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| Title: | 地緣政治風險對台灣股市報酬與波動度的影響
The Impact of Geopolitical Risk On Stock Market Returns And Volatility In Taiwan |
| Authors: | 沈少飛
Shen, Shao-Fei |
| Contributors: | 郭維裕
Guo, Wei-Yu
沈少飛
Shen, Shao-Fei |
| Keywords: | 地緣政治
台股
波動度
Geopolitical Risk
Taiwan
Volatility |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:31:04 (UTC+8) |
| Abstract: | 本研究採用 Caldara and Iacoviello (2022)對於衡量地緣政治風險的其中 5 項指標: Composite GPR、GPR Threat、GPR Act、Taiwan GPR、China GPR，以及 Goldman Sachs 於 2022 年推出的海峽兩岸風險指數(Cross-Strait Risk Index)，探討上述地緣政治 風險指標對於台灣加權指數、各產業加權指數以及台股 VIX 的影響。全樣本採用期間 為 2010 年 1 月至 2023 年 1 月，將上述 6 項地緣政治風險指標納入多元線性迴歸模型 並控制重要總體經濟變數。本研究模型將台灣加權指數報酬率、14 項產業指數報酬率 與台指選擇權新 VIX 作為被解釋變數，將同期與前一期之地緣政治風險指標作為解釋 變數，以及將同期的總經變數作為控制變數，另外也將原先的全樣本期間切出 2020 年 9 月至 2023 年 1 月之子樣本期間進行多元線性回歸。本研究將聚焦在台灣加權指數、 台指選擇權新 VIX、半導體業指數、資訊服務業指數、觀光事業指數與貿易百貨業指 數之分析。
本篇研究共有三項重要結論。(1)本篇實證研究結果顯示全球地緣政治風險升溫 對於同期與下一期台灣加權指數具有負向影響，其中以 GPR Threat 指數的負向影響結 果最為一致;同時台指選擇權新 VIX 受到各項地緣政治風險指標所捕捉的風險而具有 放大波動度的效果。(2)以當期的地緣政治風險預測下一期的台股報酬率，其解釋能 力高於解釋同期的台股報酬率，顯示投資人情緒或台灣上市公司的未來營運展望會受 到地緣政治風險程度影響。(3)採用 2020 年 1 月至 2023 年 1 月之子樣本區間進行多 元線性迴歸，模型解釋能力高於採用 2010 年 1 月至 2023 年 1 月之全樣本區間，顯示 近年投資人在進行投資決策時提高對於地緣政治風險的重視程度。
We investigate the impact of these geopolitical risk indicators on the Taiwan equity market returns and mainly focus on Taiwan Weighted Stock Index, Taiwan VIX, and other 4 industry-specific weighted indices. The sample period covers from January 2010 to January 2023. A multiple linear regression model is used, incorporating six geopolitical risk indicators and controlling important macroeconomic variables. The six geopolitical risk indicators employed in this study for measuring geopolitical risk are as follows: Composite GPR, GPR Threat, GPR Act, Taiwan GPR, China GPR, and Goldman Sachs Cross-Strait Risk Index. The first four indicators mentioned above are proposed by Caldara and Iacoviello (2022), and the last indicators was introduced by Goldman Sachs in 2022 as well.
In this study we present three key findings. First, our empirical results show that an escalation in global geopolitical risk has a negative impact on the Taiwan Weighted Stock Index and a positive direction impact on the Taiwan VIX. Second, predicting Taiwan equity market returns in the next period based on the current geopolitical risk demonstrates higher explanatory power than explaining returns in the same period, indicating that investors’ sentiment and future prospects of Taiwanese listed companies are influenced by the level of geopolitical risk. Third, conducting a multiple linear regression using a subsample period from January 2020 to January 2023 yields a higher explanatory power than using the entire sample period, from January 2010 to January 2023, suggesting that investors have placed greater importance on geopolitical risk in their investment decision in recent years. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
110351023 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110351023 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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