臺灣博碩士論文加值系統

本研究將針對台灣上市之股票依產業分類來探究其報酬率與總統選舉之實證結果，使用迴歸分析方法來研究，主要探討：一、台灣產業是否存在四年一次之選舉循環效果？二、在哪個政黨執政之下哪些產業的報酬績效較優異？三、政黨對於產業的報酬是否有直接影響性？本篇研究之實證結果如下:在未加入Fama-French三因子模型前，國民黨執政時報酬較高，而民進黨執政時高淨值市值比的報酬顯著較好，且後兩年的報酬率會比前兩年來的高，兩個政黨同樣在第四年都有較高的報酬率，但是國民黨又高於民進黨，另外民進黨較偏好小規模的公司，無風險利率在國民黨執政時稍微偏高一點，且後兩年稍低。另外又發現上市公司依產業分類之下，國民黨執政下的電子工業報酬率較好，而民進黨執政下的水泥工業、鋼鐵工業、航運業和建材營造的報酬率會比較好。最後政黨和四年一次循環之前後兩年的變數當排除風險因子、SMB規模因子和HML淨值市值比因子變數之後，對產業報酬的解釋能力會上升，並且當加入Fama-French三因子模型之後，民進黨的報酬較好。

The study empirically investigated the stock market in Taiwan based on its industrial classification through regression analyses. The followings are the research questions. First, does the four-year election cycle effect apply to the industries in Taiwan? Second, the industries in Taiwan have made more profits under which of the two parties when in power? Third, does political parties have any direct effect on the profits made by the industries in Taiwan? The results show that before the Fama-French three factor model was entered to the regression analysis, the industries in Taiwan made more profits when the KMP was in power. However, the market value of the high net worth was significantly higher when the DPP was in power. In addition, the returns of the second-half of four year presidential administration were higher than those of the first-half. Even though both parties had high returns in the fourth year of their presidential administration, the KMP was higher than the DPP. Interestingly, the DPP was found to prefer small size companies, risk-free interest rates were a little higher under KMP’s administration, but they were slightly lower in the second-half of the four years. As for as industrial classification is concerned, the returns of the electronics industry were higher under KMP’s administration whereas the returns of the cement industry, steel industry, shipping industry, and building materials were higher under DPP’s administration. Political parties and the quadrennial cycle before the risk factor ,SMB factor and HML factors variables as exclusion which make the return of the explanatory power of the industry will rise, and when added Fama-French three-factor model, the DPP has outstanding performance.

摘要 I
ABSTRACT II
誌謝 III
圖目錄 IV
表目錄 V
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻回顧 5
第一節 政治選舉與總體經濟的相關文獻 5
第二節 政黨黨派與總體經濟的相關文獻 7
第三節 政治與股票市場的相關文獻 8
第四節 文獻上使用研究方法 10
第三章 資料與研究方法 11
第一節 資料選取及來源 11
第二節 變數說明 11
第三節 研究方法分析 11
第四章 實證結果與分析 22
第一節 政黨和總統政治選舉週期循環年度對總體經濟的影響 22
第二節 政黨和總統政治總統週期循環年度加入變數交乘項對總體經濟的影響 24
第三節 政黨和總統政治週期循環年度對產業報酬的影響 25
第四節 政黨和總統政治週期循環年度加入變數交乘項對產業報酬的影響 26
第五節 政黨和總統政治週期循環年度加入CAPM模型對產業報酬的影響 27
第六節 政黨和總統政治週期循環年度加入Fama-French三因子模型對產業報酬的影響 29
第五章 結論與後續研究建議 32
第一節 結論 32
第二節 後續研究建議 33

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