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研究生:許安儀
研究生(外文):An-Yi Hsu
論文名稱:總統選舉期間企業政黨傾向宣告對股票報酬及風險之影響
論文名稱(外文):The Corporate Political Statements and Stock Returns during the Presidential Election
指導教授:陳怡諠陳怡諠引用關係
學位類別:碩士
校院名稱:國立臺中科技大學
系所名稱:保險金融管理系
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:中文
論文頁數:38
中文關鍵詞:總統選舉事件研究法政商關係宣告效果個股波動性
外文關鍵詞:President ElectionEvent Study MethodologyGovernment-Business RelationshipsAnnouncement EffectFirm-Level Volatility
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本研究以2000至2016年於總統選舉前三個月表態支持特定候選人之企業及無宣告之上市股票為研究樣本,依是否發表支持之特定政黨候選人將所有公司歸類為綠營概念股、藍營概念股、無表態之企業三類,以表態支持之宣告日及2000年至2016年之五屆總統大選為研究事件,實證結果發現於可分析年度,除2012年藍營概念股出現負向宣告效果,其餘不論藍、綠概念股皆於事件窗口出現正向宣告效果,此外股票報酬波動風險的部分,2000年藍營股選後風險上升;2004年所有類別選後風險上升,無宣告企業於2004年執政日後風險亦顯著提高,其餘皆於總統選舉事件結束日後出顯下降趨勢。
We use the sample of companies that support specific candidates or not in the three months prior to the 2000-2016 presidential elections. According to entrepreneurs’ support for a specific candidate before the election dates, we divide their shares into “Kuomintang-Party-concept”, the “Democratic-Progressive-Party-concept. The empirical results reveal that the majority of sample show significant positive announcement effect except the Kuomintang-Party-concept stocks in 2012. In addition, their risk show a downward trend after the presidential election dates for all election years. But the risk of the Democratic-Progressive-Party-concept stocks rises after election dates for all sample years, it of the Kuomintang-Party-concept stocks rises after the election dates only for the 2000 sample. The risk of all categories rise in 2004, and unannounced company stocks still increase significantly after the ruling day.
目次
中文摘要 i
英文摘要 ii
目次 iii
表目次 iv
圖目次 v
第一章 緒論 1
第二章 文獻探討 3
第一節 政治關聯建立與企業價值之關係 3
第二節 選舉事件對股票波動之影響 5
2-2-1投資人的黨派偏好 5
2-2-2 政治關聯建立的差異 6
2-2-3 選舉結果不確定之風險 6
2-2-4 選舉事件之衝擊 7
第三章 研究樣本、變數及方法 9
第一節 宣告效果分析 9
3-1-1 期望報酬率模型 11
3-1-2 累積異常報酬率模型 11
3-1-2-1平均異常報酬率 11
3-1-2-2累積平均異常報酬率 11
第二節 選舉事件後風險變動檢定 12
3-2-1變數定義 12
3-2-1-1應變數-標準差(σ) 12
3-2-1-2自變數-風險變動區間(p) 12
3-2-2控制變數 13
3-2-2-1週轉率(TURN) 13
3-2-2-2公司規模(MV) 14
3-2-2-3成交量(VOL) 14
3-2-3研究模型 14
第四章 實證結果 15
第一節 企業表態站台之宣告效果 15
第二節 總統大選結束後風險變動情形 18
4-2-1無母數及平均數檢定 18
4-2-2 最小平方迴歸法 26
第五章 結論與建議 35
參考文獻 36
參考文獻

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