政治資訊對市場波動之影響──以吉隆坡股市為例

The Influence of Political Information on Market Volatility: The Case of the Kuala Lumpur Stock Market

馬來西亞自獨立以來，國會雖由各政黨組成，但國家政權仍長年處於一黨獨大的狀態。各政黨秉持不同的理念，當國會開會時，各政黨在協調過程中會產生折衝之情形，亦會對市場造成更多的衝擊及不確定性。因此本文採用不對稱GARCH模型，探討2000年1月3日至2017年12月29日間馬來西亞國會開會或休會效果對吉隆坡股票市場報酬與波動之長期影響。

Since Malaysia's independence, the parliament has been composed of various political parties, but the state government has remained dominated by one party for many years. The different political parties have different philosophies, and when the parliament meets, there will be a conflict between the parties in the process of coordination, which will also cause more impact and uncertainty to the market. Therefore, this paper uses an asymmetric GARCH model to investigate the long-term effects of the Malaysian parliamentary session or adjournment on the returns and volatility of the Kuala Lumpur Composite Index (KLCI).