國安基金進場期間對股市的影響: 以樂透股為例

The Influence of National Financial Stabilization Fund on the Stock Market: A Case of Lottery Stocks

王怡媛(I-YUAN WANG)

指導教授 ： 牟萬馨

中原大學/商學院/財務金融學系/碩士(2024年)

https://doi.org/10.6840/cycu202400043

摘要

本篇研究探討了當國安基金進場護盤期間，對股市會產生的影響，以樂透股進行實證研究，並在實證分析中加入公司治理變數(存貨週轉率、負債比率、ROE和ROA)。實證結果發現，國安基金變數會對交易量有顯著的影響，大部分的股票呈現顯著下降的結果，但有些股票卻是呈現顯著提升的結果，另外貨幣政策、報酬、公司治理變數對於交易量也會有顯著的影響。

關鍵字

COVID-19 ； 國安基金 ； 樂透型股票 ； 俄烏戰爭

並列摘要

This study explores the effect of National Financial Stabilization Fund on the lottery stock and adds corporate governance variables (inventory turnover rate, debt ratio, ROE and ROA) to the empirical analysis. The empirical results show that the National Financial Stabilization Fund has a significant impact on volume: most stocks show a negative response to the Fund, but some stocks shows a positive response. Moreover, the monetary policy, stock returns, and corporate governance have a significant impact on volume of these stocks.

並列關鍵字

COVID-19 ； National Financial Stabilization Fund ； lottery stock ； Russo-Ukrainian

參考文獻

英文文獻

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Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.

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