財經部會首長之宣告效果於台灣股市實證分析

An Empirical Analysis of Ministers of Financial and Economic Affairs’ Announcement Effects on Taiwan Stock Market

葉書妤(SHU-YU YEH)

指導教授 ： 施懿宸

國立臺北大學/商學院/金融與合作經營學系/碩士(2016年)

摘要

近年來，不管是在美國聯準會或是國內財經部會首長在媒體上發表言論及看法經常被各家媒體報導，在學術研究上，眾多文獻也在探討宣告效果和資訊傳遞假說，本研究主要探討台灣股票市場是否會由於主要五個財經部會首長之宣告而有超額報酬產生以研判資訊傳遞假說是否成立。文獻中時常提及各國中央銀行對金融市場的宣告效果，本文擴張研究範圍至五個主要財經部會，其中包含中央銀行、金管會、財政部、經濟部和國發會（舊稱：經建會）探討其宣告效果對台灣股市影響。另一方面，主要分為五種宣告面向，包含：對股市和經濟展望的正負向看法、利率上升或下跌、物價和匯率為主要樣本，針對台灣加權指數、台灣50指數、金融類股指數、電子類股指數和不含金融及電子類指數做實證分析。實證結果顯示：財經部會首長的宣告對台灣股市的超額報酬是有影響的，分為五個部會分析時，不同的部會效果在不同類股中有不同的影響，部分財經部會首長在個人效果分析中對股市的超額報酬有所影響，代表其聲譽和信用在市場中給予肯定，也支持資訊傳遞假說的成立。

關鍵字

訊號傳遞假說 ； 宣告效果 ； 財經部會首長

並列摘要

We examine whether the announcements which are made by ministers of financial and economic affairs, as information signals, are associated with excess returns of stock market in Taiwan. The information transfer hypothesis is held, while announcements made by ministers of financial and economic affairs have same direction effect or announcements of interest rate, CPI, or exchange rate have effect on excess returns of stock market, and this result presents that ministers’ announcements have powerful influence. Part of announcements made by all ministers are significant in thesis, and different ministries have different impacts on different kinds of stock sector indexes. In individual analysis, we finds that some ministers have more powerful influents on stock market, and the result infer that they have higher reputation in capital market.

並列關鍵字

announcement effect ； information transfer hypothesis ； ministers

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