台灣總統大選對於五大產業指數的影響

本研究以事件研究法探討 2000 年起台灣七次總統大選對於五大產業指數包含電子工業、金融業、建材營造業、觀光事業與電機機械業的影響，並因應半強式效率市場假說，將選舉事件分為選舉結果可預期與選舉結果不可預期兩者，以解決股價提前反應之狀況。研究結果顯示，在選舉結果可預期的情況下，電子工業、金融業、建材營造業、觀光事業均無顯著異常報酬，代表選舉行情並不存在於以上產業，惟電機機械業受 5+2 產業政策之影響，出現顯著異常正報酬；而在選舉結果不可預期的狀況下，電子工業出現顯著異常正報酬，滿足選舉行情，金融業出現顯著異常負報酬，係因當時為台灣首次政黨輪替，為金融產業帶來一定壓力。此外，選舉結果不可預期的累積異常報酬確實顯著大於選舉結果可預期，滿足半強式效率市場假說。

關鍵字

事件研究法；選舉行情；效率市場假說；異常報酬；選前民調

並列摘要

This study employs the event study methodology to explore the impact of seven presidential elections in Taiwan since 2000 on five major industry indices, including the electronics industry, financial industry, construction and building materials industry, tourism industry, and electrical machinery industry. In accordance with the semi-strong form of market efficiency hypothesis, election events are categorized into those with predictable outcomes and those with unpredictable outcomes to address the issue of stock prices reacting in advance. The results of the study indicate that, in cases of predictable election outcomes, there are no significant abnormal returns for the electronics industry, financial industry, construction and building materials industry, and tourism industry, suggesting that election effects are absent in these sectors. However, the electrical machinery industry shows significant abnormal positive returns due to the influence of the 5+2 Industrial Innovation Plan. On the other hand, in cases of unpredictable election outcomes, the electronics industry exhibits significant abnormal positive returns, indicating the presence of election effects, while the financial industry shows significant abnormal negative returns due to the pressure brought about by Taiwan's first change of ruling party. Furthermore, the cumulative abnormal returns for unpredictable election outcomes are indeed significantly greater than those for predictable election outcomes, supporting the semi-strong form of market efficiency hypothesis.