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題名:國會開會期間、總統選舉循環與股票市場關係之研究
作者:王譯賢 引用關係
作者(外文):Yi-Hsien Wang
校院名稱:銘傳大學
系所名稱:管理研究所
指導教授:林進財
學位類別:博士
出版日期:2006
主題關鍵詞:國會效果總統選舉循環效果波動不對稱Congressional effectPresidential election cycleVolatility asymmetry
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本文利用不對稱GARCH 模式,探討台灣主要政治行為(國會開會效果與總統選舉循環效果)對股票市場報酬與波動性的長期影響。此外,當總統選舉循環效果與國會開會效果具有資訊內涵時,再進一步探究總統選舉循環與國會開會之交互效果,對台灣股價報酬與波動性之影響。本文主要研究結果如下:
(一) 長期而言,國會效果對台股報酬無影響,而對台股報酬波動性則呈現顯著正向關係。總統選舉循環效果僅在大選年(第四年)對台股報酬有正向關係,而對台股報酬波動性亦顯著增大,其餘三年無論是台股報酬或波動皆無顯著關係。
(二) 在總統選舉循環與國會開會之交互效果方面,執政黨雖在選前對資本市場釋放利多,卻將由於國會監督而有所影響。因而對投資人而言,使得原本台股報酬在大選年(第四年)的正向總統選舉循環效果,在國會開會期間將造成負向的交互效果。而國會開會效果對政治情勢的不確定性更形加劇,進而使得大選年的總統選舉循環效果,對台股報酬波動顯著增大。
This paper examines the effect of Taiwanese major political behavior, the presidential election cycle and the congressional effect, on TAIEX stock behavior by the asymmetry GARCH model. Moreover, we examine the interactive effect of the major political behaviors on TAIEX stock market, and explore the whole effect of long-term political activities on TAIEX stock market. The most important outcomes of this research are listed below:
1. The results found that the congressional effect is positive effect on TAIEX
stock volatility but TAIEX stock returns are not significant. Furthermore, the
presidential election cycle is merely positive effect on TAIEX stock returns
and volatilities in election year but is not significant in an off-year election.
2. The ruling party attempted to create short-term prosperity, but incurred
interference from Legislative Yuan. Therefore, the congressional effect
intensified the political uncertainty, and the positive effect of presidential
election cycle is significantly reduced for TAIEX stock returns and significantly exceed for the volatilities in the same circumstances.
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