台灣國安基金進場對股市異常報酬之事件研究分析

由於新冠疫情的影響，2021年各國政府為穩定及激勵國內經濟而降息，甚至無限量QE(Quantitative easing，量化寬鬆)，開啟全球股市的牛市時期，台灣加權指數也在2022年1月5日到達18619點創下新高，然而受到烏俄戰爭及通膨升息疑慮的影響，截至2022年7月12日收盤為13928點，總跌幅達25.19%，因而國安基金委員會在7月12日晚間宣布7月13日將會進場護盤，這也是台灣史上國安基金第八次進場護盤。本研究運用事件研究法探討歷史上國安基金第五次、第六次、第七次和第八次進場是否會對台灣加權指數產生異常加權報酬率，事件日為國安基金宣布進場日，事件期為事件日前後10天，因此事件期總共為21日，估計期為事件日前第110天到事件日前第11日，估計期總共為100天，本研究運用此指標來研究國安基金進入是否能有效穩定股票市場減緩跌幅，甚至激勵股票市場上漲。本研究運用夏普比率及效率前緣，使用國安基金第五次、第六次和第七次皆有購買的股票組成一組投資組合，並利用事件日後50天為模型學習時間，透過一萬次模擬尋找最好的投資組合配置比重，並將國安基金第五次、第六次和第七次最好的投資組合配置比重取平均得出最後的最佳投資組合配置比重，企圖在下次國安基金宣布進場時運用此投資組合配置比重得到最有效率之報酬。

關鍵字

台灣加權指數；投資組合；效率前緣；夏普比率；配置比重

並列摘要

Due to the impact of the new crown epidemic, in 2021, governments of various countries will cut interest rates in order to stabilize and stimulate the domestic economy, and even unlimited QE will start the bull market period of the global stock market. Due to the impact of the Ukrainian-Russian war and concerns about inflation and interest rate hikes, the market closed at 13928 points on July 12, 2022, with a total drop of 25.19%. Therefore, the National Security Fund Committee announced on the evening of July 12 that it will enter the market on July 13 to protect This is also the eighth time in Taiwan's history that Stabilization Fund has entered the market to protect the market. This study utilizes the event study method to examine whether the fifth, sixth, seventh, and eighth historical entries of Stabilization Fund will generate abnormal weighted returns on the Taiwan weighted index. The event date is the day when Stabilization Fund announced its entry. The event period spans 10 days prior to and 10 days after the event day, resulting in a total event period of 21 days. The estimation period, on the other hand, ranges from the 110th day preceding the event day to the 11th day preceding the event day, and the estimated period is 100 days in total. This study uses this indicator to explore whether the entry of the Stabilization Fund It can effectively stabilize the stock market and slow down the decline, and even encourage the stock market to rise. This research uses the Sharpe ratio and efficiency frontier, uses the stocks that Stabilization Fund bought for the fifth, sixth and seventh times to form a group of investment portfolios, and uses 50 days after the event date as the model learning time, through 10,000 times Simulate to find the best investment portfolio allocation proportion, and average the fifth, sixth and seventh best investment portfolio allocation proportions of Stabilization Fund to obtain the final optimal Use this portfolio allocation ratio to get the most efficient return when declaring entry.