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題名 總統選舉對法國和台灣股票市場的影響
Impacts of Presidential Elections on the Stock Markets of France and Taiwan
作者 雷坤霆
Quentin Lestra
貢獻者 蔡政憲
Jason Tsai
雷坤霆
Quentin Lestra
關鍵詞 總統選舉
股票市場
Presidential Elections
Stock Markets
日期 2013
上傳時間 21-Jul-2014 15:40:18 (UTC+8)
摘要 總統選舉對法國和台灣股票市場的影響
The relationship between politics, especially presidential elections, and stock markets has been a topic widely covered in the United States. We propose in this research to focus on France and Taiwan, two free countries regarding the civil rights and politic liberties, with a direct presidential election system. We will put them in perspective and analyse if similarities and differences can be identified, regarding the presidential market cycles and the presence of abnormal returns around presidential elections, in comparison of the US. Regarding the presidential market cycle analysis, a very close, but not significant pattern has been found for both French indices compared to the US. The TAIEX in Taiwan shows a very different pattern as Yearly Average Return are alternatively positive and negative, suggesting two cycles in a presidential term. This observation is not applicable for big and mid-caps indices in Taiwan. In addition, not any significant differences have been found between the YAR of big and mid-caps indices for the two countries respectively. Analysing the abnormal returns, significant positive CAARs are found for Taiwan big and mid-caps. For the big-caps index, this result is found for the (-28, 28) period while for the mid-caps, the associated period is (-28,-15) days before the election. The loss of the incumbent shows significant strong negative CAAR for the 1-month period prior and after the elections. The win of this one shows significant positive CAAR for the period associated to the 15 first days of the presidential campaign. The win of the party in power shows the same results, only when we consider big-caps indices.
參考文獻 Allivine, F.D, O’neill, D.D (1980), ‘Stock Market Returns and the Presidential Election Cycle’, Financial Analysts Journal, September-October, pp.49-56.
Bernanke, B.S., Rogoff K., editors (2000), NBER Macroeconomics Annual, Volume 15
Binder J. J. (1998), ‘The event study methodology since 1969’, Review of Quantitative Finance and Accounting, Volume 11, pp 111-137
Brown, K. C. (1988), ‘Risk aversion, uncertain information, and market efficiency’, Journal of Financial Economics, Volume 22 Issue 2, pp.355-385
Brown, S. J., Warner, J.B (1980), "Measuring Security Price Performance”, Journal of Financial Economics, 8(3), 205‐258
Burns, A.F., Mitchell, W.C. (1946), ‘Measuring Business Cycles’, NBER Book Series Studies in Business Cycles
Cable, J., Holland, K., ‘Modelling Normal Returns in Event Studies: A model-Selection Approach and Pilot Study’
Cho, S.C. (2004), ‘The Empirical Study on the Election Bull Run in Taiwan’s Stock Market: 1989-2004’, National Cheng Kung University Working Paper
Chuang Y.W., Liu Y.S. (2013), Political Election Outcomes and Return Patterns of Firm Listed in Taiwan Stock Exchange: A Firm-level Analysis, ISS & MLB
Fama, E.F. (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’, Journal of Finance, Vol. 25, No.2, pp.383-417
Fama, E.F. (1991), ‘Efficient Capital Market: II’, The Journal of Finance, Vol. XLVI, No. 5, pp. 1575-1617
Gartner M., Wellershoff K.W. (1995), ‘Is There an Election Cycle in American Stock Returns?’ International Review of Economics and Finance, No.4, pp.387-410
Hirsch J. (2013), ‘Using Seasonal and Cyclical Stock Market Patterns’, AAII Journal
Huang R. (1985), ‘Common Stock Returns and Presidential Elections’, Financial Analysts Journal, Vol. 41, pp.58-65
Hung L.C. (2011), ‘The Presidential Election and the Stock Market in Taiwan’, Journal of Business and Policy Research, Vol. 6. No. 2. September 2011. Special Issue. Pp.36-48
Johnson R.R., Chittenden W., Jensen G. (1999), ‘Presidential Politics, Stocks, Bonds, Bills and Inflation. Some new differences identified’, The Journal of Portfolio Management, pp.27-31
MacKinlay C.A. (1997), ‘Event Study in Economics and Finance’, Journal of Economic Literature, Vol. 35, No. 1, pp. 13-39
Nickles M. (2004), ‘Presidential elections and market cycles’, EDD, Volume 7 Issue 3.
Nickles M., Granados N. (2012), ‘The Four-year U.S. Presidential Cycle and the Stock Market’, EDD, Volume 15 Issue 2.
Niederhofer V., Gibbs S., and Bullock J. (1970), ‘Presidential elections and the stock market’, Financial Analysts Journal, Vol. 26, pp. 111-113
Nordhaus W. (1975), ‘The Political Business Cycle’, Review of Economic Studies, Vol.42, pp.169-190 Pantzalis C., Stangeland D. A., Turtle H.J. (2000), ‘Political elections and the resolution of uncertainty: The international evidence’, Journal of Banking and Finance, Vol. 24, pp.1575-1604.
Parhigari A. M., Cho J.H. (2008), ‘Financial Anomalies During The Presidential Elections: The French Style’
Rogoff, K. (1990), ‘Equilibrium Political Budget Cycles’, The American Economic Review, March, pp.21-36
Stovall, R.H (1992), ‘Forecasting Stock Market Performance Via the Presidential Cycle’, Financial Analysts Journal, Vol. 48, pp.5-8 Stovall, S. (1995), ‘Standard & Poor’s Guide to Sector Investing’, McGraw-Hill
Wong W.K., McAleer M. (January 2007), ‘Mapping the Presidential Election Cycle in US Stock markets’
描述 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
102933061
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102933061
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.advisor Jason Tsaien_US
dc.contributor.author (Authors) 雷坤霆zh_TW
dc.contributor.author (Authors) Quentin Lestraen_US
dc.creator (作者) 雷坤霆zh_TW
dc.creator (作者) Quentin Lestraen_US
dc.date (日期) 2013en_US
dc.date.accessioned 21-Jul-2014 15:40:18 (UTC+8)-
dc.date.available 21-Jul-2014 15:40:18 (UTC+8)-
dc.date.issued (上傳時間) 21-Jul-2014 15:40:18 (UTC+8)-
dc.identifier (Other Identifiers) G0102933061en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67614-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營管理英語碩士學位學程(IMBA)zh_TW
dc.description (描述) 102933061zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 總統選舉對法國和台灣股票市場的影響zh_TW
dc.description.abstract (摘要) The relationship between politics, especially presidential elections, and stock markets has been a topic widely covered in the United States. We propose in this research to focus on France and Taiwan, two free countries regarding the civil rights and politic liberties, with a direct presidential election system. We will put them in perspective and analyse if similarities and differences can be identified, regarding the presidential market cycles and the presence of abnormal returns around presidential elections, in comparison of the US. Regarding the presidential market cycle analysis, a very close, but not significant pattern has been found for both French indices compared to the US. The TAIEX in Taiwan shows a very different pattern as Yearly Average Return are alternatively positive and negative, suggesting two cycles in a presidential term. This observation is not applicable for big and mid-caps indices in Taiwan. In addition, not any significant differences have been found between the YAR of big and mid-caps indices for the two countries respectively. Analysing the abnormal returns, significant positive CAARs are found for Taiwan big and mid-caps. For the big-caps index, this result is found for the (-28, 28) period while for the mid-caps, the associated period is (-28,-15) days before the election. The loss of the incumbent shows significant strong negative CAAR for the 1-month period prior and after the elections. The win of this one shows significant positive CAAR for the period associated to the 15 first days of the presidential campaign. The win of the party in power shows the same results, only when we consider big-caps indices.en_US
dc.description.tableofcontents 1. Introduction 1
2. France-Taiwan: Backgrounds. Specific Focus on Political Rights, General History, Political System and the Stock Exchange in the Two Countries 3
3. Literature Review 14
3.1. Business and Market Cycles 14
3.2. Presidential Elections and Market Cycles 18
3.3. The Efficient Market Hypothesis: EMH 28
3.4. Previous Findings on Abnormal Returns around Presidential Election in the US 31
3.5. France-Taiwan: A Few Findings 33
4. Market Cycles Study 35
4.1. Data 35
4.2. Methodology 37
4.3. Presentation of Results 40
5. Cumulative Average Abnormal Returns Study 48
5.1. Data 48
5.2. Event Study Methodology and Abnormal Returns 51
5.3. Presentation of Our Results 69
6. Limitations of Our Model 84
Reference 87		zh_TW
dc.format.extent 852640 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102933061en_US
dc.subject (關鍵詞) 總統選舉zh_TW
dc.subject (關鍵詞) 股票市場zh_TW
dc.subject (關鍵詞) Presidential Electionsen_US
dc.subject (關鍵詞) Stock Marketsen_US
dc.title (題名) 總統選舉對法國和台灣股票市場的影響zh_TW
dc.title (題名) Impacts of Presidential Elections on the Stock Markets of France and Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Allivine, F.D, O’neill, D.D (1980), ‘Stock Market Returns and the Presidential Election Cycle’, Financial Analysts Journal, September-October, pp.49-56.
Bernanke, B.S., Rogoff K., editors (2000), NBER Macroeconomics Annual, Volume 15
Binder J. J. (1998), ‘The event study methodology since 1969’, Review of Quantitative Finance and Accounting, Volume 11, pp 111-137
Brown, K. C. (1988), ‘Risk aversion, uncertain information, and market efficiency’, Journal of Financial Economics, Volume 22 Issue 2, pp.355-385
Brown, S. J., Warner, J.B (1980), "Measuring Security Price Performance”, Journal of Financial Economics, 8(3), 205‐258
Burns, A.F., Mitchell, W.C. (1946), ‘Measuring Business Cycles’, NBER Book Series Studies in Business Cycles
Cable, J., Holland, K., ‘Modelling Normal Returns in Event Studies: A model-Selection Approach and Pilot Study’
Cho, S.C. (2004), ‘The Empirical Study on the Election Bull Run in Taiwan’s Stock Market: 1989-2004’, National Cheng Kung University Working Paper
Chuang Y.W., Liu Y.S. (2013), Political Election Outcomes and Return Patterns of Firm Listed in Taiwan Stock Exchange: A Firm-level Analysis, ISS & MLB
Fama, E.F. (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’, Journal of Finance, Vol. 25, No.2, pp.383-417
Fama, E.F. (1991), ‘Efficient Capital Market: II’, The Journal of Finance, Vol. XLVI, No. 5, pp. 1575-1617
Gartner M., Wellershoff K.W. (1995), ‘Is There an Election Cycle in American Stock Returns?’ International Review of Economics and Finance, No.4, pp.387-410
Hirsch J. (2013), ‘Using Seasonal and Cyclical Stock Market Patterns’, AAII Journal
Huang R. (1985), ‘Common Stock Returns and Presidential Elections’, Financial Analysts Journal, Vol. 41, pp.58-65
Hung L.C. (2011), ‘The Presidential Election and the Stock Market in Taiwan’, Journal of Business and Policy Research, Vol. 6. No. 2. September 2011. Special Issue. Pp.36-48
Johnson R.R., Chittenden W., Jensen G. (1999), ‘Presidential Politics, Stocks, Bonds, Bills and Inflation. Some new differences identified’, The Journal of Portfolio Management, pp.27-31
MacKinlay C.A. (1997), ‘Event Study in Economics and Finance’, Journal of Economic Literature, Vol. 35, No. 1, pp. 13-39
Nickles M. (2004), ‘Presidential elections and market cycles’, EDD, Volume 7 Issue 3.
Nickles M., Granados N. (2012), ‘The Four-year U.S. Presidential Cycle and the Stock Market’, EDD, Volume 15 Issue 2.
Niederhofer V., Gibbs S., and Bullock J. (1970), ‘Presidential elections and the stock market’, Financial Analysts Journal, Vol. 26, pp. 111-113
Nordhaus W. (1975), ‘The Political Business Cycle’, Review of Economic Studies, Vol.42, pp.169-190 Pantzalis C., Stangeland D. A., Turtle H.J. (2000), ‘Political elections and the resolution of uncertainty: The international evidence’, Journal of Banking and Finance, Vol. 24, pp.1575-1604.
Parhigari A. M., Cho J.H. (2008), ‘Financial Anomalies During The Presidential Elections: The French Style’
Rogoff, K. (1990), ‘Equilibrium Political Budget Cycles’, The American Economic Review, March, pp.21-36
Stovall, R.H (1992), ‘Forecasting Stock Market Performance Via the Presidential Cycle’, Financial Analysts Journal, Vol. 48, pp.5-8 Stovall, S. (1995), ‘Standard & Poor’s Guide to Sector Investing’, McGraw-Hill
Wong W.K., McAleer M. (January 2007), ‘Mapping the Presidential Election Cycle in US Stock markets’		zh_TW