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    题名: 選舉結果與股市後勢表現
    作者: 洪俊龍
    贡献者: 黃明聖
    洪俊龍
    关键词: 正負事件的選舉結果
    不確定資訊
    過度反應
    追漲殺跌
    事件研究法
    日期: 2003
    上传时间: 2009-09-14 13:38:09 (UTC+8)
    摘要: 以往研究政治景氣循環之文獻，焦點集中在經濟表現、股市漲跌和執政黨連任之關係。但是，由於選舉結果也會直接影響到一個國家的股市後勢，因此政治選舉事件的結果對市場參與者尤其重要。本研究以不確定資訊、過度反應及追漲殺跌理論，為實證發展的架構，實證研究各國股市行為對於正事件或是負事件的選舉結果如何影響股市的後勢表現。
    本文以10個國家的政治選舉事件，實證正、負事件的選舉結果對股市後勢的影響，並檢視重大選舉事件對股價變化究竟符合不確定資訊、過度反應及追漲殺跌理論何種理論。研究方法為事件研究法，並同時考慮以OLS與GARCH的模型來配適分析。
    實證結果發現不論以OLS或是GARCH的模型來配適分析，在建立預期報酬率模型上或有些許的差異，但最後皆能得到一致之結論。本文結論如下:
    1.支持不確定資訊理論者，無。
    2.支持過度反應理論者，計有台灣、法國、英國、新加坡。
    3.支持追漲殺跌理論者，計有泰國。
    4.皆不支持上述三種理論者，計有加拿大、西班牙、紐西蘭、德國、澳洲。
    參考文獻: 參考文獻
    沈中華、李建然 (2000)，《事件研究法─財務與會計實證研究必備》，台北：華泰文化事業公司。
    鍾惠民、吳壽山、周賓凰、范懷文 (2002)，《財金計量》，台北：雙葉書廊。
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    uncertainty: evidence form the world’s major markets”, Journal of
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    Allivine, F. D. and D. D. O’Neil, (1980), “Stock market returns and the presidential election cycle”, Finance Analysts Journal, 36, pp.49-56.
    Alesina, A., (1987), “Macroeconomic policy in a two-party system as a repeated game”, Quarterly Journal of Economics, 52, pp. 651-78.
    Atesoglu, S. H. and R. Congleton, (1982), “Economic conditions and national elections post-sample forecasts of the Kramer equations”, American Political Science Review, 76, pp.873-875.
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    Brown and Warner, (1985), “Using daily stock returns :the case of event study.” ,Journal of Economics, 31, pp.3-31.
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    Christos, P., D. A. Stangeland, and H. J. Turtle, (2000), “Political elections and the resolution of uncertainty: the international evidence”, Journal of Banking and Finance, 24, pp.1575-1604.
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    overreact？”, Journal of Finance, 40, pp.793-805.
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    empirical Work,” Journal of Finance, 25, pp.383-417.
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    Jegadeesh, Narasismhan and Sharidan Titman, (1993), “Return to buying winners andselling losers：Implications for stock market efficiency”, Journal of Finance, 48, pp.65-91.
    Ketcher. D. N. and B. D. Jordan, (1994), “Short-term price-term price reversals following major price innovations: additional evidence on market overreaction”, Journal of Economics and Business, 32, pp.307-323.
    Levy, Rokert, (1967), “Relative strength as a criterion for investment selection”, Journal of Finance, 22, pp.595-610.
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    Harrington, J. E., (1993), “Economic policy, economic performance and elections”, The American Economic Review, 83, pp. 27-42.
    Hibbs, D. A., (1977), “Political parties and macro-economic policy”, American Political Science Review, 71, pp.1467-1487.
    Huang, Yen-Sheng, (1998), “Stock price reaction to daily limit moves: evidence from the Taiwan stock exchange”, Journal of Business Finance and Accounting, 25, pp.469-483.
    MacRae, D., (1997), “A political model of the business cycle”, Journal of Political Economy, 85, pp.239-264.
    Nordhaus, W. D., (1975), “The political business cycle”, Review of Economic Studies, 42, pp.169-190.
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    描述: 碩士
    國立政治大學
    財政研究所
    9025007
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090255007
    数据类型: thesis
    显示于类别:[財政學系] 學位論文

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