臺灣股票市場的行為財務學觀點:政治不確定性對股票報酬與風險波動率的關係之影響

Behavioral Finance Perspectives on Taiwanese Stock Market : The Effect of political uncertainty on Stock Returns and risk-returns (volatility) relationship.

本文採用OLS線性迴歸以及QR分量迴歸分析方式，最重要的是在於替臺灣加權指數解釋出股票收益和股票市場效率行為。資料設定日期為2006年12月1日至2022年6月30日季資料做為原始資料運用，分析在臺灣股市中分別為兩個階段，國民黨執政時期(2009-2016)和民進黨執政時期(2007-2008)(2017-2022)。OLS（最小平方法）和QR（分量迴歸）用在衡量收益和風險收益，其中獨立變量CPI(消費者物價指數)，GDP(國民生產毛額)，MMR（貨幣市場利率），DR（折現率）和臺灣的經濟成長率取年度數據。
結果顯示折現率、過去的回報、GDP、CPI、MMR和經濟成長率不會對收益產生重大影響。關於國民黨執政階段所有控制變量，並不會對收益產生重大影響。而在民進黨執政階段，GDP、DR、CPI、MMR，均對收益有顯著影響。

This paper adopts OLS linear regression and the QR component regression analysis. The most important thing is to explain the stock return and stock market efficiency behavior for the Taiwan Weighted Index. The data set dates are the use of the original data from December 1 2006 to June 30 2022, which is two stages in Taiwan's stock market, and the Kuomintang Governance (2009-2016) And the Democratic Government Period (2007-2008) (2017-2022).OLS (Ordinary Least Square) and QR(Quantile Regression) are used in measuring return and risk benefits, with independent variables CPI (Consumer Price Index), GDP (Gross Domestic Product), MMR (Money Market Rate), DR (Discounted Rate) and Taiwan's EGR(Economic Growth Rate) take annual data.
The results show that the discount rate, lag return, GDP, CPI, MMR and EGR do have insignificant on the return. Regarding all control variables in the Kuomintang Ruling Stage, it will have insignificant on the return. In the Democratic Progressive Party, GDP, DR, CPI, and MMR have significant on the return.