本文以2004年、2008年和2012年總統選舉期間台灣股市的大盤加權股價指數和八大類股加權股價指數的報酬率和波動率為研究對象，探究總統選舉及其相關的政治類變數對股市之影響。
在對大盤指數報酬率的實證中，我們發現大盤指數報酬率的迴歸結果較不理想，原因可能在於大盤指數報酬率變化趨勢不穩定，我們的模型難以捕捉其規律。在對大盤指數波動率的實證中，我們得出以下結論：第一，選舉結束後的大盤指數波動幅度顯著大於選舉前的大盤指數波動幅度，即總統選舉導致股市波動幅度增大；第二，若當選者和落選者得到的支持率相差越大時，大盤指數波動幅度越小，即選舉形勢越明朗，股市受總統選舉的衝擊越小；第三，選舉時若發生政黨輪替，大盤指數波動幅度會增大；第四，隨著選舉的結束，大盤指數波動幅度逐漸減小。在對八大類股加權股價指數波動率的實證中，我們發現機電類的股價波動受總統選舉的影響最顯著，原因可能與台灣的主要產業支柱是機電行業有關。

This paper uses the stock returns and volatilities of Taiwan’s weighted stock market index and eight industrial group stock indexes during presidential elections in 2004, 2008 and 2012 to investigate the impacts of presidential elections and related political variables on the stock returns and volatilities.
We find the regression results of stock returns are not satisfactory, the reason may be that the trend of stock returns is unstable, so it’s difficult for our models to capture its law. We also find the following conclusions in the regressions of stock volatilities. First of all, after the presidential elections, the volatilities of stock market index are significantly greater than before, so the presidential elections increase the stock market volatilities. Secondly, if the differences of approval ratings between two presidential candidates are larger, the volatilities of stock market index are smaller, which means if the political uncertainty about election is less, the impacts of the stock by presidential election is small. Thirdly, if the ruling parties have changed after election, the volatilities of stock market increase. Finally, the volatilities decrease gradually with the end of elections. What’s more, the regression results of eight industrial group stock indexes show that the stock of electromechanical industry is most sensitive to the presidential elections. It may be explained by the pillar industry of Taiwan is electromechanical industry.

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