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題名 政黨輪替對股市之影響--以馬來西亞為例
The Effects of Party Alternation on Stock Market Returns: The Case of Malaysia作者 曾信午
Cheng, Xin-Wu貢獻者 張興華
Chang, Hsing-Hua
曾信午
Cheng, Xin-Wu關鍵詞 政黨輪替
事件研究法
馬來西亞股市
FBMKLCI
Government Rotation
Event Study
Malaysia Stock
FBMKLCI日期 2022 上傳時間 1-Aug-2022 17:27:54 (UTC+8) 摘要 每每到了選舉時期，選舉行情(election bull run)一詞都會被提起。選舉行情是指,政府選前透過各種手段來催動經濟,帶動股市發展，以便換取選民支持度。本文研究目的主要在於實證馬來西亞股市是否存在選舉行情之現象。本研究期間跨度 2018 年 5 月至 2022 年三月的，包含了兩次全國性選舉和三次地方性選舉，並使用實證研究廣泛使用的事件研究法(event study)作研究方法。事件研究法是指，假設股價因某一特定事件公告而受到影響，相較於無事件時候會產 生異常報酬率(Abnormal Return)。本文資料來源為 DataStream 資料庫之富時大馬吉隆玻綜合指數 (FBMKLCI)， 本文估計期設定為(-280，-31)，事件視窗為(-30，30)，並透過符號檢定、Wilcoxon 符號化檢定、單一樣本 T檢定和成對樣本 T 檢定來探討是否存在選舉行情。雖然早期相關研究中多數發現選舉時期較容易產生選舉行情，但在本文中不論是無母數檢定或有母數檢定法均無法獲得統計上顯著。隨後將事件期刪減後，發現了「選舉行情」確實存在於馬來西亞選舉前。
When the elections are near, the concept of “election bull run” will be remind people by the activities of governments. The election bull run means that the government uses various strategy to stimulate the economy and push the stock market before the election to exchange for voter support. The main purpose of this study is to demonstrate whether there is an election bull run in the Malaysian stock market. The research period is from May 2018 to March 2022, including two national elections and three local elections. The event study method refers to the assumption that the stock price is affected by the announcement of a certain event, there will be an inevitable creation of “abnormal returns”. In this study, the estimation period is set to (-280, -31), the event window is (-30, 30), used nonparametric test to construct a methodology of statistical analysis for the degree of impact on Malaysia stock market, before and after the elections.Although most of the studies have found that the election period is more likely to generate election bull run, but neither parametric nor nonparametric test, we cannot get sufficient evidences in this study. After we shorten the event period, we found that the election bull run was existed in Malaysia stock market.參考文獻 陳怡瑄、卓翠月、白詩婷，2017，總統選舉事件對股市的影響，《舉研究》， 24(1)，頁 33-60。林少斌、鄭喬明 ，2010，選前民調與選後結果對股市報酬影響之研究 -以中華 民國總統選舉為例，《清雲學報》，30(1)，頁 137-160。張倉耀、蘇志偉、張旭玲、朱曉萍，2006，從展望理論看臺灣總統選舉對股票 市場之效應分析，《選舉研究》，13(1)，頁 87-118。沈中華、李建然，2000，事件研究法-財務與會計實證研究必備，華泰文化，臺 北。林麗芳，2015，總統選舉對股價報酬率和波動率影響之探討:以臺灣為例，碩 士論文。林少斌、鄭喬明 ，2010，選前民調與選後結果對股市報酬影響之研究 -以中華 民國總統選舉為例。卓世傑，2004，臺灣股市選舉行情之實證研究:1989-2004 年，碩士論文。 張貴婷，2005，總統及北高市長選舉事件對股市報酬率之影響，碩士論文。Opare, A., 2012, “Effects of General Elections on the Return and Volatility of Stocks: The Evidence from Europe.”.Ball, R. and Philip, B., 1968, “An empirical evaluation of accounting income numbers.”, Journal of Accounting Research ,6, pp.159-178.Bialkowski, J. , Gottschalk, K. and Wisniewski, T. P. , 2008, “Stock Market Volatility around National Elections.”, Journal of Banking & Finance,32,pp. 1941- 1953.Bosworth, B., Hymans, S. and Modigliani, F., 1975, “The Stock Market and the Economy.”, Brookings Papers on Economic Activity, pp. 257-300.Booth, J. R. and Booth, L. C., 2003, “Is presidential cycle in security returns merely a reflection of business conditions?”, Review of Financial Economics,12, pp. 131-159. MacRae, C., 1977, “A Political Model of the Business Cycle”, Journal of Political Economy 85, pp. 239-263.Boehmer, E., Masumeci, J. and Poulsen, A. B., 1991, “Event-study methodology under conditions of event-induced variance”, Journal of Financial Economics ,30, pp. 253-272.Liew, V. K. S. and Rowland, R., 2016, “The Effect of Malaysia General Election on Stock Market Returns”, Springer Plus, 5, pp.1 - 13.Liew, V. K. S. and Rowland, R., 2020, “Determinants of Bursa Malaysia Stock Market Returns Amid the Fourteenth General Election”, International Journal of Academic Research in Accounting, Finance and Management Sciences,10, pp.74-80. Ackermans, M., 2009, “Political premiums and election cycles in the UK stock market,1965-2008”, Economie & Informatica.Ishak, N. B., 2019, “The Impact of General Election Outcome on Institutional Owned Company Stock Performance: Evidence Form Malaysia.”Nordhaus, W, 1975, “The Political Business Cycle”, The Review of Economic Studies,16 , pp. 169-190.Kamaruzzaman, Z. A., Isa, Z. and Ismail, M., 2012, “Mixtures of Normal Distributions: Application to Bursa Malaysia Stock Market Indices.”, World Applied Sciences Journal, 16, pp. 781-790.Xu, N., 2020, “The world’s longest bull run lasted 12 years. Why it ended today”, Fortune. Retrieved from https://fortune.com/2020/02/24/longest-bull-run-malaysia- prime-minister/ (June,20, 2022) 描述 碩士
國立政治大學
金融學系
108352031資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352031 資料類型 thesis dc.contributor.advisor 張興華 zh_TW dc.contributor.advisor Chang, Hsing-Hua en_US dc.contributor.author (Authors) 曾信午 zh_TW dc.contributor.author (Authors) Cheng, Xin-Wu en_US dc.creator (作者) 曾信午 zh_TW dc.creator (作者) Cheng, Xin-Wu en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:27:54 (UTC+8) - dc.date.available 1-Aug-2022 17:27:54 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:27:54 (UTC+8) - dc.identifier (Other Identifiers) G0108352031 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141056 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 108352031 zh_TW dc.description.abstract (摘要) 每每到了選舉時期，選舉行情(election bull run)一詞都會被提起。選舉行情是指,政府選前透過各種手段來催動經濟,帶動股市發展，以便換取選民支持度。本文研究目的主要在於實證馬來西亞股市是否存在選舉行情之現象。本研究期間跨度 2018 年 5 月至 2022 年三月的，包含了兩次全國性選舉和三次地方性選舉，並使用實證研究廣泛使用的事件研究法(event study)作研究方法。事件研究法是指，假設股價因某一特定事件公告而受到影響，相較於無事件時候會產 生異常報酬率(Abnormal Return)。本文資料來源為 DataStream 資料庫之富時大馬吉隆玻綜合指數 (FBMKLCI)， 本文估計期設定為(-280，-31)，事件視窗為(-30，30)，並透過符號檢定、Wilcoxon 符號化檢定、單一樣本 T檢定和成對樣本 T 檢定來探討是否存在選舉行情。雖然早期相關研究中多數發現選舉時期較容易產生選舉行情，但在本文中不論是無母數檢定或有母數檢定法均無法獲得統計上顯著。隨後將事件期刪減後，發現了「選舉行情」確實存在於馬來西亞選舉前。 zh_TW dc.description.abstract (摘要) When the elections are near, the concept of “election bull run” will be remind people by the activities of governments. The election bull run means that the government uses various strategy to stimulate the economy and push the stock market before the election to exchange for voter support. The main purpose of this study is to demonstrate whether there is an election bull run in the Malaysian stock market. The research period is from May 2018 to March 2022, including two national elections and three local elections. The event study method refers to the assumption that the stock price is affected by the announcement of a certain event, there will be an inevitable creation of “abnormal returns”. In this study, the estimation period is set to (-280, -31), the event window is (-30, 30), used nonparametric test to construct a methodology of statistical analysis for the degree of impact on Malaysia stock market, before and after the elections.Although most of the studies have found that the election period is more likely to generate election bull run, but neither parametric nor nonparametric test, we cannot get sufficient evidences in this study. After we shorten the event period, we found that the election bull run was existed in Malaysia stock market. en_US dc.description.tableofcontents 第壹章 緒論................................. 1第一節 研究動機..............................1第二節 研究目的.............................6第貳章 文獻回顧........................... 7第一節 選舉與經濟的研究........................7第二節 不同選舉制度下的選舉與股價之研究............8第參章 研究方法.............................. 11第一節 事件研究法介紹...........................11第二節 預期報酬率之計算..........................14第三節 異常報酬率之計算............................16第四節 檢定方法..................................17第五節 資料範圍....................................20第肆章 實證結果................................. 24第一節 實證結果分析...............................24第二節 異常報酬率分析..............................28第三節 檢定結果....................................32第伍章 結論.................................. 48第一節 結論........................................48第二節 研究限制與建議................................50參考文獻 ........................................ 52 zh_TW dc.format.extent 1899481 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352031 en_US dc.subject (關鍵詞) 政黨輪替 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) 馬來西亞股市 zh_TW dc.subject (關鍵詞) FBMKLCI zh_TW dc.subject (關鍵詞) Government Rotation en_US dc.subject (關鍵詞) Event Study en_US dc.subject (關鍵詞) Malaysia Stock en_US dc.subject (關鍵詞) FBMKLCI en_US dc.title (題名) 政黨輪替對股市之影響--以馬來西亞為例 zh_TW dc.title (題名) The Effects of Party Alternation on Stock Market Returns: The Case of Malaysia en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 陳怡瑄、卓翠月、白詩婷，2017，總統選舉事件對股市的影響，《舉研究》， 24(1)，頁 33-60。林少斌、鄭喬明 ，2010，選前民調與選後結果對股市報酬影響之研究 -以中華 民國總統選舉為例，《清雲學報》，30(1)，頁 137-160。張倉耀、蘇志偉、張旭玲、朱曉萍，2006，從展望理論看臺灣總統選舉對股票 市場之效應分析，《選舉研究》，13(1)，頁 87-118。沈中華、李建然，2000，事件研究法-財務與會計實證研究必備，華泰文化，臺 北。林麗芳，2015，總統選舉對股價報酬率和波動率影響之探討:以臺灣為例，碩 士論文。林少斌、鄭喬明 ，2010，選前民調與選後結果對股市報酬影響之研究 -以中華 民國總統選舉為例。卓世傑，2004，臺灣股市選舉行情之實證研究:1989-2004 年，碩士論文。 張貴婷，2005，總統及北高市長選舉事件對股市報酬率之影響，碩士論文。Opare, A., 2012, “Effects of General Elections on the Return and Volatility of Stocks: The Evidence from Europe.”.Ball, R. and Philip, B., 1968, “An empirical evaluation of accounting income numbers.”, Journal of Accounting Research ,6, pp.159-178.Bialkowski, J. , Gottschalk, K. and Wisniewski, T. P. , 2008, “Stock Market Volatility around National Elections.”, Journal of Banking & Finance,32,pp. 1941- 1953.Bosworth, B., Hymans, S. and Modigliani, F., 1975, “The Stock Market and the Economy.”, Brookings Papers on Economic Activity, pp. 257-300.Booth, J. R. and Booth, L. C., 2003, “Is presidential cycle in security returns merely a reflection of business conditions?”, Review of Financial Economics,12, pp. 131-159. MacRae, C., 1977, “A Political Model of the Business Cycle”, Journal of Political Economy 85, pp. 239-263.Boehmer, E., Masumeci, J. and Poulsen, A. B., 1991, “Event-study methodology under conditions of event-induced variance”, Journal of Financial Economics ,30, pp. 253-272.Liew, V. K. S. and Rowland, R., 2016, “The Effect of Malaysia General Election on Stock Market Returns”, Springer Plus, 5, pp.1 - 13.Liew, V. K. S. and Rowland, R., 2020, “Determinants of Bursa Malaysia Stock Market Returns Amid the Fourteenth General Election”, International Journal of Academic Research in Accounting, Finance and Management Sciences,10, pp.74-80. Ackermans, M., 2009, “Political premiums and election cycles in the UK stock market,1965-2008”, Economie & Informatica.Ishak, N. B., 2019, “The Impact of General Election Outcome on Institutional Owned Company Stock Performance: Evidence Form Malaysia.”Nordhaus, W, 1975, “The Political Business Cycle”, The Review of Economic Studies,16 , pp. 169-190.Kamaruzzaman, Z. A., Isa, Z. and Ismail, M., 2012, “Mixtures of Normal Distributions: Application to Bursa Malaysia Stock Market Indices.”, World Applied Sciences Journal, 16, pp. 781-790.Xu, N., 2020, “The world’s longest bull run lasted 12 years. Why it ended today”, Fortune. Retrieved from https://fortune.com/2020/02/24/longest-bull-run-malaysia- prime-minister/ (June,20, 2022) zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200994 en_US
