政黨輪替對股市之影響--以馬來西亞為例

每每到了選舉時期，選舉行情(election bull run)一詞都會被提起。選舉行情是指,政府選前透過各種手段來催動經濟,帶動股市發展，以便換取選民支持度。本文研究目的主要在於實證馬來西亞股市是否存在選舉行情之現象。本研究期間跨度 2018 年 5 月至 2022 年三月的，包含了兩次全國性選舉和三次地方性選舉，並使用實證研究廣泛使用的事件研究法(event study)作研究方法。事件研究法是指，假設股價因某一特定事件公告而受到影響，相較於無事件時候會產生異常報酬率(Abnormal Return)。本文資料來源為 DataStream 資料庫之富時大馬吉隆玻綜合指數 (FBMKLCI)，本文估計期設定為(-280，-31)，事件視窗為(-30，30)，並透過符號檢定、Wilcoxon 符號化檢定、單一樣本 T檢定和成對樣本 T 檢定來探討是否存在選舉行情。雖然早期相關研究中多數發現選舉時期較容易產生選舉行情，但在本文中不論是無母數檢定或有母數檢定法均無法獲得統計上顯著。隨後將事件期刪減後，發現了「選舉行情」確實存在於馬來西亞選舉前。

關鍵字

政黨輪替；事件研究法；馬來西亞股市； FBMKLCI

並列摘要

When the elections are near, the concept of “election bull run” will be remind people by the activities of governments. The election bull run means that the government uses various strategy to stimulate the economy and push the stock market before the election to exchange for voter support. The main purpose of this study is to demonstrate whether there is an election bull run in the Malaysian stock market. The research period is from May 2018 to March 2022, including two national elections and three local elections. The event study method refers to the assumption that the stock price is affected by the announcement of a certain event, there will be an inevitable creation of “abnormal returns”. In this study, the estimation period is set to (-280, -31), the event window is (-30, 30), used nonparametric test to construct a methodology of statistical analysis for the degree of impact on Malaysia stock market, before and after the elections. Although most of the studies have found that the election period is more likely to generate election bull run, but neither parametric nor nonparametric test, we cannot get sufficient evidences in this study. After we shorten the event period, we found that the election bull run was existed in Malaysia stock market.