Do Political Connections Work on Stock Market Interference?

國安基金在2000年成立，其專職在「救市」的功能，這種設計在金融市場蓬勃發展的國家中相當罕見。因為其金額龐大，使其對台灣的股票市場有可觀的影響力。本文旨在探討政府在使用這樣一個擁有巨大影響力的工具時，是否會利用機會讓與執政當局有政商關係的公司獲利。本文使用國安基金第4次(2008年)及第5次(2010-2011年)護盤的交易資料，以及台灣經濟新報社「TEJ+」資料庫內的財務資料進行估計。而公司的政黨屬性乃根據董事會成員中有曾為受政黨推薦候選人、中央政府官員或前述兩者之親屬，或是公司本身有政黨聯結者為有政商關係之公司來界定。本文主要發現與國民黨有政商關係的公司中，若曾在國安基金進場護盤期間受其投資，則會在護盤期間享有比其他被護盤的公司得到更高的日均異常報酬，其幅度達0.21%。若以每日複利計算，則在第4次護盤期間累計的超額報酬高達14.13%，在第5次護盤期間更達17.78%。Taiwan’s” National Finance Stabilization Fund” (NFSF) is started since 2000, and its main propose is to “save the stock market.” This propose is rare in a country with a highly-developed financial market. Since the fund has 500 billion NT dollars (about 17 billion US dollars), it can interfere Taiwan stock market severely. I try to discuss that when the government has such an influential tool, whether it would use this tool to benefit companies which have political connection with ruling party. I use the transaction data of the fourth (in 2008) and fifth (in 2010-2011) saving action during the Kuomintang (KMT, a.k.a. the Chinese Nationalist Party) in power, and estimate with difference-in-difference- in-difference method. Also, I define the political connection by directors’ political experience and political stockholder. I find that stocks of the companies political-connected with KMT will on average have 0.21% higher daily abnormal return during the saving action period if they have been invested by the NFSF in saving action. If it is compounding every transaction day, then the cumulated abnormal return is 14.13% in the fourth saving action, and 17.78% in the fifth saving action