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研究生:黃維本
研究生(外文):Wei-Ben Huang
論文名稱:選舉事件對股價指數之影響
論文名稱(外文):The Effect of Political Election on Stock Index
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:92
中文關鍵詞:事件研究政治選舉異常報酬股票市場
外文關鍵詞:Event StudyPolitical ElectionsAbno
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摘要
本研究利用事件研究法,探討選舉事件是否對股價指數造成影響。研究樣本國家包括澳大利亞、加拿大、智利、印尼、日本、韓國、馬來西亞、墨西哥、印度、紐西蘭、祕魯、菲律賓、新加坡、台灣、泰國、美國等十六個國家。以各國家總統或國會選舉為時點,探討選舉事件期間前後,股價指數是否存在異常報酬的現象。此外對於各國家異常報酬程度不一的原因,引入選舉層級、國家地域性、經濟自由化程度、選舉時市場多空頭狀態等四項變數作為解釋。
  因此,本研究參考Christons ,David and Harry(2000)的研究,但以日報酬的資料型態,選取1980-2001年各國家的總統及國會選舉,探討選舉期間市場是否產生異常報酬的現象。本文的實證結果顯示:
1. 總體而言,選舉前後皆存在正向的異常報酬,越接近選舉日前後的事件期,其異常報酬越為顯著。
2. 不同選舉層級造成不同的異常報酬型態,總統選舉時,選後出現明顯的正向異常報酬;國會選舉時,選前存在顯著的正向異常報酬。
3. 不同地域的選民,對於選舉的反映程度不盡相同,美洲國家在選舉時,市場上異常報酬程度較為顯著,其次為亞洲國家,澳洲國家則不甚顯著。
4. 經濟自由度較低的國家,其異常報酬程度,明顯大於經濟自由度高的國家。
5、選舉時,當市場處於多頭市場,其異常報酬顯著大於市場處於空頭市場。但
當市場處於空頭市場時,在選前,仍出現顯著的正向異常報酬,顯示政治選舉的影響,不因市場的下跌趨勢而消失。
6、事件研究法的模型方面,本研究結果顯示,風險調整法較能忠實反映市場的
變動,也較能真確的反應異常報酬的程度;統計檢定方法,以普通橫剖面法、
標準化橫剖面法、符號檢定法較佳。
ABSTRACT

This paper analysis the behavior of stock market indices across action sixteen 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 around the election date is found.
2. The elections of president have strong positive abnormal returns after election date;the elections of chamber have strong positive abnormal returns before election date.
3. The degree of abnormal returns is more significant in America than Asia and Australia.
4. The degree of abnormal returns is more significant in the countries of lower economic freedom than the countries of higher economic freedom.
5. When the elections are hold, The abnormal returns in the bull market are more positive significant than in the bear market.
6. Risk-adjusted model, the one of event study models, has more statistic power than others. And the ordinary cross-sectional method, standardized-residual cross-sectional method, and sign test are better than others.
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 研究動機…………………………………………………1
第二節 研究目的…………………………………………………4
第三節 研究架構…………………………………………………4
第四節 論文架構…………………………………………………6
第二章 文獻回顧………………………………………………………7
第一節 政治選舉與經濟表現……………………………………7
第二節 事件研究法………………………………………………21
第三章 研究方法……………………………………………………35
第一節 研究期間與範圍………………………………………35
第二節 資料來源………………………………………………37
第三節 事件研究法……………………………………………38
第四節 研究假設………………………………………………41
第四章 實證結果與分析……………………………………………45
第一節 基本統計敘述…………………………………………45
第二節 各模型之分析與比較…………………………………47
第三節 假設檢定與分析…………………………………………61
第二章 結論與建議……………………………………………86
第一節 結論………………………………………………………86
第二節 研究建議…………………………………………………88

參考文獻………………………………………………………………89
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