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研究生：	江昊昀 Chiang, Hao-Yun
論文名稱：	總統及直轄市長選舉對台灣股票市場之影響 The Impact of Presidential and Mayoral Elections on the Stock Market in Taiwan
指導教授：	康信鴻 Kang, Hsin-Hong
共同指導教授:	黃瀞瑩 Huang, Ching-Ying
學位類別：	碩士 Master
系所名稱：	管理學院 - 企業管理學系 Department of Business Administration
論文出版年：	2016
畢業學年度：	104
語文別：	英文
論文頁數：	43
中文關鍵詞：	選舉、股票市場、總統選舉、直轄市長選舉、總統選舉周期
外文關鍵詞：	Election, Stock Market, Presidential Election, Mayoral Election, Presidential Election Cycle
相關次數：	點閱：92 下載：3
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　　本研究旨在利用多元迴歸模型以探討總統選舉與直轄市長選舉對台灣股票市場的影響，研究期間涵蓋2010年1月至2015年9月，研究應變數為台灣加權股價報酬指數與未含金融電子股加權股價報酬指數，資料型態為月資料。除了將2010直轄市長選舉、2012總統選舉、2014直轄市長選舉、總統選舉周期視為虛擬變數之外，並考慮總體經濟變數的影響，其中包含：匯率、利率、美國股價、消費者物價指數、貨幣供給量變化。
　　實證結果顯示消費者物價指數對兩種指數皆未造成顯著影響，利率僅對加權股價報酬指數造成負向顯著影響，而匯率僅對非金電報酬指數造成負向顯著的影響，美國股價與貨幣供給量變化則對兩種指數皆造成顯著正向影響。最後，2010年直轄市長選舉對非金電報酬指數有顯著的正向影響，而2012年的總統大選對非金電報酬指數存在顯著負向影響，2014年直轄市長選舉則對兩種指數皆造成負面的顯著影響。另外總統選舉周期對兩種指數皆存在正面顯著影響。

　　The major purpose of this study is to investigate the impacts of presidential and mayoral elections on the stock market in Taiwan. Multiple regression models were used to conduct the empirical research on the stock indices during the period from January, 2010 to September, 2015. The data is monthly data.
　　The dependent variables are the total return index and the non-finance non-electronics-total return index. The presidential election in 2012, the mayoral election in 2010 and 2014, and the presidential election cycle are set as dummy variables. The macroeconomic variables include exchange rate, interest rate, U.S. stock price, consumer price index, and money supply.
　　As a result of the empirical analysis, it was determined that the consumer price index does not have significant effects on either of the stock indices under consideration. Interest rate has significant negative effects on the total return index. Exchange rate has significantly negative effects on the non-finance non-electronics-total return index. U.S. stock price and money supply have significantly positive effects on both indices.
　　In the case of the non-finance non-electronics-total return index, the mayoral election in 2010 has significantly positive effects, but the presidential election in 2012 has significantly negative effects. The mayoral election in 2014 has significantly negative effects on both indices. In addition, the presidential election cycle is found to have significantly positive effects on both indices.

Contents
Chapter 1 Introduction	1
1.1 Research Background	1
1.2 Research Motivations and Purpose	2
Chapter 2 Literature Review and Research Direction	4
2.1 The Influences of Political Events	4
2.1.1 The Overall Influences of Political Events	4
2.2.2 The Linkages between the Stock Markets and Elections	4
2.2 The Impacts of Other Variables on Stock Market	7
2.2.1 Exchange Rate	7
2.2.2 Interest Rate	7
2.2.3 U.S. Stock Prices	8
2.2.4 Consumer Price Index	8
2.2.5 Money Supply	9
2.3 Expected Contributions	9
Chapter 3 Research Design	11
3.1 Research Methods and Research Process	11
3.1.1 Research Methods	12
3.1.2 Flowchart of Model Modification Process	15
3.2 Research Variables and Data	15
3.2.1 Dependent Variables	15
3.2.2 Independent Variables	16
3.2.3 Tables of Data	18
3.3 Empirical Model	20
3.3.1 The Regression Model for Total Return Index	20
3.3.2 The Regression Model for Non-Finance Non-Electronics-Total Return Index	21
Chapter 4 Empirical Results	22
4.1 Initial Regression Model	22
4.1.1 The Initial Model for Total Return Index	23
4.1.2 The Initial Model for Non-Finance Non-Electronics-Total Return Index	24
4.2 Multicollinearity Test	25
4.3 Heteroskedasticity Test	26
4.4 Autocorrelation Test	26
4.5 Final Regression Models	27
Chapter 5 Conclusion and Suggestion	34
5.1 The Influences of Macroeconomic Variables on Stock Markets	34
5.1.1 Exchange Rate	34
5.1.2 Interest Rate	34
5.1.3 U.S. Stock Prices	35
5.1.4 Consumer Price Index	35
5.1.5 Money Supply	35
5.2 The Effects of Elections on Stock Markets	35
5.3 Research Suggestions	38
References	40
 
List of Tables
Table 3-1 Election Dates	17
Table 3-2 Expected Signs of Independent Variables on the Dependent Variables	18
Table 3-3 Summaries of Variables	19
Table 4-1 The Initial Regression Results of the Model for Total Return Index	23
Table 4-2 The Initial Regression Results of the Model                                           for Non-Finance Non-Electronics-Total Return Index	24
Table 4-3 Multicollinearity Test of the Model for Total Return Index	25
Table 4-4 Multicollinearity Test of the Model                                           for Non-Finance Non-Electronics-Total Return Index	25
Table 4-5 Heteroskedasticity Test of the Model for Total Return Index	26
Table 4-6 Heteroskedasticity Test of the Model                                    for Non-Finance Non-Electronics-Total Return Index	26
Table 4-7 Durbin-Watson Test of the Model for Total Return Index	27
Table 4-8 Durbin-Watson Test of the Model                                     for Non-Finance Non-Electronics-Total Return Index	27
Table 4-9 Final Regression Model for Total Return Index	28
Table 4-10 Final Regression Model                                                         for Non-Finance Non-Electronics-Total Return Index	31

List of Figures
Figure 3-1 Flowchart of Model Modification Process	15
                                    

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校內：2021-06-08公開
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