期貨與股票市場領先落後關係之探討─以選舉事件為例

The Lead-Lag Relationship between Futures Market and Stock Market: An Empirical Study on Taiwan Election Events

錢權福(Chuan-Fu Chien)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2007年)

https://doi.org/10.6840/cycu200700665

摘要

摘 要

顯然政治選舉事件會對股票現貨市場造成一定的影響，勢必對以此為標的的衍生性期貨市場也會造成影響。然而，其所造成的影響對期貨與現貨市場，是否相同？程度是否有所差異？反應速度是否一致？不同的選舉與不同的結果時，其影響又是如何？國內的文獻對此一議題的研究，付之闕如。

是故，本研究旨在以事件研究法（Event Study），採用最小平方法市場模型(OLS Market Model)探討自1998年至2004年，國內5次中央層級的選舉事件日期間，期貨與股票市場領先落後關係（lead-lag relationship）。

實證結果顯示︰
1.中央層級選舉，於事件期間前，期貨市場有領先現貨市場的情形發生，但是，在事件期間後卻無此情形發生。亦即於事件期間前，期貨市場領先現貨市場獲得證實。
2.總統選舉當執政黨敗選時之累積異常報酬大於執政黨勝選時之累積異常報酬，得到數據上的支持。然而，本研究結論顯示，兩次總統選舉之累積異常報酬均為負值，此點與以往之研究認為總統選舉時，選後出現明顯的正向異常報酬有所不同。
3.本研究證實中央層級選舉，選前並不會出現正向異常報酬，同時選後亦未出現正向異常報酬。

關鍵字：事件研究法，領先落後關係，異常報酬

關鍵字

事件研究法 ； 異常報酬 ； 領先落後關係

並列摘要

Abstract

Obviously political election events should cause some certain influence on both stock market and futures market. However, we can not find any previous papers conclude about: Is its impact to both markets the same? Is there any variance in difference degree? Do they response concurrently in speed? How is the influence after the different result from election events?

Therefore, this paper adopts event study with OLS market model to examine the lead-lag relationship between futures market and stock market during 5 central government elections in Taiwan from 1998 to 2004.

The empirical results are as follows:

1. In central government elections, futures market leads stock market before the election day, but there is no such conclusion after the event day. In other words, futures market leads stock market before the event day is confirmed.

2. During the presidential elections, the CAR (Cumulative Abnormal Return) is larger when the ruling party failed than that when the ruling party stayed on power. However, this study concludes that the CAR is negative in both presidential elections, a conclusion different from previous paper’s positive CAR.

3. There is no positive AR (Abnormal Return) before the central government elections and also there is no positive AR after the central government elections.

Keyword: Event Study, Lead-Lag Relationship, Abnormal Return

並列關鍵字

Lead-Lag Relationship ； Event Study ； Abnormal Return

參考文獻

卓世傑，2003，台灣股市選舉行情之實證研究：1989-2004年，國立成功大學政治經濟學研究所專班碩士論文

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Bollerslev,T., 1986, " Generalized autoregressive conditional heteroskedasticity", Journal of Econometrics, 31, pp.307-327.

Brown,S.J. and J.B. Warner, 1980, "Measuring security price performance", Journal of Financlial Economics, 8, pp.205-288.

Campbell, C.J. and C. E. Wasley, 1993, "Measuring security price performance using daily NASDAQ returns", Journal of Financial Economics 33, 1993, pp.73-92.