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題名 中央大選對房市之影響
The Impact of the Presidential Elections on the Housing Market作者 鄧燕聲
Teng, Yen-Sheng貢獻者 陳明吉
Chen, Ming-Chi
鄧燕聲
Teng, Yen-Sheng關鍵詞 總統大選
中央選舉
事件研究法
異常報酬率
不動產市場
Presidential Elections
Event Study Method
Housing Market日期 2021 上傳時間 4-Aug-2021 14:44:02 (UTC+8) 摘要 重大事件的發生會影響各個金融市場的資產價格。近年來台灣的高房價成為全民最關心的議題之一，民眾對於房市政策健全性的審視也逐漸移轉至探討政府是否提出有效的打房政策。而在民主制度之下，輿情對於政府的施政方向有著根本性的影響。本研究主要驗證台灣的大選是否會給房市帶來政治景氣循環；或者大選的所帶來的不確定性是否會使投資人延遲買房這類重大支出的決定，因而使大選期間的房市遵守不確定資訊假說。本研究比較選舉前後各一年的台北市、新北市之房價成長率、交易量、流通天數及議價空間。實證結果發現，在政黨輪替的選舉期間，房市景氣在選前明顯比選後熱絡，符合文獻中政治景氣循環之情形。另一方面，本研究從每次選舉的角度出發，以2012年8月到2020年12月全台16個地區的房價指數、2006年1月到2020年12月全台19個縣市的房屋交易量以及2003年1月到2020年12月全台五個縣市的流通天數、議價空間資料。採用事件研究法，以大選前後三個月份作為事件期，觀察房市各項指標的異常報酬率（變化率）情形，研究各次大選符合的理論假說。實證結果發現在2011年以前，大選對於台灣房地產市場而言代表一個重大事件的發生，期間房市會因大選帶來的不確定性而遵守不確定資訊假說；在2011年後，民眾開始逐漸意識到房價高漲的議題，大選前後的房市景氣會隨著政府推出相關房市政策的時間點波動。
When major events take place, they will affect asset prices of various financial markets sharply. In recent years, extravagant housing prices has become one of the most concerned issues in Taiwan. The public started to focus on whether the government proposes effective housing policies to cap rising housing prices. Under a democratic political system, public opinion will influence the direction of governance. I verify whether Taiwan’s presidential elections will bring the political cycle to the housing market; or the uncertainty brought by these presidential elections will cause investors to postpone the decision of major expenditures and make the housing market to comply with uncertain information hypothesis during election period. I compare house price movement, transaction volume, time on market (days), and bargaining space one year before and after presidential elections in Taipei City and New Taipei City. The results indicate that before party rotations, the housing market became more booming than after the election, corresponded to the political cycle.Moreover, I use the housing price index of sixteen regions in Taiwan from August 2012 to December 2020, transaction volume of nineteen counties / cities in Taiwan from January 2006 to December 2020, time on market (days) and bargaining space of five cities in Taiwan from January 2003 to December 2020 to demonstrate results from the perspective of each election. The results show that before 2011, the presidential election was a major event for Taiwan’s real estate market, that is, the housing market would comply with the uncertain information hypothesis; after 2011, as the public began to aware the issue of rising housing prices, the ruling party would launch corresponding measures to against real estate speculation and made the real estate market fluctuated with those policies related to the housing market.參考文獻 中文參考文獻朱芳妮、楊茜文、黃御維、陳明吉（2020）。媒體傳播效應與房市變化關聯性之驗證。管理學報，第37卷第3期，225-257。朱芳妮、楊茜文、蘇子涵、陳明吉（2020）。情緒會影響房市嗎？指數編制與驗證。住宅學報，第29卷第2期，35-68。沈中華、李建然（2000）。事件研究法:財務與會計實證研究必備。台北：華泰文化事業公司。廖慧玲（2011）。貨幣供給、新台幣匯率對房價指數與股價報酬率關聯性之研究。國立臺北大學國際財務金融碩士在職專班碩士論文，新北市。取自https://hdl.handle.net/11296/bhm82f。李美杏、陳威廷與彭建文（2014）。亞洲城市房價基值與泡沫。都市與計劃， 41卷2期，169–198。張金鶚、楊宗憲、洪御仁（2008）。中古屋及預售屋房價指數之建立、評估與整合 - 台北市之實證分析。住宅學報，第17卷第2期，13-34。張金鶚（2020）。總體審慎措施（含金融措施及租稅措施）對房市之影響（以亞太主要經濟體星、港、韓、台實證分析）。財團法人台北外匯市場發展基金會委託之產學研究計畫報告，未出版。張倉耀、蘇志偉、張旭玲、朱曉萍(2006)。從展望理論看台灣總統選舉對股票市場之效應分析。選舉研究，第13卷第1期，87-118。陳明吉、廖茂成（2005）。資產市場關聯性與財富效果－台灣股票市場與不動產市場之分析。台灣土地金融季刊，第42卷第1期，25-42。陳明吉、蔡怡純、李育菁（2006）。台北房地產市場報酬波動特性之長期觀察，貨幣觀測與信用評等。貨幣觀測與信用評等，第59卷第1期，20-35。陳明吉、蔡怡純、張金鶚（2003）。住宅負擔能力惡化之再檢視-台北市住宅市場分析。台大管理論叢，第14卷第1期，47-78。陳怡諠、卓翠月、白詩婷 (2017)。總統選舉事件對股市之影響。選舉研究，第24卷第1期，33–60。蔡怡純、陳明吉（2004）。住宅市場結構性轉變與價格均衡調整。都市與計畫，，第31卷第4期，365-390。鄧晏翔（2001）。台灣股票市場選舉行情的政經分析。國立政治大學政治學系碩士論文，台北市。取自https://hdl.handle.net/11296/7w762p。英文參考文獻Ajayi, Richard A. and Mehdian, Seyed (1994). Rational investors` reaction to uncertainty: Evidence from the world`s major markets. Journal of Business Finance & Accounting, 21(4), 533-545.Armitage, Seth (1995). Event Study Methods and Evidence on Their Performance. Journal of Economic Surveys, 9(1), 25-52.Ashley, John W. (1962). Stock Prices and Changes in Earnings and Dividends: Some Empirical Results. Journal of Political Economy, 70(1), 82-85.Ball, R. and Brown, Philip (1968). An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research, autumn, 159-178.Belo, Frederico, Gala, Vito D. and Li, Jun (2013). Government spending, political cycles, and the cross section of stock returns. Journal of Financial Economics, 107(2), 305-324.Bhana, Narendra (1995). The share market reaction to the arrival of unanticipated information - a test of the Uncertain Information Hypothesis to determine the efficiency of the Johannesburg Stock Exchange. South African Journal of Business Management, 26(2), 41-48.Brenner, M. (1977). The Effect of Model Misspecification on Tests of the Efficient Market Hypothesis. The Journal of Finance, 32(1), 57-66.Boehmer, Ekkehart, Masumeci, Jim and Poulsen, Annette B (1991). Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(1), 253-272.Brown, Keith C., Harlow, W. V. and Tinic Seha (1988). Risk aversion, uncertain information, and market efficiency. Journal of Financial Economics, 22(3), 355-385.Brown, Stephen J. and Warner, Jerold B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3-31.Chen, Ming-Chi, Tsai, I-Chun and Chang, Chin-Oh, (2007). House prices and household income: Do they move apart? Evidence from Taiwan. Habitat International, 31(2), 243-256.Chen, Ming-Chi and Patel, K. (2002). An empirical analysis of determination of house prices in the Taipei area. Taiwan Economic Review, 30(4), 563-595.Contat, J.C., Turnbull, G.K. and Waller, B.D (2019). Politics and Prices: Presidential Elections and the Housing Market. Working paper.Cowan, A.R. (1992). Nonparametric event study tests. Review of Quantitative Finance and Accounting, 2(4), 343-358.Dolley, J.C. (1933). Characteristics and Procedures of Common Stock Split-Ups. Harvard Business Review. Apr. 1933, 11, 316-26.Fama, E., Fisher, L., Jensen, M. and Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1), 1-21.Higgins, D and Reddy, W (2010). The impact of political risk on Australian house prices. Australian and New Zealand Property Journal, 2(7), 413-422.Kahneman, Daniel and Tversky, Amos. (2011). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-291.Kapur, Devesh and Vaishnav, Milan (2011). Quid Pro Quo: Builders, Politicians, and Election Finance in India. Working paper.Keown, Arthur J. and Pinkerton, John M. (1981). Merger Announcements and Insider Trading Activity: An Empirical Investigation. Journal of Finance, 36(4), 855-869.Lafortune, Rothstein and Schanzenbach (2018). School Finance Reform and the Distribution of Student Achievement. American Economic Journal: Applied Economics, 10(2), 1–26.Myers, John and Bakay, Archie (1948). Influence of Stock Split-Ups on Market Price. Harvard Business Review, 26(2), 251–265.Nordhaus, W. (1975). The Political Business Cycle. The Review of Economic Studies, 42(2), 169-190.Pantzalis, Christos, Stangeland, David A. and Turtle, Harry J. (2000), Political elections and the resolution of uncertainty: The international evidence. Journal of Banking & Finance, 24(10), 1575-1604.Patell, J.A. (1976). Corporate Forecasts of Earnings per Share and Stock Price Behavior Empirical Test. Journal of Accounting Research, 14(2), 246-276.Santa-Clara, P. and Valkanov, R. (2003). The Presidential Puzzle: Political Cycles and the Stock Market. The Journal Of Finance, 58(5), 1841-1872.Schnusenberg and Madura (2001). Do U.S. Stock Market Indexes Over- Or Under- React? The Journal of Financial Research, 24(2), 179-204.Yu, S., Rentzler, J. and Tandon, K. (2010). Reexamining the uncertain information hypothesis on the S&P 500 Index and SPDRs. Review of Quantitative Finance and Accounting, 34(1), 1-21. 描述 碩士
國立政治大學
財務管理學系
108357007資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357007 資料類型 thesis dc.contributor.advisor 陳明吉 zh_TW dc.contributor.advisor Chen, Ming-Chi en_US dc.contributor.author (Authors) 鄧燕聲 zh_TW dc.contributor.author (Authors) Teng, Yen-Sheng en_US dc.creator (作者) 鄧燕聲 zh_TW dc.creator (作者) Teng, Yen-Sheng en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 14:44:02 (UTC+8) - dc.date.available 4-Aug-2021 14:44:02 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 14:44:02 (UTC+8) - dc.identifier (Other Identifiers) G0108357007 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136328 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 108357007 zh_TW dc.description.abstract (摘要) 重大事件的發生會影響各個金融市場的資產價格。近年來台灣的高房價成為全民最關心的議題之一，民眾對於房市政策健全性的審視也逐漸移轉至探討政府是否提出有效的打房政策。而在民主制度之下，輿情對於政府的施政方向有著根本性的影響。本研究主要驗證台灣的大選是否會給房市帶來政治景氣循環；或者大選的所帶來的不確定性是否會使投資人延遲買房這類重大支出的決定，因而使大選期間的房市遵守不確定資訊假說。本研究比較選舉前後各一年的台北市、新北市之房價成長率、交易量、流通天數及議價空間。實證結果發現，在政黨輪替的選舉期間，房市景氣在選前明顯比選後熱絡，符合文獻中政治景氣循環之情形。另一方面，本研究從每次選舉的角度出發，以2012年8月到2020年12月全台16個地區的房價指數、2006年1月到2020年12月全台19個縣市的房屋交易量以及2003年1月到2020年12月全台五個縣市的流通天數、議價空間資料。採用事件研究法，以大選前後三個月份作為事件期，觀察房市各項指標的異常報酬率（變化率）情形，研究各次大選符合的理論假說。實證結果發現在2011年以前，大選對於台灣房地產市場而言代表一個重大事件的發生，期間房市會因大選帶來的不確定性而遵守不確定資訊假說；在2011年後，民眾開始逐漸意識到房價高漲的議題，大選前後的房市景氣會隨著政府推出相關房市政策的時間點波動。 zh_TW dc.description.abstract (摘要) When major events take place, they will affect asset prices of various financial markets sharply. In recent years, extravagant housing prices has become one of the most concerned issues in Taiwan. The public started to focus on whether the government proposes effective housing policies to cap rising housing prices. Under a democratic political system, public opinion will influence the direction of governance. I verify whether Taiwan’s presidential elections will bring the political cycle to the housing market; or the uncertainty brought by these presidential elections will cause investors to postpone the decision of major expenditures and make the housing market to comply with uncertain information hypothesis during election period. I compare house price movement, transaction volume, time on market (days), and bargaining space one year before and after presidential elections in Taipei City and New Taipei City. The results indicate that before party rotations, the housing market became more booming than after the election, corresponded to the political cycle.Moreover, I use the housing price index of sixteen regions in Taiwan from August 2012 to December 2020, transaction volume of nineteen counties / cities in Taiwan from January 2006 to December 2020, time on market (days) and bargaining space of five cities in Taiwan from January 2003 to December 2020 to demonstrate results from the perspective of each election. The results show that before 2011, the presidential election was a major event for Taiwan’s real estate market, that is, the housing market would comply with the uncertain information hypothesis; after 2011, as the public began to aware the issue of rising housing prices, the ruling party would launch corresponding measures to against real estate speculation and made the real estate market fluctuated with those policies related to the housing market. en_US dc.description.tableofcontents 目錄第一章 緒論………………………………………………………………….......………1第一節 研究背景及動機……………………………………………......…….……1第二節 研究問題與目的……………………………………………......…….……3第三節 研究架構…………………………………………………………..........……4第二章 文獻回顧..…………………………………………………….....……………5第一節 政治景氣循環理論…………………………………………………….....5第二節 不確定資訊假說……………………………………………………….......7第三節 事件研究法…………………………………………………………….........9第四節 房市預測相關指標……………………………………………………...11第三章 研究方法……………………………………………………………………...12第一節 建立假說………………………………………………………………........12第二節 事件研究法介紹………………………………………………………....13第三節 研究模型………………………………………………………………........16第四節 資料檢驗及研究方法…………………………………………………..20第五節 變數定義與來源說明…………………………………………………..22第四章 實證結果……………………………………………………………………...25第一節 樣本資料分析…………………………………………………………......25第二節 政治景氣循環實證結果……………………………………………….37第三節 中央大選前後之異常報酬率情形………………….……………40第四節 房市指標之異常報酬率與政策推出時機點之相關性…49第五章、結論與建議…………………………………………………….…………52第一節 結論…………………………………………….........…………….…………52 第二節 建議與限制………………………………………………………….......…53參考文獻…………………………………………………………………………….......55附錄一 總體經濟控制變數相關係數表……………………………………60附錄二 各項變數Adjusted R - squared整理表………………………….61 zh_TW dc.format.extent 3427153 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357007 en_US dc.subject (關鍵詞) 總統大選 zh_TW dc.subject (關鍵詞) 中央選舉 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) 異常報酬率 zh_TW dc.subject (關鍵詞) 不動產市場 zh_TW dc.subject (關鍵詞) Presidential Elections en_US dc.subject (關鍵詞) Event Study Method en_US dc.subject (關鍵詞) Housing Market en_US dc.title (題名) 中央大選對房市之影響 zh_TW dc.title (題名) The Impact of the Presidential Elections on the Housing Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻朱芳妮、楊茜文、黃御維、陳明吉（2020）。媒體傳播效應與房市變化關聯性之驗證。管理學報，第37卷第3期，225-257。朱芳妮、楊茜文、蘇子涵、陳明吉（2020）。情緒會影響房市嗎？指數編制與驗證。住宅學報，第29卷第2期，35-68。沈中華、李建然（2000）。事件研究法:財務與會計實證研究必備。台北：華泰文化事業公司。廖慧玲（2011）。貨幣供給、新台幣匯率對房價指數與股價報酬率關聯性之研究。國立臺北大學國際財務金融碩士在職專班碩士論文，新北市。取自https://hdl.handle.net/11296/bhm82f。李美杏、陳威廷與彭建文（2014）。亞洲城市房價基值與泡沫。都市與計劃， 41卷2期，169–198。張金鶚、楊宗憲、洪御仁（2008）。中古屋及預售屋房價指數之建立、評估與整合 - 台北市之實證分析。住宅學報，第17卷第2期，13-34。張金鶚（2020）。總體審慎措施（含金融措施及租稅措施）對房市之影響（以亞太主要經濟體星、港、韓、台實證分析）。財團法人台北外匯市場發展基金會委託之產學研究計畫報告，未出版。張倉耀、蘇志偉、張旭玲、朱曉萍(2006)。從展望理論看台灣總統選舉對股票市場之效應分析。選舉研究，第13卷第1期，87-118。陳明吉、廖茂成（2005）。資產市場關聯性與財富效果－台灣股票市場與不動產市場之分析。台灣土地金融季刊，第42卷第1期，25-42。陳明吉、蔡怡純、李育菁（2006）。台北房地產市場報酬波動特性之長期觀察，貨幣觀測與信用評等。貨幣觀測與信用評等，第59卷第1期，20-35。陳明吉、蔡怡純、張金鶚（2003）。住宅負擔能力惡化之再檢視-台北市住宅市場分析。台大管理論叢，第14卷第1期，47-78。陳怡諠、卓翠月、白詩婷 (2017)。總統選舉事件對股市之影響。選舉研究，第24卷第1期，33–60。蔡怡純、陳明吉（2004）。住宅市場結構性轉變與價格均衡調整。都市與計畫，，第31卷第4期，365-390。鄧晏翔（2001）。台灣股票市場選舉行情的政經分析。國立政治大學政治學系碩士論文，台北市。取自https://hdl.handle.net/11296/7w762p。英文參考文獻Ajayi, Richard A. and Mehdian, Seyed (1994). 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