從展望理論看台灣總統選舉對股票市場之效應分析

The Impact of Presidential Election on Taiwan's Stock Market- Prospect Theory

張倉耀(Tsang-Yao Chang) ； 蘇志偉(Chi-Wei Su) ； 張旭玲(Hsu-Ling Chang) ； 朱曉萍(Hsiao-Ping Chu)

《選舉研究》 13卷1期 (2006/05) Pp. 87-118

https://doi.org/10.6612/tjes.2006.13.01.87-118

摘要

台灣於1996年3月22日首次舉辦總統直接民選，在開放總統直接民選後，執政黨是否會透過對股票市場的干預來獲取選民支持，產生所謂的「選舉行情」，本研究主要目的在從展望理論觀點來看總統選舉對股票市場之影響，並利用GJR-GARCH模型檢測台灣三次總統選舉在選前三個月執政黨是否利用利多政策刺激股市及選舉結果在選後一個月對股票市場的衝擊，亦即在展望理論觀點下，台灣股票市場是否具有總統選舉效果之存在。實證結果顯示，在總統選舉前三個月執政黨大力作多下，大部分類股的報酬皆有顯著的正向影響；而在選舉前最後一個月，明顯看出各類股皆無任何效應，主要原因為台灣三次總統選舉前都面臨中共強大的壓力而有政治利空事件發生，抵銷執政黨選舉前利多政策的效果。隨著選舉結果確立則產生慶祝行情，因此對股票市場報酬率將產生正向的影響。因此，台灣總統選舉對股票市場確實會產生相當程度的衝擊，即台灣股票市場部分個類股票價格存在總統選舉效應。

關鍵字

總統選舉效應 ； 展望理論 ； CJR-GARCH模型

並列摘要

The purpose of this study is to investigate the impact of presidential election on Taiwan's stock market. On March 22, 1996, it was the first time in Taiwan to vote the president directly. We used prospect theory to explain whether presidential election has impact on the stock market. The ruling party may win the election by manipulating the stock market. In this research, we examine whether the presidential elections would be interfered by ruling party by using the GJR-GARCH model. The evidence indicates that the stock market exits significant and positive impact three months before presidential elections. Because of the China military maneuvers pressure, the bullish market is offset by bear market. We don't find any significant impact one month before elections. When the outcome of the elections is clear, the return of stock market is positive and significant one month after presidential elections. The empirical result shows that parts of the individual stock does exist presidential election effect.

並列關鍵字

presidential election effect ； prospect theory ； GJR-GARCH model

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