我國宣告促進經濟成長之合作協定政策對股票市場的報酬與波動性影響

Government Announced the Impact of Enhancive Economic Growth Agreement Policy on Return and Volatility in Taiwan's Stock Market

本研究主要針對從2008年1月1日至2013年6月30日為期間，有關我國政府宣布促進經濟成長之合作協定共計7項政策，並且使用GARCH模型檢定研究期間政府所宣告之政策，探討對於國內股票市場之報酬與波動性是否造成影響。研究結果顯示促進經濟成長之合作協定中當政府宣告｢金融監理合作備忘錄｣和｢兩岸經濟合作架構協議｣對大盤、電子類以及非電子金融類的報酬有顯著影響；｢臺新經濟夥伴協議｣對金融類的報酬有顯著之影響；｢開放大陸合格境內投資機構｣對非電子金融類的報酬有顯著之影響。對大盤波動性有顯著影響的是當政府宣告｢兩岸經濟合作架構協議｣；對非電子金融類波動性有顯著影響的是｢開放大陸合格境內機構投資人｣、｢兩岸經濟合作架構協議｣以及｢兩岸服務貿易協定｣等政策。本研究發現政府為促進經濟活動所提出之政策應當有正面的激勵效果，但其結果對股票市場之影響並無顯著影響甚至呈現負向的相關性，因此我們認為政府在宣告此類政策的同時，需要將具體的相關政策內容公布並明確宣導。

This research studies whether Taiwan’s stock market returns and volatility are influenced by the significant events: the government announced 7 policies of enhancive economic growth agreement, or not occurred from January 1, 2008 to June 30, 2013. We use the GARCH model to analyze the announced policy in the stock markets daily closing price data to observe stock returns and volatility changes. In the cooperation agreement of enhancive economic growth, the government announced “MOU” and “ECFA” significantly impact the rate of returns in TAIEX, electronic stocks and non-electronic & financial stocks; the “ASTEP” has significantly impact on the rate of returns in financial stocks; the “QDll” has a significantly impact on the rate of returns in non-electronic & financial stock. Due to the government announced “ECFA”, there is a significant impact on the volatility of TAIEX; there are significant impacts on non-electronic & financial stock’s volatility because of “QDll”, “ECFA” and“TISA”. The study shows that some of the government policies proposed in order to enhance economic, but the influences of stock markets result in insignificance or even negative correlation. Therefore, we consider that when the government is announcing policy, they must publish the concrete policy and advocate it clearly.