English  |  正體中文  |  简体中文  |  Items with full text/Total items : 88272/117759 (75%)
Visitors : 23393699      Online Users : 133
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/113629


    Title: 總統選舉事件對股市之影響
    The Impact of Presidential Elections on Taiwan's Stock Market
    Authors: 陳怡諠
    卓翠月
    白詩婷
    Chen, Yi-shuan
    Cho, Tsui-yueh
    Pai, Shih-ting
    Keywords: 總統選舉;不確定訊息假說;累積平均異常報酬率
    presidential elections;Uncertain Information Hypothesis;Cumulative Average Abnormal Returns
    Date: 2017-05
    Issue Date: 2017-10-16 17:04:23 (UTC+8)
    Abstract: 本文採用事件分析法,針對1996 年至2016 年開放民選後之的六次總統選舉結果,利用選前民調的差距是否顯著,將樣本區分為可預期和不可預期兩組,探討選舉結果對市場的影響。本文發現,不論選舉結果可否預期,選前因兩黨對峙的不確定性,使得選前均呈現顯著負報酬,而選後因不確定性降低出現顯著上升之調整行情,但不可預期組之正面調幅小於可預期組。再依據企業選前的表態區分為藍、綠概念股兩組,檢驗個別概念股與政黨輪替的選舉效應。結果發現,在歷屆的選舉事件中,選前會因民調的差距及投資人的偏好,而使預期敗選的政黨概念股選前出現較小之報酬,然整體事件期則產生較大之累積異常報酬,隱含臺灣股市投資人選前有高估壞消息傾向,使選後對壞消息之調整幅度顯著較大,實證結果支持不確定訊息假說。
    We use the event study approach to examine the impact of six direct presidential elections from 1996 to 2016 on the Taiwan stock market. Based on whether the pre-election polls show a significant winner or not, we separate all samples into expected and unexpected subsamples. We find a negative abnormal return during the pre-election windows and a positive abnormal return for the 30-day election period for the whole samples. However, the Cumulative Average Abnormal Returns (CAR) are not greater for the unexpected subsamples than they are for the expected subsamples, an outcome not consistent with the prediction of the Uncertain Information Hypothesis (UIH). Moreover, according to entrepreneurs' support for a specific candidate before the election dates, we divide their shares into the "Kuomintang-party-concept" and the "Democratic-Progressive-Party-concept" stocks. We investigate the election effect on these two concept stocks, as well as on their subsidiary company shares. Moreover, we find that the expected-losing-party stocks have a smaller CAR during the pre-event window but a greater CAR during the whole 30-day window than the expected-winning-party shares, as predicted by the UIH. These findings suggest that investors in the Taiwan stock market have a stronger reaction to bad news than to good news.
    Relation: 選舉研究 , 24(1) , 33-60
    Data Type: article
    DOI 連結: http://dx.doi.org/10.6612%2ftjes.2017.24.01.33-60
    DOI: 10.6612/tjes.2017.24.01.33-60
    Appears in Collections:[選舉研究 TSSCI] 期刊論文

    Files in This Item:

    File Description SizeFormat
    24(1)(33-60).pdf1613KbAdobe PDF99View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback