPR波動性高的情況下，GPR與併購宣告溢酬之間為正相關，而VIX則呈現負相關。本研究補足在併購背景下，目標公司短期併購宣告溢酬會受到地緣政治風險的影響，可以為未來欲併購能源產業或相關投資人提供新的視角。

This thesis is to investigate the impact of geopolitical risk (GPR) on the stock performance in the energy industry, as well as to see if the level of GPR affects the target firms’ short-term merger announcement return. In this thesis, energy stock indexes from 2013 to 2023 are used as the research observation and the monthly stock return is used to measure the performance of energy stocks. On the other hand, energy target firms from 2013 to 2023 are used to explore the merger announcement return in the energy sector, and the relationship between GPR. The regression analysis, the event study and cross-sectional analysis are used as research methods. In order to improve the accuracy of the research, oil price, firm size, leverage ratio, payment method, and industry relatedness are added as control variables, and also take the year fixed effects into consideration. The empirical results show that GPR initially did not have a positive impact on energy stock indices, but after accounting for higher volatility in the GPR index, a positive influence is observed. The VIX index shows a stronger connection with investor attitudes than GPR. The analysis also reveals a positive relationship between GPR and CAR around merger announcements during high GPR volatility, while the VIX exhibits a negative relationship. In summary, this thesis highlights the importance of GPR in understanding stock performance in the energy sector and its impact on merger announcement returns. The findings offer valuable implications for investors and firms considering mergers in the future.

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