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研究生:陳尚樂
研究生(外文):Shang-Le Chen
論文名稱:政治選舉事件對股票市場之影響
論文名稱(外文):Event study:A Analysis of Political Election and Stock Market
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:64
中文關鍵詞:股票市場異常報酬政治選舉事件研究
外文關鍵詞:abnormal returnsevent studypolitical electionsstock market
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政治選舉事件對股票市場之影響

摘要

本研究主要在分析政治選舉事件對股票市場之影響及其異常報酬。Christons ,David & Harry (2000)認為政治選舉事件對於股票市場有顯著的影響,而且選舉前後會有正的累積異常報酬。因此,本研究將以加拿大等十一個國家,選取1980-2001年的國會大選及總統選舉,以世界指數(MSCI World Price Index)做為市場指數,用市場模式以日資料驗證選舉期間是否具有異常報酬的現象。根據本文的實證,其結果如下:

1. 選前(-10,-5)及選後(0,7)具有顯著負的累積異常報酬,在選前(-4,-1)具有正的累積異常報酬。整個事件期(-10,7)仍為顯著性的負累積異常報酬。

2. 當執政黨敗選時,其事件期累積異常報酬顯著大於執政黨連任。

3. 政治及人民自由較不自由的國家,在事件期的累積異常報酬,顯著性大於較自由的國家。
Event Study:An Analysis of Political Election and Stock Market

ABSTRACT

This study analyzes the behavior of stock market indices across eleven countries around the political elections date during the sample period 1980-2001 is investigated. Christos, David & Harry(2000) show that political elections have significantly positive abnormal returns for the stock markets. Evidence is found:

1. A positive abnormal return during the day period (-4 ,-1), and a negative abnormal return during the full event date.

2. When incumbent government loss, the CARs are significantly different for that won.

3. The political rights and for civil liberties are less free countries, the CARs are significantly different for free countries.
目錄
中文摘要………………………………………………………………...i
英文摘要………………………………………………………………..ii
致謝…………………………………………………………………….iii
目錄………………………………………………………………….…iv
表目錄…………………………………………………………………..v
圖目錄……………………………………………………………….... vi

第一章 緒論…………………………………………………………..1
第一節 研究動機………………………………………………...1
第二節 研究目的………………………………………………...3
第三節 研究問題………………………………………………...3
第四節 研究限制………………………………………………...4
第五節 研究方法概述…………………………………………...5
第六節 論文架構………………………………………………...7
第二章 文獻探討……………………………………………….….…8
第一節 政治經濟循環理論……………………………………...8
第二節 效率市場假說………………………………………….11
第三節 政治經濟循環的實證文獻…………………………….13
第四節 選舉循環對股票的影響……………………………….17
第三章 研究方法……………………………………………….…...19
第一節 研究架構……………………………………………….19
第二節 研究範圍與研究樣本………………………………….24
第三節 研究假說……………………………………………….28
第四節 實證方法……………………………………………….30
第四章 實證結果……………………………………………………..33
第一節 事件期異常報酬分析………………………………….33
第二節 政黨輪替與累積異常報酬分析……………………….42
第三節 政治及人民自由度檢定……………………………….48
第四節 本章小節……………………………………………….54
第五章 結論與建議…………………………………………………56
第一節 結論……………………………………………………56
第二節 建議……………………………………………………57
參考文獻………………………………………………………………58
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