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研究生:楊尚君
研究生(外文):Shang-Chun Yang
論文名稱:美國政經循環對亞洲區域國家之影響分析-以日本、台灣、新加坡、韓國、香港為例
論文名稱(外文):An Analysis of The Effects of U.S. Political Business Cycle To The Asian Country
指導教授:周賢榮周賢榮引用關係
指導教授(外文):Shyan-Rong Chou
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:66
中文關鍵詞:政經循環
外文關鍵詞:Political Business Cycle
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  根據Allvine & O’Neil(1980)、Huang(1985)等學者指出,美國股市存在著政治循環的現象,即在總統任期第二年的股市報酬率相對於第一、三、四的股市報酬率顯著為低。而本研究的主要目的除了驗證美國股市的此種循環現象外,亦研究包括日本、台灣、新加坡、韓國、香港等亞洲區域國家是否亦存在此一循環現象。研究期間自1980年11月至2000年10月共20年的資料。本研究主要採用Merton(1973)、Cox, Ingersoll & Ross(1985)等學者提出的研究方法,再加上Forester & Schmitz(1997)所提出的政治變數加以檢定。
  本研究的結論如下:
1. 再次驗證美國股市存在政治循環的現象,而日本、台灣、新加坡、韓國、香港等亞洲區域國家的股市亦存在此一循環現象,然而卻不顯著。
2. 匯率市場方面則發現:相對於總統任期第二年,美元在任期的第一、三、四年呈現大幅升值的現象,使得各國的匯率市場報酬下幅下降。
3. 在不加入各國利率期限結構變數的前提下,政治因子對於預測台灣及韓國股市呈現顯著的影響。
4. 在不加入各國利率期限結構變數的前提下,加入美國總體經濟變數、財政政策及貨幣政策後,則此一政治因子仍對預測台灣股市有著顯著的影響。


ABSTRACT
  The purpose of this study is to examine the effects of U.S. political business cycle to the Asian country. This article follows the methodology of Merton(1973), Cox, Ingersoll & Ross(1985), Forester & Schmitz(1997)to find if the political factor would have the influence to the Asian country. The study period is from October 1980 to November 2000. The findings are summarized as follow:
This paper confirms the results of Allivine & O’Neill(1980)、Huang(1985)、Forester & Schmetz(1997)that the U.S. stock market follows the U.S. four-year election cycle, and the Asian country’s stock market also follow the U.S. four-year election cycle, but not significant. In addition, it is found that the U.S. dollar tends to appreciate more in year1、3 and 4 of the election cycle. These lower year 2 returns are shown to be robust in Taiwan and Korea in conditional expected return regressions which include both local macroeconomic variables, U.S. macroeconomic, fiscal, and monetary policy variables.


目  錄

中文摘要…………………………………………………………..……. i
英文摘要…………………………………………………………..……. ii
誌謝…………………………………………………………………..….iii
目錄…………………………………………………………………..….iv
表目錄…………………………………………………………………...vi
圖目錄…………………………………………………………………..vii
第一章 緒論...........................................................................….............1
第一節 研究背景與動機………………………………..………..1
第二節 研究目的…………………………………………..……..4
第三節 論文架構…………………………………………..……..6
第四節 研究限制………………………………………..………..7
第二章 相關理論與文獻回顧…………………………………………8
第一節 選舉性經濟循環與經濟選票競逐模型的簡介…………8
第三章 文獻探討…..…………………………………………………14
第一節 選舉性經濟循環………………………………………..14
第二節 文獻探討………………………………………………..29
第四章 研究方法與設計……………………………………………..31
第一節 研究期間與樣本選取…………………………………..31
第二節 研究假說與檢定………………………………………..33
第五章 實證結果分析…………...……………………………….…. 41
第一節 研究假說之檢定結果分析……………………………..41
第二節 各國資訊變數與“ELECT2”虛擬變數迴歸實證……48
第六章 結論與建議…………………………………………………..56
第一節 研究結論………………………………………………..56
第二節 建議……………………………………………………..57
參考文獻………………………………………………………………..59


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