選舉事件對臺灣股市投資之影響

臺灣於1996年3月22日舉辦第一次總統直接民選以來，迄今主要中央選舉與地方選舉包括總統、副總統選舉、立法委員選舉、直轄市長選舉及縣市長選舉合計18次，而臺灣股票市場是否受到前述重要選舉事件影響乃本研究所要探討之目的。是以本研究利用事件研究法與GARCH(1,1)模型以法定公職人員選舉候選人競選活動期間做為基準檢定臺灣發行量加權股價指數、電子類股價指數、金融保險類股價指數及櫃買指數於事件期（競選活動開始日後）之報酬與風險是否與估計期（競選活動開始日前）有所差異，亦檢定比較投票日前後之報酬與風險是否存在差異。實證結果發現，中央選舉較地方選舉的報酬率有較多的正向影響。其中以層級最高的總統選舉在選舉結果確立後產生的效應更為明確。因此，選舉事件對臺灣股市確實會產生相當程度的衝擊，即臺灣股票市場存在選舉效應。

關鍵字

選舉；投票；效率市場假說；事件研究法；風險

並列摘要

Since Taiwan hosted the first direct presidential election on March 22, 1996, the main central and local elections so far include the president, vice presidential elections, legislator elections, municipal mayoral elections, and county and mayoral elections totaling 18 times, while Taiwan stock market Whether it is affected by the aforementioned important election events is the purpose of this study. This study uses the event research method and the GARCH (1,1) model to determine Taiwan issue volume weighted stock price index, electronic stock price index, financial insurance stock price index and cabinet purchase during the election campaign for the statutory public officials. Whether the index's remuneration and risk during the event period differs from the estimation period (during the non-election campaign period), and whether there is a difference between the reward and risk before and after the comparison voting date. The empirical results show that the central election has more positive effects than the local elections. The effect of the elections with the highest level of presidential elections is clearer. Therefore, the election incident will indeed have a considerable impact on Taiwan stock market, that is, Taiwan stock market has an electoral effect.