中央銀行所決議之貨幣政策，對於總體經濟與金融市場皆具有相當程度的影響力，而貨幣政策能否被市場所預期，將對政策的有效性造成影響，金融市場對其的反應也可能有所不同。本研究旨在探討未被市場預期之貨幣政策對於股價報酬的影響，並以產業類別分別進行觀察。有鑑於網路泡沫、金融危機等重大經濟事件可能對於實證結果造成影響，本研究嘗試針對此些年份進行控制，並觀察控制前、後未預期調息對於公司股價報酬的影響，探討造成估計結果差異之可能原因。研究發現，於控制重大經濟事件年份前，各產業類股之股價報酬與未預期調息皆呈現正向顯著的關聯，與多數文獻結果相異； 而控制重大經濟事件年份後，則多數產業之股價報酬與未預期調息呈現負向關聯。研究亦以公司所受財務限制程度分組進行觀察，探究面臨不同財務限制之公司，是否對於央行未預期調息呈現不同的反應，並發現面臨較寬鬆財務限制之公司，其股價報酬對於未預期貨幣政策的反應較小，可推測公司之投資決策受其財務限制程度所影響，因而對於未預期之利率變化具有相異的敏感程度。

This thesis discusses the effects of the unanticipated monetary policy on the stock returns in Taiwan and categorizes the firm-level data by their industry to observe them. Because of the dot-com bubble and the Financial crisis that may affect the empirical analyses, we try to control these specific years to observe the ante-controlled and post-controlled results. The empirical results find that without controlling these specific years, stock returns of all industries have a significant positive reaction to the unexpected policy rate changes, which is different from most of the literature. After controlling these specific years, most of the industries' stock returns have a negative reaction to the unexpected policy rate changes. By categorizing firms' data according to the size of their financial variables, we find that the firm that has fewer financial restrictions has less reaction to the unanticipated policy rate changes, which implies that the investment decision made by firms might be affected by their financial conditions.

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