政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145784

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145784

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文笔数/总笔数 : 114205/145239 (79%)
造访人次 : 52610868 在线人数 : 754

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜寻范围

查询小技巧：

您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果

若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据

进阶搜寻

主页 ‧ 登入 ‧ 上传 ‧ 说明 ‧ 关于政大典藏 ‧ 管理

到手机版

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/145784

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/145784

题名:	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
作者:	沈少飛 Shen, Shao-Fei
贡献者:	郭維裕 Guo, Wei-Yu 沈少飛 Shen, Shao-Fei
关键词:	地緣政治台股波動度 Geopolitical Risk Taiwan Volatility
日期:	2023
上传时间:	2023-07-06 16:31:04 (UTC+8)
摘要:	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.
參考文獻:	Ahir, H., Bloom, N., & Furceri, D. (2022). The world uncertainty index. Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636. Brandt, M. W., & Gao, L. (2019). Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. Journal of Empirical Finance, 51, 64-94. Brecher, M., & Wilkenfeld, J. (1997). A study of crisis. University of Michigan Press. Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225. Choi, S.-Y. (2022). Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries. Finance Research Letters, 46, 102465. Davis, S. J. (2016). An index of global economic policy uncertainty. Engle, R. F., & Campos-Martins, S. (2023). What are the events that shake our world? Measuring and hedging global COVOL. Journal of Financial Economics, 147(1), 221-242. Golub, B., Greenberg, D., & Ratcliffe, R. (2018). Market-driven scenarios: An approach for plausible scenario construction. The Journal of Portfolio Management. International Monetary Fund. (2023). World Economic Outlook: A Rocky Recovery. Kannadhasan, M., & Das, D. (2020). Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach. Finance Research Letters, 34, 101276. Karagozoglu, A. K., Wang, N., & Zhou, T. (2022). Comparing Geopolitical Risk Measures. The Journal of Portfolio Management, 48(10), 226-257. Salisu, A. A., Lasisi, L., & Tchankam, J. P. (2022). Historical geopolitical risk and the behaviour of stock returns in advanced economies. The European Journal of Finance, 28(9), 889-906. Yimou Lee, D. L., and Ben Blanchard. (2020). China launches "gray-zone" warfare to subdue Taiwan. https://www.reuters.com/investigates/special-report/hongkong-taiwan-military/
描述:	碩士國立政治大學國際經營與貿易學系 110351023
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0110351023
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

文件中的档案:

档案	描述	大小	格式	浏览次数
102301.pdf		1277Kb	Adobe PDF2	0	检视/开启

在政大典藏中所有的数据项都受到原著作权保护.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - 回馈