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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/98560


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/98560


    题名: 以股價與交易量預估政治事件結果：以台灣證券市場為例
    The forecast on political events with stock prices and trading volumes: Evidence from Taiwan Stock Exchange
    作者: 洪敏豪
    贡献者: 周冠男
    洪敏豪
    关键词: 行為財務學
    事件研究法
    政治事件
    累計異常報酬率
    Behavioral Finance
    Event Study Methods
    Political Events
    CAR
    日期: 2016
    上传时间: 2016-07-01 14:58:21 (UTC+8)
    摘要: 　　為了針對實證股價與交易量的資訊，能否作為預測未來政治事件結果提供依據，此篇論文探究四個政治事件，分別是2014年台北市長選舉國民黨黨內初選、2014年台北市長選舉、2016年總統選舉國民黨更換候選人以及2016年總統選舉。作者使用異常交易量作為判斷投資人是否將政治事件視為投資機會，並觀察個股與投資組合之累積異常報酬率是否能作為預測依據，最後以事件後五日內的異常累積報酬判斷投資人是否在事前過度反應或是反應不足。
    　　本研究發現，在政治事件發生前六十日內，大部分政治相關的個股交易量皆顯著異於前一年之交易量。與勝選相關的股票在事件前60日至31日有顯著的正累積異常報酬。相較之下，與敗選相關的股票中，僅有和候選人有緊密政治連結的股票有顯著負累積異常報酬，政策相關的股票並無顯著負累計異常報酬。最後，在現行交易制度下，正異常報酬伴隨著正異常交易量，而負異常報酬卻因放空限制等因素，無顯著正異常交易量。
    This paper analyzes the last four political events, which includes KMT`s Taipei Mayoral Primary, Taipei Mayor Election, KMT Presidential Candidate Replacement and Taiwan Presidential Election. We use trading volume to detect whether investors join the market due to potential political investment opportunity. Then we examine the CAR tendency with the political event results to identify its forecast ability. Last, we detect CAR within 5 days later to find if investor overreact or underreact before the event day.
    We find that the CAR meets voters’ political anticipation before the event window. Investors believe they can time the market through these events and gain profit. Furthermore, stocks relevant to those elects experience positive CAR. In contrast, stocks relevant to those also-rans do not experience significant returns. The only fortuneteller is the company, which has close relationship to the defeated candidate, telling with negative CAR. Because of short-sale constrains, the trading volume are not larger than before even it is a good chance to gain profit in the political events.
    參考文獻: Brody, Richard A., and Benjamin I. Page. "Comment: The assessment of policy voting." American Political Science Review 66.02 (1972): 450-458.
    Kelly, Bryan, Lubos Pastor, and Pietro Veronesi. The price of political uncertainty: Theory and evidence from the option market. No. w19812. National Bureau of Economic Research, 2014.
    Charitou, Andreas, and Lenos Trigeorgis. "Option-based bankruptcy prediction." (2000).
    Erikson, Robert S., and Christopher Wlezien. "Are political markets really superior to polls as election predictors?." Public Opinion Quarterly 72.2 (2008): 190-215.
    Forsythe, Robert, et al. "Anatomy of an experimental political stock market." The American Economic Review (1992): 1142-1161.
    Lucas, Robert E. "Expectations and the Neutrality of Money." Journal of economic theory 4.2 (1972): 103-124.
    Plott, Charles R., and Shyam Sunder. "Efficiency of experimental security markets with insider information: An application of rational-expectations models." The Journal of Political Economy (1982): 663-698.
    Rabin, Matthew. "Psychology and economics." Journal of economic literature 36.1 (1998): 11-46.
    Kou, Steven G., and Michael E. Sobel. "Forecasting the vote: a theoretical comparison of election markets and public opinion polls." Political Analysis 12.3 (2004): 277-295.
    Uhlaner, Carole Jean, and Bernard Grofman. "The race may be close but my horse is going to win: Wish fulfillment in the 1980 presidential election." Political Behavior
    描述: 碩士
    國立政治大學
    財務管理研究所
    103357003
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103357003
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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