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題名 地緣政治風險對台灣股市報酬與波動度的影響
The Impact of Geopolitical Risk On Stock Market Returns And Volatility In Taiwan作者 沈少飛
Shen, Shao-Fei貢獻者 郭維裕
Guo, Wei-Yu
沈少飛
Shen, Shao-Fei關鍵詞 地緣政治
台股
波動度
Geopolitical Risk
Taiwan
Volatility日期 2023 上傳時間 6-Jul-2023 16:31:04 (UTC+8) 摘要 本研究採用 Caldara and Iacoviello (2022)對於衡量地緣政治風險的其中 5 項指標: Composite GPR、GPR Threat、GPR Act、Taiwan GPR、China GPR，以及 Goldman Sachs 於 2022 年推出的海峽兩岸風險指數(Cross-Strait Risk Index)，探討上述地緣政治 風險指標對於台灣加權指數、各產業加權指數以及台股 VIX 的影響。全樣本採用期間 為 2010 年 1 月至 2023 年 1 月，將上述 6 項地緣政治風險指標納入多元線性迴歸模型 並控制重要總體經濟變數。本研究模型將台灣加權指數報酬率、14 項產業指數報酬率 與台指選擇權新 VIX 作為被解釋變數，將同期與前一期之地緣政治風險指標作為解釋 變數，以及將同期的總經變數作為控制變數，另外也將原先的全樣本期間切出 2020 年 9 月至 2023 年 1 月之子樣本期間進行多元線性回歸。本研究將聚焦在台灣加權指數、 台指選擇權新 VIX、半導體業指數、資訊服務業指數、觀光事業指數與貿易百貨業指 數之分析。本篇研究共有三項重要結論。(1)本篇實證研究結果顯示全球地緣政治風險升溫 對於同期與下一期台灣加權指數具有負向影響，其中以 GPR Threat 指數的負向影響結 果最為一致;同時台指選擇權新 VIX 受到各項地緣政治風險指標所捕捉的風險而具有 放大波動度的效果。(2)以當期的地緣政治風險預測下一期的台股報酬率，其解釋能 力高於解釋同期的台股報酬率，顯示投資人情緒或台灣上市公司的未來營運展望會受 到地緣政治風險程度影響。(3)採用 2020 年 1 月至 2023 年 1 月之子樣本區間進行多 元線性迴歸，模型解釋能力高於採用 2010 年 1 月至 2023 年 1 月之全樣本區間，顯示 近年投資人在進行投資決策時提高對於地緣政治風險的重視程度。
We investigate the impact of these geopolitical risk indicators on the Taiwan equity market returns and mainly focus on Taiwan Weighted Stock Index, Taiwan VIX, and other 4 industry-specific weighted indices. The sample period covers from January 2010 to January 2023. A multiple linear regression model is used, incorporating six geopolitical risk indicators and controlling important macroeconomic variables. The six geopolitical risk indicators employed in this study for measuring geopolitical risk are as follows: Composite GPR, GPR Threat, GPR Act, Taiwan GPR, China GPR, and Goldman Sachs Cross-Strait Risk Index. The first four indicators mentioned above are proposed by Caldara and Iacoviello (2022), and the last indicators was introduced by Goldman Sachs in 2022 as well.In this study we present three key findings. First, our empirical results show that an escalation in global geopolitical risk has a negative impact on the Taiwan Weighted Stock Index and a positive direction impact on the Taiwan VIX. Second, predicting Taiwan equity market returns in the next period based on the current geopolitical risk demonstrates higher explanatory power than explaining returns in the same period, indicating that investors’ sentiment and future prospects of Taiwanese listed companies are influenced by the level of geopolitical risk. Third, conducting a multiple linear regression using a subsample period from January 2020 to January 2023 yields a higher explanatory power than using the entire sample period, from January 2010 to January 2023, suggesting that investors have placed greater importance on geopolitical risk in their investment decision in recent years.參考文獻 Ahir, H., Bloom, N., & Furceri, D. (2022). The world uncertainty index.Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.Brandt, M. W., & Gao, L. (2019). Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. Journal of Empirical Finance, 51, 64-94.Brecher, M., & Wilkenfeld, J. (1997). A study of crisis. University of Michigan Press.Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225.Choi, S.-Y. (2022). Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries. Finance Research Letters, 46, 102465.Davis, S. J. (2016). An index of global economic policy uncertainty.Engle, R. F., & Campos-Martins, S. (2023). What are the events that shake our world? Measuring and hedging global COVOL. Journal of Financial Economics, 147(1), 221-242.Golub, B., Greenberg, D., & Ratcliffe, R. (2018). Market-driven scenarios: An approach for plausible scenario construction. The Journal of Portfolio Management.International Monetary Fund. (2023). World Economic Outlook: A Rocky Recovery.Kannadhasan, M., & Das, D. (2020). Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach. Finance Research Letters, 34, 101276.Karagozoglu, A. K., Wang, N., & Zhou, T. (2022). Comparing Geopolitical Risk Measures. The Journal of Portfolio Management, 48(10), 226-257.Salisu, A. A., Lasisi, L., & Tchankam, J. P. (2022). Historical geopolitical risk and the behaviour of stock returns in advanced economies. The European Journal of Finance, 28(9), 889-906.Yimou Lee, D. L., and Ben Blanchard. (2020). China launches "gray-zone" warfare to subdue Taiwan. https://www.reuters.com/investigates/special-report/hongkong-taiwan-military/ 描述 碩士
國立政治大學
國際經營與貿易學系
110351023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351023 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Guo, Wei-Yu en_US dc.contributor.author (Authors) 沈少飛 zh_TW dc.contributor.author (Authors) Shen, Shao-Fei en_US dc.creator (作者) 沈少飛 zh_TW dc.creator (作者) Shen, Shao-Fei en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:31:04 (UTC+8) - dc.date.available 6-Jul-2023 16:31:04 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:31:04 (UTC+8) - dc.identifier (Other Identifiers) G0110351023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145784 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 110351023 zh_TW dc.description.abstract (摘要) 本研究採用 Caldara and Iacoviello (2022)對於衡量地緣政治風險的其中 5 項指標: Composite GPR、GPR Threat、GPR Act、Taiwan GPR、China GPR，以及 Goldman Sachs 於 2022 年推出的海峽兩岸風險指數(Cross-Strait Risk Index)，探討上述地緣政治 風險指標對於台灣加權指數、各產業加權指數以及台股 VIX 的影響。全樣本採用期間 為 2010 年 1 月至 2023 年 1 月，將上述 6 項地緣政治風險指標納入多元線性迴歸模型 並控制重要總體經濟變數。本研究模型將台灣加權指數報酬率、14 項產業指數報酬率 與台指選擇權新 VIX 作為被解釋變數，將同期與前一期之地緣政治風險指標作為解釋 變數，以及將同期的總經變數作為控制變數，另外也將原先的全樣本期間切出 2020 年 9 月至 2023 年 1 月之子樣本期間進行多元線性回歸。本研究將聚焦在台灣加權指數、 台指選擇權新 VIX、半導體業指數、資訊服務業指數、觀光事業指數與貿易百貨業指 數之分析。本篇研究共有三項重要結論。(1)本篇實證研究結果顯示全球地緣政治風險升溫 對於同期與下一期台灣加權指數具有負向影響，其中以 GPR Threat 指數的負向影響結 果最為一致;同時台指選擇權新 VIX 受到各項地緣政治風險指標所捕捉的風險而具有 放大波動度的效果。(2)以當期的地緣政治風險預測下一期的台股報酬率，其解釋能 力高於解釋同期的台股報酬率，顯示投資人情緒或台灣上市公司的未來營運展望會受 到地緣政治風險程度影響。(3)採用 2020 年 1 月至 2023 年 1 月之子樣本區間進行多 元線性迴歸，模型解釋能力高於採用 2010 年 1 月至 2023 年 1 月之全樣本區間，顯示 近年投資人在進行投資決策時提高對於地緣政治風險的重視程度。 zh_TW dc.description.abstract (摘要) We investigate the impact of these geopolitical risk indicators on the Taiwan equity market returns and mainly focus on Taiwan Weighted Stock Index, Taiwan VIX, and other 4 industry-specific weighted indices. The sample period covers from January 2010 to January 2023. A multiple linear regression model is used, incorporating six geopolitical risk indicators and controlling important macroeconomic variables. The six geopolitical risk indicators employed in this study for measuring geopolitical risk are as follows: Composite GPR, GPR Threat, GPR Act, Taiwan GPR, China GPR, and Goldman Sachs Cross-Strait Risk Index. The first four indicators mentioned above are proposed by Caldara and Iacoviello (2022), and the last indicators was introduced by Goldman Sachs in 2022 as well.In this study we present three key findings. First, our empirical results show that an escalation in global geopolitical risk has a negative impact on the Taiwan Weighted Stock Index and a positive direction impact on the Taiwan VIX. Second, predicting Taiwan equity market returns in the next period based on the current geopolitical risk demonstrates higher explanatory power than explaining returns in the same period, indicating that investors’ sentiment and future prospects of Taiwanese listed companies are influenced by the level of geopolitical risk. Third, conducting a multiple linear regression using a subsample period from January 2020 to January 2023 yields a higher explanatory power than using the entire sample period, from January 2010 to January 2023, suggesting that investors have placed greater importance on geopolitical risk in their investment decision in recent years. en_US dc.description.tableofcontents 第一章 緒論 7第一節 研究動機 7第二節 研究目的 8第三節 研究架構 8第四節 研究流程 9第二章 文獻回顧 10第一節 地緣政治風險量化指標相關文獻 10第二節 地緣政治風險應用於股市報酬相關文獻 13第三章 研究方法 14第一節 研究期間與資料來源 14第二節 研究變數定義與衡量 15第三節 模型設定 17第四章 實證結果與分析 19第一節 敘述性統計 19第二節 模型結果 26第五章 結論與未來建議 37第一節 結論 37第二節 研究限制與未來建議 38參考文獻 40附錄 42 zh_TW dc.format.extent 1308453 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351023 en_US dc.subject (關鍵詞) 地緣政治 zh_TW dc.subject (關鍵詞) 台股 zh_TW dc.subject (關鍵詞) 波動度 zh_TW dc.subject (關鍵詞) Geopolitical Risk en_US dc.subject (關鍵詞) Taiwan en_US dc.subject (關鍵詞) Volatility en_US dc.title (題名) 地緣政治風險對台灣股市報酬與波動度的影響 zh_TW dc.title (題名) The Impact of Geopolitical Risk On Stock Market Returns And Volatility In Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ahir, H., Bloom, N., & Furceri, D. (2022). The world uncertainty index.Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.Brandt, M. W., & Gao, L. (2019). Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. Journal of Empirical Finance, 51, 64-94.Brecher, M., & Wilkenfeld, J. (1997). A study of crisis. University of Michigan Press.Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225.Choi, S.-Y. (2022). Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries. Finance Research Letters, 46, 102465.Davis, S. J. (2016). An index of global economic policy uncertainty.Engle, R. F., & Campos-Martins, S. (2023). What are the events that shake our world? Measuring and hedging global COVOL. Journal of Financial Economics, 147(1), 221-242.Golub, B., Greenberg, D., & Ratcliffe, R. (2018). Market-driven scenarios: An approach for plausible scenario construction. The Journal of Portfolio Management.International Monetary Fund. (2023). World Economic Outlook: A Rocky Recovery.Kannadhasan, M., & Das, D. (2020). Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach. Finance Research Letters, 34, 101276.Karagozoglu, A. K., Wang, N., & Zhou, T. (2022). Comparing Geopolitical Risk Measures. The Journal of Portfolio Management, 48(10), 226-257.Salisu, A. A., Lasisi, L., & Tchankam, J. P. (2022). Historical geopolitical risk and the behaviour of stock returns in advanced economies. The European Journal of Finance, 28(9), 889-906.Yimou Lee, D. L., and Ben Blanchard. (2020). China launches "gray-zone" warfare to subdue Taiwan. https://www.reuters.com/investigates/special-report/hongkong-taiwan-military/ zh_TW
